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Constructing Optimal Samples from a Binomial Lattice
5 references·1 citing·17 second hop
Constructing Optimal Samples from a Binomial Lattice (1993)Constructing Optimal Samples from a Binom…Financial Optimization (1993)Financial OptimizationComplete Prepayment Models for Mortgage-Backed Securities (1992)Complete Prepayment Models fo…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…Prepayments on fixed-rate mortgage-backed securities (1989)Prepayments on fixed-rate mor…A Generalized Framework for Pricing Contingent Cash Flows (1987)A Generalized Framework for P…Sensitivity of Bond Portfolio's Behavior with Respect to Random Movements in Yield Curve: A Simulation Study (2000)Sensitivity of Bond Portfolio…Monte Carlo bounding techniques for determining solution quality in stochastic programs (1999)Introduction to Stochastic Programming (2011)Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Arbitrage Theory in Continuous Time (2004)Is the Market for Mortgage-Backed Securities a Market for Lemons? (2008)Optimal Mortgage Refinancing: A Closed‐Form Solution (2013)Why Do Borrowers Make Mortgage Refinancing Mistakes? (2015)Mean-absolute deviation portfolio optimization for mortgage-backed securities (1993)Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition (1993)Modeling Surrender and Lapse Rates With Economic Variables (2005)Optimal Mortgage Refinancing with Stochastic Interest Rates (1989)A market evaluation of FDIC assisted transactions (1995)Repeated acquirers in FDIC assisted acquisitions (1997)Solving long-term financial planning problems via global optimization (1997)Operational Tools in the Management of Financial Risks (1998)Robust optimization of conditional value at risk and portfolio selection (2008)
this work references cited by second hop

References

  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1989Prepayments on fixed-rate mortgage-backed securities200 cited
  • 1993Financial Optimization142 cited
  • 1992Complete Prepayment Models for Mortgage-Backed Securities73 cited
  • 1987A Generalized Framework for Pricing Contingent Cash Flows29 cited

Cited by

  • 2000Sensitivity of Bond Portfolio's Behavior with Respect to Random Movements in Yield Curve: A Simulation Study36 cited

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