Mortgage valuation and optimal refinancing
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Publication:3511644
dynamic programmingendogenous mortgage ratesequilibriumhazard rateintensity processMarkov decision chainmortgage valuation
Recommendations
- Optimal mortgage refinancing with regime switches
- ON THE EXISTENCE OF THE ENDOGENOUS MORTGAGE RATE PROCESS
- AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
- Optimal payment of mortgages
- AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
Cited in
(25)- A stochastic partial differential equation model for the pricing of mortgage-backed securities
- When to refinance a mortgage: a dynamic programming approach
- Default and prepayment options pricing and default probability valuation under VG model
- How profitable are equity release mortgages?
- Endogenous current coupons
- Minimizing the payments and borrower risk in a mortgage
- Measuring the economic value of loan advice
- Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
- Optimal originator valuation and the global financial crisis
- Optimal mortgage prepayment under the Cox-Ingersoll-Ross model
- An asymptotic method to a financial optimization problem
- Computing the endogenous mortgage rate without iterations
- INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
- Ruthless Prepayment? Evidence from Multifamily Mortgages
- Valuing mortgage contracts via an option model
- AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
- Valuation of mortgage pass-through securities with partial prepayment risk
- AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
- VALUES OF MORTGAGES WITH TOP-UP PAYMENT OPTIONS
- Optimal payment of mortgages
- Optimal times to buy and sell a home
- Mortgage contracts and underwater default
- Optimal refinancing strategy for mortgage rate with regime switching
- Lock and no-lock mortgage plans: Is it only a matter of risk shifting?
- Optimal mortgage refinancing with regime switches
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