Abstract
AbstractWe present our study on the optimal mortgage refinancing problem under a stochastic interest rate environment. Through Monte Carlo simulations we try to identify the optimal time for refinancing such that the overall cost is minimised. Experimental results reveal that such a time is more likely to appear at the early stage of a mortgage contract. Through simulations we also generate time-dependent threshold rates for optimal refinancing. At a particular time, if market interest rate falls below such a threshold refinancing is most likely to be optimal. To accelerate the generation of the threshold rates we developed a multi-threaded program, which demonstrated more than three-time speedups against an efficiently-written sequential program on a quad-core Intel Corei7 2600 in all the test cases.KeywordsParallel computingMonte Carlo simulationMortgage refinancingStochastic interest rate model
Published Version
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