Title: Pricing Mortgage-backed Securities Based on Monte Carlo Simulation
Abstract: On the analysis of mortgage-backed securities'pricing pattern,comparing the structure model with reduced-form model,we construct the pricing model with the prepayments factors and default factors.Based on CIR interest rate model,by using Monte Carlo simulation function,we generate interest rate paths and prepayment and default paths for mortgage-backed securities pricing,and analyze the influence of prepayment and default upon price of mortgage-backed securities.
Publication Year: 2011
Publication Date: 2011-01-01
Language: en
Type: article
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