Mortgage Backed Valuation

Stein, Harvey

doi:10.2139/ssrn.955721

Abstract

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Mortgage Backed Valuation

Harvey J. Stein

Bloomberg L.P.

May 25, 2006

Abstract:
Tutorial on valuation of mortgage backed securities and collateralized mortgage obligations, including:
- Structure of the mortgage market
- Prepayment modeling
- OAS analysis
- Interest rate modeling
- Numerical methods
- Parallelization

Number of Pages in PDF File: 119

Keywords: MBS, CMO, OAS, interest rate modeling, rate, yield, yield curve, Gaussian, Monte Carlo, parallelization, Markovian, mortgage, mortgage backed, collateralized mortgage obligation, collateralized, structured product, prepayment, prepayment modeling

JEL Classification: G12, G13, C15, C51, C52, C61, C63

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Date posted: January 10, 2007

Suggested Citation

Stein, Harvey J., Mortgage Backed Valuation (May 25, 2006). Available at SSRN: http://ssrn.com/abstract=955721 or http://dx.doi.org/10.2139/ssrn.955721

Contact Information

Harvey J. Stein (Contact Author)

Bloomberg L.P. ( email )

731 Lexington Avenue
New York, NY 10022
United States
212 617 3059 (Phone)