A stochastic approach to model housing markets: the US housing market case

DOI10.3934/NACO.2018030MaRDI QIDQ1735709zbMATH OpenOpenAlexWikidataFDO

Authors Bilgi Yilmaz, A. Sevtap Selcuk-Kestel

Publication date 28 March 2019

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/naco.2018030

zbMATH Keywords

forecastingcalibrationstochastic differential equationshousing indexmortgage rate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Option pricing when underlying stock returns are discontinuous
• Pricing interest-rate-derivative securities
• The pricing of options and corporate liabilities

Cited in

(5)

• Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark
• Default and prepayment options pricing and default probability valuation under VG model
• scientific article; zbMATH DE number 6466142 (Why is no real title available?)
• What drives Ireland's housing market? A Bayesian DSGE approach
• Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis

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