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유한차분법과 병렬 시뮬레이션을 통한 주택저당증권 가치 평가
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Publication Year
2021-08
Journal
한국경영과학회지
Publisher
한국경영과학회
Citation
한국경영과학회지, Vol.46 No.3, pp.9-34
Keyword
Mortgage Backed SecuritiesParallel computingFinite Difference MethodPartial Differential EquationGeneralized Method of Moments
Abstract
In this paper, we apply parallel computing using a message-passing interface to pricing the Mortgage Backed Securities (MBS) with multiple tranches. We use the Finite Difference Method (FDM) to the differential equations of modeling MBS and determine the numerical solutions for the MBS. Our benchmark is the MBS 2017-11 issued by the Korean Housing Corporation. To obtain the interest rate condition for mortgage early repayment under the CIR (Cox et al., 1985) assumption, we calibrate the key variables on the interest rate process by the General Method of Moment (GMM). We also define the boundary conditions of the solutions in risk-neutral valuation through the Monte Carlo simulations. Our results suggest that the MBS needs to be issued with a long maturity to keep the risk-neutral position. Finally, we show that the parallel computing process successfully reduces costs and time for MBS pricing.
ISSN
1225-1119
Language
Kor
URI
https://aurora.ajou.ac.kr/handle/2018.oak/35459
Type
Article
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Yoo, Jae-in Image
Yoo, Jae-in유재인
Department of Financial Engineering
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