The Monte Carlo approach to the valuation of mortgage-backed securities.

Title: The Monte Carlo approach to the valuation of mortgage-backed securities.
Identifier: AAI9108085
identifier: 9108085
Creator: Cai, Fuchun.
Contributor: Adviser: Ronald W. Anderson
Date: 1990
Language: English
Publisher: City University of New York.
Subject: Economics, Finance | Economics, Commerce-Business
Abstract: The valuation model of mortgage-backed securities is one of the important topics in the finance theory and its application. The purpose of this paper is to provide a Monte Carlo approach to valuing the GNMA mortgage-backed securities. Two interest rate movement models, modified binomial interest rate model and full information interest rate model, have been introduced into the GNMA valuation framework. We found that the monte carlo simulation approach provides a very good alternative to valuing GNMA mortgage-backed securities in terms of accuracy of the simulation. Furthermore, the Monte Carlo approach is quite powerful in a sense that stochastic state variables other than diffusion process as well as various stochastic prepayment functions can be easily introduced into the Monte Carlo simulation.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.

Media: The Monte Carlo approach to the valuation of mortgage-backed securities.