Stochastic Analysis Common Seminar Series-Laura Marie Gruca (WPI)-Numerical Methods and Mortgage-Backed Securities

Mathematics - Lecture/Discussion

Monday, September 9, 2013
4:00 PM-5:00 PM

Stratton Hall
202

ABSTRACT: This talk primarily discusses the application of numerical techniques in designing Mortgage-Backed Securities pricing models. First, we introduce the basic methodology behind pricing Mortgage-Backed Securities. We also discuss the application of interpolation methods, including Cubic Spline Interpolation and Nelson-Siegel Method, for pricing. We then explore how iterative methods, including Newtons Method and Bisection Method, can be used for calibration.

Suggested Audiences: Adult, College

E-mail: ma-chair@wpi.edu

Last Modified: September 5, 2013 at 1:13 PM