Keywords: Mortgage‐backed securities (MBS)
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Journal Articles
Managerial Finance (2011) 37 (11): 1068–1087.
Published: 27 September 2011
...Shuangzhe Liu; Milind Sathye; Takeaki Kariya; Fumiaki Ushiyama; Stanley R. Pliska Purpose The purpose of this paper is to generalize the one‐factor mortgagebacked securities (MBS)‐pricing model proposed by Kariya and Kobayashi to a three‐factor model. The authors describe prepayment behavior due...

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