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Callable Mortgage Bonds

By Niels Rom

Product Image: Callable Mortgage Bonds

Callable Mortgage Bonds

By Niels Rom

0 - Default Title
Description
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.
Product details
Number of Pages:
228
Release Date:
2025-05-10
Publication Date:
2025-05-10
Publisher:
Springer
Languages:
Original: English
ISBN10:
3031878884
ISBN13:
9783031878886
GPSR Manufacturer Reference:
[email protected]
Weight:
510 g
Height:
160 cm
Width:
241 cm
Thickness:
18 cm
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