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Mortgages and Markov Chains: A Simplified Evaluation Model

Publication ,  Journal Article
Zipkin, P
Published in: Management Science
June 1993
Published version (DOI) Publisher Link

This paper has two purposes. The first is purely expository: to introduce stochastic interest-rate models and security-evaluation methods in a simple mathematical setting. Specifically, we assume the uncertainties in the model are represented by a discrete-time, finite-state Markov chain. Second, using this framework, we present a relatively simple model for the evaluation of mortgage-backed securities.

Duke Scholars

Paul H. Zipkin
Author Paul H. Zipkin Fuqua School of Business
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Published In

Management Science

DOI

10.1287/mnsc.39.6.683

EISSN

1526-5501

ISSN

0025-1909

Publication Date

June 1993

Volume

39

Issue

6

Start / End Page

683 / 691

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Related Subject Headings

  • Operations Research
  • 15 Commerce, Management, Tourism and Services
  • 08 Information and Computing Sciences
 

Citation

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Zipkin, P. (1993). Mortgages and Markov Chains: A Simplified Evaluation Model. Management Science, 39(6), 683–691. https://doi.org/10.1287/mnsc.39.6.683
Zipkin, Paul. “Mortgages and Markov Chains: A Simplified Evaluation Model.” Management Science 39, no. 6 (June 1993): 683–91. https://doi.org/10.1287/mnsc.39.6.683.
Zipkin P. Mortgages and Markov Chains: A Simplified Evaluation Model. Management Science. 1993 Jun;39(6):683–91.
Zipkin, Paul. “Mortgages and Markov Chains: A Simplified Evaluation Model.” Management Science, vol. 39, no. 6, Institute for Operations Research and the Management Sciences (INFORMS), June 1993, pp. 683–91. Crossref, doi:10.1287/mnsc.39.6.683.
Zipkin P. Mortgages and Markov Chains: A Simplified Evaluation Model. Management Science. Institute for Operations Research and the Management Sciences (INFORMS); 1993 Jun;39(6):683–691.

Published In

Management Science

DOI

10.1287/mnsc.39.6.683

EISSN

1526-5501

ISSN

0025-1909

Publication Date

June 1993

Volume

39

Issue

6

Start / End Page

683 / 691

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Related Subject Headings

  • Operations Research
  • 15 Commerce, Management, Tourism and Services
  • 08 Information and Computing Sciences