Can you please suggest me some good reference for Prepayment model of Mortgage Backed Securities. I am looking for a basic book from more of mathematical point of view.
P.S.- I am new to finance.
$\begingroup$
$\endgroup$
Add a comment
|
2 Answers
$\begingroup$
$\endgroup$
The canonical reference is the "Salomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities" (2001). It is actually a compilation of many research reports/papers originally published by Salomon Brothers and Smith Barney. It hasn't been updated for many years but still ranks amongst the most comprehensive treatments of modeling and trading MBS products.
$\begingroup$
$\endgroup$
you can try the Alexandre Adam's "Handbook of Asset and Liability Management: from models to optimal return strategies". There's a chapter dedicated to prepayments under MBS approach in there. Also, there is a whitepaper-crafted book named "One year of research on ALM" by Serge Moulin, which could by useful to understand some topics on prepayment modeling. In case, if you are new to finance, it could be convenient to start from a higher-level bibliography on this matter.
KR
David.
