Abstract
We 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.
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Zhang, N., Xie, D., Lim, E.G., Wan, K., Man, K.L. (2013). Parallel Generation of Optimal Mortgage Refinancing Threshold Rates. In: Park, J.J.(.H., Arabnia, H.R., Kim, C., Shi, W., Gil, JM. (eds) Grid and Pervasive Computing. GPC 2013. Lecture Notes in Computer Science, vol 7861. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-38027-3_72
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DOI: https://doi.org/10.1007/978-3-642-38027-3_72
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-38026-6
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