181258.pdf
大小:(1.16 MB)

 马上下载

Lehman Brothers: Martgage Options - A Primer

作者：Fei Zhou and etc

资源类别：报告

资源格式: PDF 22 Pages 英 1.15MB

目录:

Introduction 31 Trading Conventions 3

2 Who uses Mortgage Options? 3

2 Who uses Mortgage Options? 3

Valuation of Mortgage Options 41 Price Volatility: The Missing Input 4

2 Understanding the Prepayment Option 4

3 Our Valutaion Framework 4

4 Back to Price Volatility 6

2 Understanding the Prepayment Option 4

3 Our Valutaion Framework 4

4 Back to Price Volatility 6

Risk Exposures of Mortgage Options 71 Price Profiles of Mortgage Options 7

1.1 Mortgage Calls are worth less in the money than CDB Calls 7

1.2 Mortgage Puts are worth more in the money than CDB Puts 7

1.3 Coupon Effects 8

2 Delta & Duration of Mortgage Options 8

2.1 Delta of Mortgage Options 8

2.2 Duration of Mortgage Options 9

3 Gamma of Mortgage Options 10

4 Vega of Mortgage Options 10

5 Why Buy Mortgage Calls 11

1.1 Mortgage Calls are worth less in the money than CDB Calls 7

1.2 Mortgage Puts are worth more in the money than CDB Puts 7

1.3 Coupon Effects 8

2 Delta & Duration of Mortgage Options 8

2.1 Delta of Mortgage Options 8

2.2 Duration of Mortgage Options 9

3 Gamma of Mortgage Options 10

4 Vega of Mortgage Options 10

5 Why Buy Mortgage Calls 11

Typical Strategies Using Mortgage Options 121 Income Enhancement Strategies 12

2 Wealth Preservation Strategies 12

3 Hedging Servicing Portfolios 13

4 Hedging Pipeline Risk 13

4.1 How to Hedge this Risk: Calls or Puts? 14

4.2 Tradeoff between Liquidity and Efficiency 14

5 Conditional Mortgage Trades 15

5.1 Framework for Conditional Mortgage Trades 15

5.2 Risks to Mortgage Conditional Trades 16

5.3 An Example Conditional Trade 16

2 Wealth Preservation Strategies 12

3 Hedging Servicing Portfolios 13

4 Hedging Pipeline Risk 13

4.1 How to Hedge this Risk: Calls or Puts? 14

4.2 Tradeoff between Liquidity and Efficiency 14

5 Conditional Mortgage Trades 15

5.1 Framework for Conditional Mortgage Trades 15

5.2 Risks to Mortgage Conditional Trades 16

5.3 An Example Conditional Trade 16

Conclusions 17

Appendix: Modeling Mortgage Optionality . 18Mortgage Duration Profile 18

Resultant Convexity Profile 19

Price Function 19

Distribution of Price 19

Volatility of Mortgage Rates 20

Resultant Convexity Profile 19

Price Function 19

Distribution of Price 19

Volatility of Mortgage Rates 20