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Document type:
Zeitschriftenaufsatz 
Author(s):
Kolbe, A.; Zagst, R. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation 
Abstract:
In this paper we develop a closed-form and thus computationally highly efficient formula to approximate the value of fixed-rate MBS. Our modelling framework is based on reduced-form and prepayment-risk neutral valuation techniques and offers two major extensions compared to existing closed-form approximation approaches: We include a stochastic baseline prepayment factor into our model and we are able to capture the usual S-curve shape of the refinancing incentive by a piecewise linear approximat...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Applied Mathematical Finance 
Year:
2009 
Journal volume:
16 
Journal issue:
Pages contribution:
401-427 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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