Contributions of The Journal of Fixed Income to MBS Analysis.
FJ Fabozzi - Journal of Fixed Income, 2022 - search.ebscohost.com
Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …
primers about the structure and risk characteristics for the growing number of complex …
Introducing the Citi LMM Term Structure Model for Mortgages
Y Karpishpan, O Turel, A Hasha - The Journal of Fixed Income, 2010 - pm-research.com
Valuation of mortgage-backed securities pairs a prepayment model with a term-structure
model of interest rates. While the prepayment model is crucial, the choice of the term …
model of interest rates. While the prepayment model is crucial, the choice of the term …
Forward-neutral valuation relationships for options on zero coupon bonds
A Câmara, A Câmara - Quantitative Finance, 2012 - Taylor & Francis
This paper extends the literature on Risk-Neutral Valuation Relationships (RNVRs) to derive
valuation formulae for options on zero coupon bonds when interest rates are stochastic. We …
valuation formulae for options on zero coupon bonds when interest rates are stochastic. We …