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

Keyphrases

• Adjustable Rate 50%
• Adjustable Rate Mortgages 50%
• Annuity 50%
• Arbitrage-free 50%
• Call Option 50%
• Cost Effect 50%
• Delivery Options 50%
• Embedded Options 50%
• Fixation Rate 100%
• Fixed Transaction Costs 50%
• Interest Rate Differential 50%
• Interest Rate Models 50%
• Min-max Optimization 50%
• Mortgage 50%
• Mortgage Lending 100%
• Mortgage-backed Securities 100%
• Mortgagor 50%
• Multi-stage Stochastic Optimization 50%
• Optimization Program 50%
• Primary Determinants 50%
• Proportional Transaction Costs 50%
• Risk Attitude 50%
• Security Prices 50%
• Stochastic Programming Model 100%
• Tax Effects 50%
• Transaction Costs 50%
• Transaction Tax 50%
• Volatility 100%

Economics, Econometrics and Finance

• Mortgages 100%