Oct 7, 2015 · Using Schaefer's theorem we prove existence of current coupons. We also provide an explicit approximation to the fixed point, valid for compact ...
Aug 23, 2017 · We consider the problem of identifying current coupons for agency-backed to-be-announced pools of residential mortgages.
The current coupon is a coupon rate interpolated from the observed TBA prices that makes the price of a TBA with current delivery month equal to par. As such, ...
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Abstract. We consider the problem of identifying current coupons for Agency backed To-be-Announced (TBA) Mortgage Backed Securities. In a doubly ...
Downloadable (with restrictions)! We consider the problem of identifying current coupons for agency-backed to-be-announced pools of residential mortgages.
May 24, 2016 · Scott Robertson speaking at BIRS workshop, Stochastic Analysis and Mathematical Finance - A Fruitful Partnership, on Tuesday, May 24, ...
“Endogenous Current Coupons”, Finance and Stochastics, 21 (4), 1027-1071. Robertson, S., Xing, H. (2017). “Long-Term Optimal Investment in Matrix Valued ...
This paper develops a model to explicitly explore the impacts of practical online price discount and different cooperative advertising modes on a dual-channel ...
We show that a dynamic model of investment and capital structure choices, where the firm faces real and financial frictions, can generate option prices and ...
