Mortgages and Markov Chains: A Simplified Evaluation Model
用离散时间、有限状态的马尔可夫链简化随机利率模型，并据此提出一个相对简单的抵押贷款支持证券评估方法。
This paper has two purposes. The first is purely expository: to introduce stochastic interest-rate models and security-evaluation methods in a simple mathematical setting. Specifically, we assume the uncertainties in the model are represented by a discrete-time, finite-state Markov chain. Second, using this framework, we present a relatively simple model for the evaluation of mortgage-backed securities.