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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach

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  • Jacob Boudoukh Matthew Richardson Richard Stanton and Robert F. Whitelaw.
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  • Jacob Boudoukh Matthew Richardson Richard Stanton and Robert F. Whitelaw., 1995. "Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach," Research Program in Finance Working Papers RPF-252, University of California at Berkeley.
    • Handle: RePEc:ucb:calbrf:rpf-252
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    Cited by:

    1. Yacine Aït-Sahalia & Andrew W. Lo, "undated". "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," CRSP working papers 332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.

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