Del i serien Finance for Professionals
Callable Mortgage Bonds
Numerical Methods and Valuation Models for Pricing and Risk Analysis
Inbunden, Engelska, 2025
1 219 kr
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Callable mortgage bonds are utilized by individuals and companies to finance the purchase of real estate, and this asset class therefore plays a crucial role in modern society. Callable mortgage bonds constitute an enormous asset class and often offer long-term stable investments that are very attractive for pension funds. This book focuses on the pricing and calculation of risk numbers of callable fixed-rate mortgage bonds. Owing to the, from a financial perspective, irrational behaviour of borrowers, the pricing of these instruments usually requires the use of numerical solutions. Traditionally, it has been either a Monte Carlo simulation or a Finite Difference method. This book covers both methods and, in addition, the relatively new Fourier technique. This latter technique also creates a link between the interest rate derivatives market and the market for callable mortgage bonds. Finally, a chapter presenting a model for the valuation of a mortgage credit institute’s loan book is included.
Produktinformation
- Utgivningsdatum2025-05-10
- Mått155 x 235 x 18 mm
- Vikt470 g
- FormatInbunden
- SpråkEngelska
- SerieFinance for Professionals
- Antal sidor206
- FörlagSpringer International Publishing AG
- ISBN9783031878886
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