Options
Refinancing Mortgages in Switzerland
Series
MPS-SIAM Book Series on Optimization
ISBN
0-89871-555-5
Type
book section
Date Issued
2005
Author(s)
Abstract
This paper presents a multistage stochastic programming model for refinancing mortgages with non-contractual maturity under liquidity restrictions in the market. An extension to the management of other products such as savings accounts is straightforward. The evolution of interest rates is modelled by principal components for short-term and a two-factor mean reversion model with long rate and spread for long-term planning. Barycentric approximation provides tight lower and upper bounds for the original problem with relative discretization errors in the order of one per cent.
Language
English
Keywords
Multistage Stochastic Programming
Asset & Liability Management
Non-Maturing Assets & Liabilities
Barycentric Approximation
HSG Classification
contribution to scientific community
Refereed
Yes
Book title
Applications of Stochastic Programming
Publisher
SIAM Society for Industrial and Applied Mathematics
Publisher place
Philadelphia
Number
5
Start page
445
End page
469
Pages
25
Subject(s)
Division(s)
Eprints ID
18718