Preliminary Content
Acknowledgements
Preface
Dedication
Abstract
Abstract
1
Introduction
2
The Danish Mortgage Market
2.1
Types of mortgage bonds
2.2
The Danish mortgage model
2.3
Balance principle
2.4
Delivery and prepayment
2.5
Callable annuity bonds
2.6
Prepayment
2.6.1
Calculating prepayment gains
2.6.2
Different types of remortgaging strategies
2.6.3
Remortgage gain depends on several factors
2.7
Estimating prepayments
2.7.1
Data for estimating prepayments
3
Term strucutre
3.1
The Short Rate
3.2
Zero Coupon Bonds
3.3
Interest Rate Swaps
3.4
Zero Rates, Forward Rates and Curve Fitting
3.5
Caps & Floors
4
Callable Mortgage Bonds
4.1
Callability
4.2
Prepayment
4.3
The Mortgage PDE
4.4
Pricing by Finite Differences
4.5
The Extended Vasicek Model
4.6
The Delivery Option
5
Estimating Prepayments
5.1
The Danish Prepayment Data
Conclusion
Conclusion nr 2
Appendix
A
The First Appendix
A.1
Vasicek ODEs
A.2
Fitting the Initial Term structure
A.3
The Variance of the Short Rate
A.4
The Expected Value Under
\(\mathbb{Q}\)
^S
A.5
Vasicek MLE
Roadmap
Timeline
Logbook
Introduction
Theory
Data
References
Published with bookdown
Pricing Danish Mortgage Bonds using Machine learning for estimation
Abstract
Kind words go a long way