Mortgages and Markov Chains: A Simplified Evaluation Model

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Zipkin, P

Published Date

  • June 1993

Published In

Volume / Issue

  • 39 / 6

Start / End Page

  • 683 - 691

Published By

Electronic International Standard Serial Number (EISSN)

  • 1526-5501

International Standard Serial Number (ISSN)

  • 0025-1909

Digital Object Identifier (DOI)

  • 10.1287/mnsc.39.6.683


  • en