IDEAS home Printed from https://ideas.repec.org/a/inm/orinte/v22y1992i1p55-71.html
   My bibliography  Save this article

Mortgage Valuation Models at Prudential Securities

Author

Listed:
  • Yosi Ben-Dov

    (Rappaport Institute, Haifa, Israel 31096)

  • Lakhbir Hayre

    (Financial Strategies Group, Prudential Securities, Incorporated, One Seaport Plaza, New York, New York 10292)

  • Vincent Pica

    (Financial Strategies Group, Prudential Securities, Incorporated, One Seaport Plaza, New York, New York 10292)

Abstract

During the last four years, Prudential Securities Inc (PSI) has built a premier mortgage-backed securities (MBSs) department. Due to the complexity of the securities, standard fixed-income valuation tools are inadequate for MBSs. The development of sound and accurate models has been an integral part of the growth of the department. These models use a variety of management science techniques, including regression analysis, probabilistic modeling, Monte Carlo simulation, and linear, integer, and nonlinear programming. The models allow the firm to quickly and accurately value, and hence trade, complex MBSs, to properly hedge MBSs in inventory, and to structure clients' portfolios to achieve given objectives while staying within specified constraints. The models are used hundreds of times each day by traders, salespeople, and clients to evaluate MBSs, and they form the basic tools necessary for the firm to participate successfully in the mortgage market.

Suggested Citation

  • Yosi Ben-Dov & Lakhbir Hayre & Vincent Pica, 1992. "Mortgage Valuation Models at Prudential Securities," Interfaces, INFORMS, vol. 22(1), pages 55-71, February.
    • Handle: RePEc:inm:orinte:v:22:y:1992:i:1:p:55-71
    DOI: 10.1287/inte.22.1.55
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/inte.22.1.55
    Download Restriction: no
    File URL: https://libkey.io/10.1287/inte.22.1.55?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Consiglio, Andrea & Zenios, Stavros A., 1997. "A model for designing callable bonds and its solution using tabu search," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1445-1470, June.
    2. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.
    3. Peter C. Bell & Chris K. Anderson, 2002. "In Search of Strategic Operations Research/Management Science," Interfaces, INFORMS, vol. 32(2), pages 28-40, April.
    4. Escudero Bueno, Laureano F. & Garín Martín, María Araceli & Merino Maestre, María & Pérez Sainz de Rozas, Gloria, 2005. "A two-stage stochastic integer programming approach," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    5. Peter C. Bell & Chris K. Anderson & Stephen P. Kaiser, 2003. "Strategic Operations Research and the Edelman Prize Finalist Applications 1989--1998," Operations Research, INFORMS, vol. 51(1), pages 17-31, February.
    6. Golub, Bennett & Holmer, Martin & McKendall, Raymond & Pohlman, Lawrence & Zenios, Stavros A., 1995. "A stochastic programming model for money management," European Journal of Operational Research, Elsevier, vol. 85(2), pages 282-296, September.
    7. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.

    More about this item

    Keywords

    finance/securities; programming;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:orinte:v:22:y:1992:i:1:p:55-71. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.