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Engineering of Valuation Models without Simulations

Andrew Davidson and Alexander Levin

in Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199998166
eISBN:
9780199363698
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199998166.003.0009
Subject:
Economics and Finance, Financial Economics

This chapter introduces non-Monte Carlo methods of MBS valuation including closed-form solution of the OAS equation. Authors consider different specifications of prepayment function and illustrate ... More


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