Callable Mortgage Bonds: Numerical Methods and Valuation Models for Pricing and Risk Analysis (Hardcover) (ISBN-13: 9783031878886)

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.

Author: Niels Rom
ISBN-10: 3031878884
ISBN-13: 9783031878886
Publisher: Springer
Language: English
Published: 05/10/2025
Pages: 206
Format: Hardcover
Weight: 1.10lbs
Size: 9.21h x 6.14w x 0.56d