Endogenous current coupons

Cheng, Z; Robertson, S

Robertson, S (reprint author), Boston Univ, Questrom Sch Business, 595 Commonwealth Ave, Boston, MA 02215 USA.

FINANCE AND STOCHASTICS, 2017; 21 (4): 1027

Abstract

We consider the problem of identifying current coupons for agency-backed to-be-announced pools of residential mortgages. Such coupons, or mortgage ori......

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