ABSTRACT “Limits of Arbitrage” theories hypothesize that the marginal investor in a
particular asset market is a specialized arbitrageur rather than a diversified representative …

Because most mortgages in the United States are securitized in agency mortgage-backed
securities (MBS), yield spreads on MBS are a key determinant of homeowners' funding …

Option-adjusted spread (OAS), while a much better measure than yield or static spread, still
falls short in explaining the dynamics of mortgage pricing. The standard OAS typically varies …

PAUL KUPIEC AND ADAMA KAH he option-adjusted spread is a common measure in the
market for mortgage-backed securities. The OAS is a by-product of the mortgage pricing …

In this paper, we investigate a pricing model for mortgage-backed securities (MBSs) of a pay-
through type of collateral mortgage obligation (CMO), embedded call options, which can be …

In order to do OAS or SVM analysis one starts with a term-structure model that generates a
set of calibrated interest rate scenarios.(We use the two-factor Gaussian G2++ as in Brigo …

In this chapter, a numerical approach to the valuation and hedging of a portfolio of bond and
options is presented in the case of strong dependency of bond principal on the market …

The paper presents a novel regularization approach to the hedging of Collateralized
Mortgage Obligations (CMO). Our method is related to well known Option-Adjusted Spread …