Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension

107 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Lattice Particle Filters (2001, methodology): “Superior performance of QMC over MC has been demonstrated in numerous applications [2, 12, 17].”
Numerical integration using sparse grids (2004, unknown): “6 CMO Problem A typical collateralized mortgage obligation problem consists of several tranches which derive their cash ows from an underlying pool of mortgages [6, 42].”
A Generalized ANOVA Dimensional Decomposition for Dependent Probability Measures (2014, unknown): “[2], who exploited the classical ADD-based low eﬀective dimension to explain why the quasi Monte Carlo method outperforms the crude Monte Carlo algorithm for evaluating a certain class of high-dimensional integrals.”