An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
暂无分享,去创建一个
Masao Fukushima | Frank J. Fabozzi | Dashan Huang | Yoshitaka Kai | M. Fukushima | F. Fabozzi | Dashan Huang | Yoshitaka Kai
[1] OPTIMAL DESIGN OF PAC-COMPANION STRUCTURE FOR MORTGAGE BACKED SECURITIES USING CASH RESERVE , 2006 .
[2] 沓名 拓郎. Optimal Design of PAC-Companion Structure for Mortgage Backed Securities Using Cash Reserve , 2004 .
[3] T. Alderweireld,et al. A Theory for the Term Structure of Interest Rates , 2004, cond-mat/0405293.
[4] Pricing Mortgage-Backed Securities (MBS) , 2000 .
[5] Jos F. Sturm,et al. A Matlab toolbox for optimization over symmetric cones , 1999 .
[6] Robert J. Vanderbei,et al. Linear Programming: Foundations and Extensions , 1998, Kluwer international series in operations research and management service.
[7] Bethany L. Nicholson,et al. Mathematical Programs with Equilibrium Constraints , 2021, Pyomo — Optimization Modeling in Python.
[8] Donald C. Keenan,et al. The valuation at origination of fixed-rate mortgages with default and prepayment , 1995 .
[9] Richard Stanton. Rational Prepayment and the Valuation of Mortgage-Backed Securities , 1995 .
[10] F. Fabozzi,et al. Collateralized Mortgage Obligations: Structures and Analysis , 1994 .
[11] J. Kau,et al. A Generalized Valuation Model for Fixed-Rate Residential Mortgages , 1992 .
[12] Eduardo S. Schwartz,et al. Prepayment and the Valuation of Mortgage-Backed Securities , 1989 .
[13] F. Fabozzi. The Handbook of Mortgage-Backed Securities , 1985 .