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Callable Mortgage Bonds
- Numerical Methods and Valuation Models for Pricing and Risk Analysis
Af: Niels Rom
Engelsk
Bogcover for Callable Mortgage Bonds af Niels Rom, 9783031878886
Specifikationer
Sprog:
Engelsk
Sider:
206
ISBN-13:
9783031878886
Indbinding:
Hardback
ISBN-10:
3031878884
Kategori:
Udg. Dato:
10 maj 2025
Størrelse i cm:
23,5 x 15,5
Oplagsdato:
10 maj 2025
Forfatter(e):

Callable Mortgage Bonds

- Numerical Methods and Valuation Models for Pricing and Risk Analysis
Af: Niels Rom
Engelsk
Hardback 2025
Format:

Bog beskrivelse

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. 

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Specifikationer
Sprog:
Engelsk
Sider:
206
ISBN-13:
9783031878886
Indbinding:
Hardback
ISBN-10:
3031878884
Kategori:
Udg. Dato:
10 maj 2025
Størrelse i cm:
23,5 x 15,5
Oplagsdato:
10 maj 2025
Forfatter(e):
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