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Rational Prepayments and the Valuation of Collateralized Mortgage Obligations
Home
Publications
Rational Prepayments and the Valuation of Collateralized Mortgage Obligations
Rational Prepayments and the Valuation of Collateralized Mortgage Obligations
JM
John J. McConnell
John J. McConnell
MS
Manoj Singh
Manoj Singh
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1 July 1994
journal article
Published by
JSTOR
in
The Journal of Finance
Vol. 49
(3)
,
891-921
https://doi.org/10.2307/2329210
Abstract
No abstract available
Keywords
DYNAMIC PROGRAMMING
CMO
SENSITIVITY ANALYSIS
MORTGAGE
MONTE CARLO
PREPAYMENT
PROGRAMMING PROBLEM
TRANCHES
REFINANCING COST
Cited by 10 articles