Callable Mortgage Bonds

Numerical Methods and Valuation Models for Pricing and Risk Analysis

AvNiels Rom

Inbunden, Engelska, 2025

Del i serien Finance for Professionals

901 kr

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Beskrivning

Callable mortgage bonds constitute an enormous asset class and often offer long-term stable investments that are very attractive for pension funds.

Produktinformation

Utgivningsdatum:2025-05-10
Mått:155 x 235 x 18 mm
Vikt:510 g
Format:Inbunden
Språk:Engelska
Serie:Finance for Professionals
Antal sidor:206
Förlag:Springer International Publishing AG
ISBN:9783031878886

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Mer om författaren

Niels Rom is Head of Risk and Pricing Model Validation at Nordea Bank in Copenhagen (Denmark). His work includes pricing models, including xVA, market risk models, counterparty credit risk models and AI models. He leads a team consisting of validation specialists with backgrounds in Astrophysics, Mathematics, Mathematical Finance, Physics and Statistics.

Innehållsförteckning

Chapter 1. Introduction.- Chapter 2. Fixed Income.- Chapter 3. Mathematical Finance.- Chapter 4. Prepayment Model Estimation.- Chapter 5. Stochastic Interest Rate Model.- Chapter 6. Simulation.- Chapter 7. Finite Difference.- Chapter 8. Semi-Analytic MBS Pricing.- Chapter 9. adjustable-rate Mortgages.- Chapter 10. Valuation of a Mortgage Credit Institute’s Loan Book.- Chapter 11. Cash Settled Swaptions.