Financial math modeling of MBS?

naggy

Can anyone refer me to an introductory text about math modeling of mortgage backed securities?

chiro

Hey naggy.

Did you try Google? ;)

http://www.google.com.au/search?q=mo...=hp&channel=np

lavinia

I would look in the Finance journals e.g the Journal of Finance or the Journal of Portfolio Management.

MBS were created on Wall Street during the early 1980's and investors needed some way to value these bonds. The problem was valuing the prepayment option on the underlying mortgages.

So much was published by investment banks to explain prepayments and MBS valuation to bond portfolio managers.