Dynamic option adjusted spread and the value of mortgage backed securities

We extend a reduced form model for pricing mortgage-backed securities (MBS) pass through and provide a novel hedging tool for investors in this market. To calculate the price of an MBS traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS). The latter allows investors in the mortgage market to account for both prepayment risk and changes of the slope of the yield curve

Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities

We extend a reduced form model for pricing pass-through mortgage backed securities (MBS) and provide a novel hedging tool for investors in this market. To calculate the price of an MBS, traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS). The latter allows investors in the mortgage market to account for both prepayments risk and changes of the yield curve.Asset pricing, Mortgage Backed Securities, Term Structure Ambiguity, arrival rate of innovation, R&D investments.

Deformed Quantum Energy Spectra with Mixed Harmonic Potential for Nonrelativistic Schrödinger Equation

The paper describes the deformed Hamiltonian for Schrödinger equation with mixed harmonic potential known by sextic potential and the corresponding spectrum of energies which depended with 3-new quantum numbers (j = l ± 1/2, l) and s = 1/2 in the non-commutativity infinitesimal parameter θ

A New Look at a Nonrelativistic Shell Model: Study of the Mirror Nuclei 17O and 17F in the Symmetries of NCQM

In present work, the 3-dimensional modified Schrödinger equation is analytically solved for nuclei 17O and 17F, which can be modeled as a doubly magic isotope  and , with one additional nucleon (valence) in the  level under modified quadratic Hellmann potential in the symmetries of noncommutative quantum mechanics (NCQM), using the generalized Bopp’s shift method. The new energy eigenvalues and the corresponding modified Hamiltonian operator are calculated in the 3-dimensional noncommutative real space phase (NC: 3D-RSP) symmetries. It is found that the perturbative solutions of the discrete spectrum can be expressed by the Gamma function, the discreet subatomic quantum numbers  and the potential parameters ( ), in addition to the noncommutativity parameters ( and ). The total complete degeneracy of new energy levels of the modified quadratic Hellmann potential changed to become equals to the value  instead of the initial values  in ordinary QM. Our results are in good agreement with the already existing literature in NCQM.

A New Model for Describing Heavy-Light Mesons in The Extended Nonrelativistic Quark Model Under a New Modified Potential Containing Cornell, Gaussian And Inverse Square Terms in The Symmetries Of NCQM

In present work, the modified Schrödinger equation (MSE) is analytically solved for the Heavy-Light Mesons (HLM) under modified quark-antiquark potential containing modified Cornell, Gaussian and inverse square terms MCGISTs, in the symmetries of 3-dimensional noncommutative real space phase (NC: 3D-RSP), using the generalized Bopp’s shift method. The energy a spectrum of HLM has been investigated in the framework of extended nonrelativistic quark model ENRQM. Furthermore, the new energy eigenvalues and the corresponding Hamiltonian operator are calculated in (NC: 3D-RSP) symmetries. The masses of the scalar, vector, pseudoscalar, and pseudovector for (,,  and ) mesons have been calculated in (NC: 3D-RSP) and we have shown that the spin-orbital coupling  generated automatically. Moreover, using the perturbation approach, we found that the perturbative solutions of discrete spectrum can be expressed by the parabolic cylinder functions function, Gamma function, the discreet atomic quantum numbers  of the  state and (the spin independent and spin dependent) parameters (), in addition to noncommutativity parameters (and). As a special case this model has been applied to study the S- and P-wave states of,,  and mesons  in NCQM symmetries The total complete degeneracy of new energy levels of HLM was changed to become equals the new value instead  in ordinary quantum mechanics. Our obtained results are in good agreement with the already existing literatures in NCQM.&nbsp