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Mortgage Options Valuation & Risk Analysis by 4sainadh is a document available to read on EtoBox.

This document discusses modeling and valuation of mortgage options. It presents a model for the duration of mortgage-backed securities as a function of interest rates. Mortgage option values are computed using Monte Carlo simulations of the underlying mortgage rates. The model parameters are calibrated to match observed option prices and implied volatilities. Risk characteristics like delta, gamma, and vega are analyzed.

Author

4sainadh

Language

EN