11.353J / 15.429J
Securitization of Mortgages and Other Assets

11.431 OR 15.401 or Permission of Instructor

Investigates the economics and finance of securitization. Considers the basic mechanics of structuring deals for various asset-backed securities. Investigates the pricing of pooled assets, using Monte Carlo and other option pricing techniques, as well as various trading strategies used in these markets.

Prereq: 15.426J, 15.401, or permission of instructor