<font size="2"><font size="2"><p><strong><br/></strong></p><p><strong>Lehman Brothers: Martgage Options - A Primer</strong></p><p><strong>作者：Fei Zhou and etc</strong></p><p><strong>资源类别：报告</strong></p><p><strong>资源格式: PDF 22 Pages 英 1.15MB</strong></p><p><strong>目录: </strong></p></font><font face="Minion-Semibold" size="2"><p><strong>Introduction </strong><font face="Minion-Regular" size="2">3<strong>1 Trading Conventions 3</strong><p><strong>2 Who uses Mortgage Options? 3</strong></p></font></p></font><font face="Minion-Regular" size="2">3<strong>1 Trading Conventions 3</strong><p><strong>2 Who uses Mortgage Options? 3</strong></p></font><font face="Minion-Semibold" size="2"><p><strong>Valuation of Mortgage Options </strong><font face="Minion-Regular" size="2">4<strong>1 Price Volatility: The Missing Input 4</strong><p><strong>2 Understanding the Prepayment Option 4</strong></p><p><strong>3 Our Valutaion Framework 4</strong></p><p><strong>4 Back to Price Volatility 6</strong></p></font></p></font><font face="Minion-Regular" size="2">4<strong>1 Price Volatility: The Missing Input 4</strong><p><strong>2 Understanding the Prepayment Option 4</strong></p><p><strong>3 Our Valutaion Framework 4</strong></p><p><strong>4 Back to Price Volatility 6</strong></p></font><font face="Minion-Semibold" size="2"><p><strong>Risk Exposures of Mortgage Options </strong><font face="Minion-Regular" size="2">7<strong>1 Price Profiles of Mortgage Options 7</strong><p><strong>1.1 Mortgage Calls are worth less in the money than CDB Calls 7</strong></p><p><strong>1.2 Mortgage Puts are worth more in the money than CDB Puts 7</strong></p><p><strong>1.3 Coupon Effects 8</strong></p><p><strong>2 Delta &amp; Duration of Mortgage Options 8</strong></p><p><strong>2.1 Delta of Mortgage Options 8</strong></p><p><strong>2.2 Duration of Mortgage Options 9</strong></p><p><strong>3 Gamma of Mortgage Options 10</strong></p><p><strong>4 Vega of Mortgage Options 10</strong></p><p><strong>5 Why Buy Mortgage Calls 11</strong></p></font></p></font><font face="Minion-Regular" size="2">7<strong>1 Price Profiles of Mortgage Options 7</strong><p><strong>1.1 Mortgage Calls are worth less in the money than CDB Calls 7</strong></p><p><strong>1.2 Mortgage Puts are worth more in the money than CDB Puts 7</strong></p><p><strong>1.3 Coupon Effects 8</strong></p><p><strong>2 Delta &amp; Duration of Mortgage Options 8</strong></p><p><strong>2.1 Delta of Mortgage Options 8</strong></p><p><strong>2.2 Duration of Mortgage Options 9</strong></p><p><strong>3 Gamma of Mortgage Options 10</strong></p><p><strong>4 Vega of Mortgage Options 10</strong></p><p><strong>5 Why Buy Mortgage Calls 11</strong></p></font><font face="Minion-Semibold" size="2"><p><strong>Typical Strategies Using Mortgage Options </strong><font face="Minion-Regular" size="2">12<strong>1 Income Enhancement Strategies 12</strong><p><strong>2 Wealth Preservation Strategies 12</strong></p><p><strong>3 Hedging Servicing Portfolios 13</strong></p><p><strong>4 Hedging Pipeline Risk 13</strong></p><p><strong>4.1 How to Hedge this Risk: Calls or Puts? 14</strong></p><p><strong>4.2 Tradeoff between Liquidity and Efficiency 14</strong></p><p><strong>5 Conditional Mortgage Trades 15</strong></p><p><strong>5.1 Framework for Conditional Mortgage Trades 15</strong></p><p><strong>5.2 Risks to Mortgage Conditional Trades 16</strong></p><p><strong>5.3 An Example Conditional Trade 16</strong></p></font></p></font><font face="Minion-Regular" size="2">12<strong>1 Income Enhancement Strategies 12</strong><p><strong>2 Wealth Preservation Strategies 12</strong></p><p><strong>3 Hedging Servicing Portfolios 13</strong></p><p><strong>4 Hedging Pipeline Risk 13</strong></p><p><strong>4.1 How to Hedge this Risk: Calls or Puts? 14</strong></p><p><strong>4.2 Tradeoff between Liquidity and Efficiency 14</strong></p><p><strong>5 Conditional Mortgage Trades 15</strong></p><p><strong>5.1 Framework for Conditional Mortgage Trades 15</strong></p><p><strong>5.2 Risks to Mortgage Conditional Trades 16</strong></p><p><strong>5.3 An Example Conditional Trade 16</strong></p></font><font face="Minion-Semibold" size="2"><p><strong>Conclusions </strong><font face="Minion-Regular" size="2">17</font></p></font><font face="Minion-Regular" size="2">17</font><font face="Minion-Semibold" size="2"><p><strong>Appendix: Modeling Mortgage Optionality </strong><font face="Minion-Regular" size="2">. 18<strong>Mortgage Duration Profile 18</strong><p><strong>Resultant Convexity Profile 19</strong></p><p><strong>Price Function 19</strong></p><p><strong>Distribution of Price 19</strong></p><p><strong>Volatility of Mortgage Rates 20</strong></p></font></p></font><font face="Minion-Regular" size="2">. 18<strong>Mortgage Duration Profile 18</strong><p><strong>Resultant Convexity Profile 19</strong></p><p><strong>Price Function 19</strong></p><p><strong>Distribution of Price 19</strong></p><p><strong>Volatility of Mortgage Rates 20</strong></p></font><font size="2"></font></font>