Pricing Mortgage-Backed Securities using Prepayment Functions and Pathwise Monte Carlo Simulation.
To value any fixed income security one needs to evaluate the discounted expected cash flows according to an arbitrage free interest rate model. In the case of mortgage-backed securities the future cash flows are uncertain due to mortgagors exercise of their prepayment options. The present project co...
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Digital WPI
2003
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/543 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1542&context=etd-theses |