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Mortgage Valuation Models – Embedded Options, Risk, and Uncertainty - Oxford Scholarship Online
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Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty

Andrew Davidson and Alexander Levin

Abstract

Mortgage Backed Securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with mathematical modeling of interest rates and home prices. Over the past 25 years, the authors have been at the leading edge of MBS valuation and risk analysis. This book is a detailed description of the sophisticated theories and advanced methods that they employ in analysis of MBS. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in their approach to valuation of MBS. The book describ ... More

Keywords: borrower options, uncertainty, model risk, risk neutrality, closed form, backward induction, Monte Carlo valuation, Option-Adjusted-Spread (OAS), model uncertainty

Bibliographic Information

Print publication date: 2014 Print ISBN-13: 9780199998166
Published to Oxford Scholarship Online: August 2014 DOI:10.1093/acprof:oso/9780199998166.001.0001

Authors

Affiliations are at time of print publication.

Andrew Davidson, author
Andrew Davidson & Co., Inc.

Alexander Levin, author
Andrew Davidson & Co., Inc.

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