Mortgage-Backed Securities - Operation and Pricing

Author: Shi Fang
Publisher:
Publish Date: 2005-06-01
Features: This book has certain innovations in theory. First, the Weibull distribution prepayment model proposed in the prepayment prediction model is a breakthrough from the currently commonly used Log-logistic model and exponential model. Second, in the pricing method, to address the flaw of the fixed yield rate used to discount Treasury bonds in the common static spread pricing method, the CIR Treasury bond pricing method is introduced to describe and analyze the random process of Treasury bond rates. Combining the pricing concept of coupon-bearing Treasury bonds, an extension is made on this basis, proposing the CIR mortgage-backed security pricing method and establishing a spread pricing model for mortgage-backed securities under the free market interest rate. Third, in differential equation pricing, the method summarized by John C. Hull for general derivative securities' differential equations is applied to establish a differential equation pricing method for mortgage-backed securities under the free interest rate, opening up a new approach to establishing differential equations for mortgage-backed securities. At the end of the book, based on the actual situation of China, the author puts forward their own views on the operation and pricing of securitization in China.