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A two-factor, stochastic programming model of Danish mortgage-backed securities

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  • S. Nielsen, Soren
  • Poulsen, Rolf

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  • S. Nielsen, Soren & Poulsen, Rolf, 2004. "A two-factor, stochastic programming model of Danish mortgage-backed securities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1267-1289, April.
    • Handle: RePEc:eee:dyncon:v:28:y:2004:i:7:p:1267-1289
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    References listed on IDEAS

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    1. Tanggaard, Carsten, 1997. "Nonparametric Smoothing of Yield Curves," Review of Quantitative Finance and Accounting, Springer, vol. 9(3), pages 251-267, October.
    2. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    3. Rustem, Berc & Becker, Robin G. & Marty, Wolfgang, 2000. "Robust min-max portfolio strategies for rival forecast and risk scenarios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1591-1621, October.
    4. Søren Nielsen & Rolf Poulsen, 2002. "Planning Your Own Debt," European Financial Management, European Financial Management Association, vol. 8(2), pages 193-210, June.
    5. Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
    6. Pan Kang & Stavros A. Zenios, 1992. "Complete Prepayment Models for Mortgage-Backed Securities," Management Science, INFORMS, vol. 38(11), pages 1665-1685, November.
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    Cited by:

    1. Date, P. & Canepa, A. & Abdel-Jawad, M., 2011. "A mixed integer linear programming model for optimal sovereign debt issuance," European Journal of Operational Research, Elsevier, vol. 214(3), pages 749-758, November.
    2. Robert Ferstl & Alex Weissensteiner, 2010. "Cash management using multi-stage stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 209-219.
    3. Anne Pedersen & Alex Weissensteiner & Rolf Poulsen, 2013. "Financial planning for young households," Annals of Operations Research, Springer, vol. 205(1), pages 55-76, May.
    4. Rasmussen, Kourosh Marjani & Clausen, Jens, 2007. "Mortgage loan portfolio optimization using multi-stage stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 742-766, March.
    5. Balibek, Emre & Köksalan, Murat, 2010. "A multi-objective multi-period stochastic programming model for public debt management," European Journal of Operational Research, Elsevier, vol. 205(1), pages 205-217, August.
    6. Philip L. Brock, 2009. "Mortgage Securitizacion and Economic Development: an Essay on Chile´s Caja de Crédito Hipotecario," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(1), pages 69-93, April.
    7. Jitka Dupačová & Marida Bertocchi & Vittorio Moriggia, 2009. "Testing the structure of multistage stochastic programs," Computational Management Science, Springer, vol. 6(2), pages 161-185, May.
    8. Kourosh Rasmussen & Claus Madsen & Rolf Poulsen, 2014. "Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark," Computational Management Science, Springer, vol. 11(1), pages 5-23, January.

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