28. The cash flow of mortgage-backed securities is path dependent and consequently the Monte Carlo method is

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28. The cash flow of mortgage-backed securities is path dependent and consequently the Monte Carlo method is commonly used to value these securities.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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