Mortgage Backed Valuation

119 Pages Posted: 10 Jan 2007

See all articles by Harvey J. Stein

Harvey J. Stein

Two Sigma; Columbia University - Department of Mathematics

Date Written: May 25, 2006


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

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

Suggested Citation

Stein, Harvey J., Mortgage Backed Valuation (May 25, 2006). Available at SSRN: or

Harvey J. Stein (Contact Author)

Two Sigma ( email )

100 6th Ave
New York, NY 10013
United States
10013 (Fax)

Columbia University - Department of Mathematics ( email )

New York, NY
United States

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