Date of Award

Spring 4-2016

Embargo Period

3-28-2017

Degree Type

Dissertation

Degree Name

Doctor of Philosophy (PhD)

Department

Mathematical Sciences

Advisor(s)

Scott Robertson

Abstract

We consider the problem of identifying current coupons for agency-backed To-Be-Announced pools of residential mortgage loans. In a doubly stochastic model which allows for prepayment intensities to depend upon current and origination mortgage rates, as well as underlying investment factors, we identify the current coupon with solutions to a degenerate elliptic, non-linear fixed point problem. Using Schaefer’s theorem we prove existence of current coupons. We also provide an explicit approximation to the fixed point, valid for compact perturbations off a baseline model where intensities only depend on the underlying factors. Numerical examples are provided which show that the approximation performs well in estimating the current coupon.

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