Abstract
In this chapter we develop a multi-period Pfandbrief model which incorporates the required modelling features as derived in Section 2.3. Due to the complexity of the modelling, a stochastic simulation-based framework is our method of choice.
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© 2018 Springer Fachmedien Wiesbaden GmbH, part of Springer Nature
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Spangler, M. (2018). The Pfandbrief Model. In: Modelling German Covered Bonds. Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics. Springer Spektrum, Wiesbaden. https://doi.org/10.1007/978-3-658-23915-2_4
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DOI: https://doi.org/10.1007/978-3-658-23915-2_4
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Publisher Name: Springer Spektrum, Wiesbaden
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Online ISBN: 978-3-658-23915-2
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