-1
$\begingroup$

Does someone know some good literature(Papers or Books) regarding the topic how to Price debt/credit with prepayment? I just found literature about the general topic , like how to price callable bonds, but I never found literature that clearly states that a debt with a prepayment Option can be f.e. be modelled as a callable bond or a bond with a swaption. Maybe u have some recommendations?

Thy,

K.S.

$\endgroup$
0
$\begingroup$

Kosta, that would depend on your level of math or background knowledge already on the subject. I believe that a good starting point would be this. Not heavy on math but it presents the general idea. You can then expand on making the underlying assumptions (default, prepayment arrival) more intricate.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.