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	Pricing method for MBS based on simulated interest rate paths and spread-prepayment curve
	Zhao Hong-xu ; Wu Su
	2010-10-12 ; 2010-10-12
关键词	Practical Theoretical or Mathematical/ differential equations economic indicators marketing Monte Carlo methods mortgage processing pricing securities trading/ pricing simulated interest rate paths spread-prepayment curve mortgage-backed securities MBS market interest rate Monte Carlo method differential equation/ C7170 Marketing computing C7120 Financial computing C4170 Differential equations (numerical analysis) C1140G Monte Carlo methods
中文摘要	Pricing of mortgage-backed securities, MBS, depends on the path of the market interest rate. Taking the prevailing interest rate term structure as benchmark, an approach was discussed for MBS pricing, based on the interest rate paths generated in the method of Monte Carlo. To conquer the weakness of traditional Vasicek and CIR models, the differential equation of interest rate was modified by a level mean reversion term and a slope mean reversion term, with stable and feasible interest rate paths generated. Market quoted price of swap was used to estimate implied volatility surface in simulation model. In the consideration that the refinance speed was decided by the spread of MBS rate and prevailing loan rate, a spread-prepayment speed curve estimated from history data was used to measure prepayment. At the last, properties of interest paths generated by different model were compared and influence of parameter was discussed.
语种	中文
出版者	Editorial Committee of the Journal of System Simulation ; China
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/80663]
专题	清华大学
推荐引用方式 GB/T 7714	Zhao Hong-xu,Wu Su. Pricing method for MBS based on simulated interest rate paths and spread-prepayment curve[J],2010, 2010.
APA	Zhao Hong-xu,&Wu Su.(2010).Pricing method for MBS based on simulated interest rate paths and spread-prepayment curve..
MLA	Zhao Hong-xu,et al."Pricing method for MBS based on simulated interest rate paths and spread-prepayment curve".(2010).

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