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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.
Produkteigenschaften
- Artikelnummer: 9783031878916
- Medium: Buch
- ISBN: 978-3-031-87891-6
- Verlag: Springer
- Erscheinungstermin: 11.05.2026
- Sprache(n): Englisch
- Auflage: Erscheinungsjahr 2026
- Serie: Finance for Professionals
- Produktform: Kartoniert, Paperback
- Gewicht: 353 g
- Seiten: 206
- Format (B x H x T): 155 x 235 x 13 mm
- Ausgabetyp: Kein, Unbekannt
Themen
- Wirtschaftswissenschaften
- Finanzsektor & Finanzdienstleistungen
- Finanzsektor & Finanzdienstleistungen: Allgemeines
- Interdisziplinäres
- Wissenschaften
- Wissenschaften: Forschung und Information
- Risikobewertung, Risikotheorie
- Wirtschaftswissenschaften
- Finanzsektor & Finanzdienstleistungen
- Finanzsektor & Finanzdienstleistungen: Allgemeines