I want to know where i can find the matlab code of pricing the Adjustable Rate Mortgage.Thanks!Leo

I want to know where i can find the matlab code of pricing the Adjustable Rate Mortgage.Thanks!Leo

How to use Matlab to simulate the pure jump processI want know how to use Matlab or other soft to simulate the pure jump process. So, could anyone recommend some relevant books, articles or code for me? Thanks a lot.Bu2008.04.24

I want to know how the commercial bank use the dynamic simulation method to manage the interest rate risk. So, could anyone recommand some books or articles for me? Thanks a lot.Bu2008.04.22

<t>Hi, everybody:Recently, I am learning the MBS pricing. I want to know the detail method of how to select the interest rate medel, how to select the prepayment model, and how to do the monte carlo simulation or lattice,etc.Could someboby recommand a book foy me?Your help will be highly appreciated...

I want to know how to use binomial tree to value the MBS, (especialy the ARM). Who can tell me which book contains the method? Thanks a lot!leobu

<t>Hi, Edwyn:At China, the exchange-based bond market has more liquidity than inter-bank bond market does, but the inter-bank bond market has much more volume than exchange-based bond market does. So, there is not unique data choice to construct the initial yield. I am planning to use the inter-bank...

thanks a lot,I am an Beginner, i think your meaning is that i can construct a h-w Trinomial Trees to fit the treasury bond market price to determine the drift and volatility parameters, so the market price of MBS is not useful. Is my understanding right?Bu

thanks a lot, by the way, do you know where can i find the matlab code about using monte carlo method to compute the OAS value of adjustable-rate mortgages?

<t>hi, everybody:Recently, in order to compute the OAS of China MBS, I want to use the Hull-White model to simulate interest process. But there are only bonds and MBS data at China market. So, is there a reasonable method to obtain the drift and volatility parameters in the Hull-White model ? Your h...

Where can I find the materials about OAS model for adjustable-rate mortgages?Your help will be highly appreciated. Bu

<t>Hi, everybody: I am a doctoral student of xi'an Jiaotong university of China. Recently I am learning the Hull-White interest model. My target is using this model to simulate the interest rate path to price the MBS. But because there is only bond data in China market, so I want to know how to esti...