BEHAVIORAL VALUE ADJUSTMENTS (Q4602492): Difference between revisions

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+Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
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+BEHAVIORAL VALUE ADJUSTMENTS
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+Interest rate models -- theory and practice. With smile, inflation and credit
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+Counterparty Credit Risk, Collateral and Funding
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+Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
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+Nonlinearity Valuation Adjustment
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+Q4794153
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+AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
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+Q4840212
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+AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
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+On the pricing of American options
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+A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
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+Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation
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+Intensity-based framework and penalty formulation of optimal stopping problems
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+Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
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+TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
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+Bayesian forecasting of prepayment rates for individual pools of mortgages
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