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Malliavin Calculus, MBS, and MC simulations
Reality isn't constrained by our ability to describe it. Period.True, but controlling or predicting reality does require the ability to describe the process.Let's try MBS. We are interested in pp rates, but also the configuration manifold. With a Poisson assumption, the hazards simply add to get the total pp rate. What's interesting is the changes to pos or neg correlation between individual mortages because of the financial environment.N
Malliavin Calculus, MBS, and MC simulations
Good remarks guys, thanks. Keep going - anyone else?
Jan Dash, PhD
Editor, World Scientific Encyclopedia of Climate Change:
https://www.worldscientific.com/page/en ... ate-change
Book:
http://www.worldscientific.com/doi/abs/ ... 71241_0053
Editor, World Scientific Encyclopedia of Climate Change:
https://www.worldscientific.com/page/en ... ate-change
Book:
http://www.worldscientific.com/doi/abs/ ... 71241_0053