南方科技大学知识苑(SUSTech KC): An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate

题名	An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate
作者	Wu, Xiaoxia 1,2; Xie, Dejun 1,3; Edwards, David A.4
通讯作者	Edwards, David A.
发表日期	2019-04
DOI	10.1007/s10614-018-9809-6
发表期刊	Computational Economics 影响因子和分区
ISSN	0927-7099
EISSN	1572-9974
卷号	53 期号:4页码:1353-1375
摘要	This article puts forward a framework for assessing the optimal refinancing strategy in continuous time when the interest rate is stochastic and follows a Vasicek model. The optimal refinancing time is obtained by minimizing the conditional expectation of the discounted total payment. A moment generating function is used to derive a closed-form approximation to the refinancing function with infinite maturity under the Vasicek model. The approximation is studied both analytically and numerically. The results indicate three different types of behaviour in the refinancing function, depending on the underlying parameters in the model. Two types indicate optimal refinancing in finite time. We outline a strategy by which a borrower can continually evaluate whether to refinance. By providing a systematic way to evaluate the likelihood of refinancing, these results should be of interest to those trading mortgage-backed securities.
关键词	Fixed rate mortgage Optimal refinancing Vasicek model Analytical approximation
相关链接	[来源记录]
收录类别	SCI ; SSCI
语种	英语
学校署名	第一
WOS研究方向	Business & Economics ; Mathematics
WOS类目	Economics ; Management ; Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000463791300003
出版者	SPRINGER
来源库	Web of Science
引用统计	被引频次[WOS]：3
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/26189
专题	商学院_金融系
作者单位	1.South Univ Sci & Technol China, Dept Finance, Shenzhen 518055, Peoples R China 2.Univ Texas Austin, Dept Math, Austin, TX 78712 USA 3.Xian Jiaotong Liverpool Univ, Dept Math Sci, Suzhou, Peoples R China 4.Univ Delaware, Dept Math Sci, Newark, DE 19716 USA
第一作者单位	金融系
第一作者的第一单位	金融系
推荐引用方式 GB/T 7714	Wu, Xiaoxia,Xie, Dejun,Edwards, David A.. An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate[J]. Computational Economics,2019,53(4):1353-1375.
APA	Wu, Xiaoxia,Xie, Dejun,&Edwards, David A..(2019).An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate.Computational Economics,53(4),1353-1375.
MLA	Wu, Xiaoxia,et al."An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate".Computational Economics 53.4(2019):1353-1375.