Callable Mortgage Bonds: Numerical Methods and Valuation Models for Pricing and Risk Analysis

Name: Callable Mortgage Bonds: Numerical Methods and Valuation Models for Pricing and Risk Analysis
Brand: Atlantic Books
SKU: 9783031878886
Price: 5876.0 INR
Availability: InStock

by Niels Rom

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ISBN13: 9783031878886
Binding: Hardcover
Subject: N/A
Publisher: Springer
Publisher Imprint: Springer
Publication Date: May 10, 2025
Pages: 206
Original Price: EUR 79.99
Language: English
Edition: N/A
Item Weight: 499 grams
BISAC Subject(s): Finance / Financial Risk Management

About The Book

Callable mortgage bonds are utilized by individuals and companies to finance the purchase of real estate, and this asset class therefore plays a crucial role in modern society. Callable mortgage bonds constitute an enormous asset class and often offer long-term stable investments that are very attractive for pension funds.

This book focuses on the pricing and calculation of risk numbers of callable fixed-rate mortgage bonds. Owing to the, from a financial perspective, irrational behaviour of borrowers, the pricing of these instruments usually requires the use of numerical solutions. Traditionally, it has been either a Monte Carlo simulation or a Finite Difference method. This book covers both methods and, in addition, the relatively new Fourier technique. This latter technique also creates a link between the interest rate derivatives market and the market for callable mortgage bonds. Finally, a chapter presenting a model for the valuation of a mortgage credit institute's loan book is included.

About The Author

Niels Rom is Head of Risk and Pricing Model Validation at Nordea Bank in Copenhagen (Denmark). His work includes pricing models, including xVA, market risk models, counterparty credit risk models and AI models. He leads a team consisting of validation specialists with backgrounds in Astrophysics, Mathematics, Mathematical Finance, Physics and Statistics.

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