英文标题：
《Endogenous Current Coupons》
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作者：
Scott Robertson, Zhe Cheng
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最新提交年份：
2015
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英文摘要：
We consider the problem of identifying current coupons for Agency backed To-be-Announced (TBA) Mortgage Backed Securities. In a doubly stochastic factor based model which allows for prepayment intensities to depend upon current and origination mortgage rates, as well as underlying investment factors, we identify the current coupon with solutions to a degenerate elliptic, non-linear fixed point problem. Using Schaefer\'s theorem we prove existence of current coupons. We also provide an explicit approximation to the fixed point, valid for compact perturbations off a baseline factor-based intensity model. Numerical examples are provided which show the approximation performs remarkably well in estimating the current coupon.
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中文摘要：
我们考虑确定机构支持待公布（TBA）抵押贷款支持证券的当前优惠券的问题。在一个基于双随机因素的模型中，考虑到提前还款强度取决于当前和初始抵押贷款利率，以及潜在的投资因素，我们用退化椭圆非线性不动点问题的解来确定当前息票。利用Schaefer定理证明了当前优惠券的存在性。我们还提供了固定点的显式近似，适用于基于基线因子的强度模型的紧致扰动。数值算例表明，该近似方法在估计当前优惠券时表现得非常好。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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