AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES

DOI10.1142/S0219024904002785zbMATH Open1090.91042OpenAlexW2113898393MaRDI QIDQ4658673FDOQ4658673

Frank J. Fabozzi, Andrew Kalotay, Deane Yang

Publication date: 18 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002785

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zbMATH Keywords

optioncontingent claimrefinancingmortgage-backed securityMortgageprepayment model

Mathematics Subject Classification ID

Cites Work

• A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
• Title not available (Why is that?)

Cited In (24)

• BEHAVIORAL VALUE ADJUSTMENTS
• Valuation of mortgage pass-through securities with partial prepayment risk
• Title not available (Why is that?)
• Mortgage valuation and optimal refinancing
• Valuation of mortgage interest deductibility under uncertainty: an option pricing approach
• Valuation of mortgage-backed securities based on unobservable prepayment costs
• Optimal prepayment of Dutch mortgages*
• Analyses of mortgage-backed securities based on unobservable prepayment cost processes
• Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation
• Pricing mortgage-backed securities (MBS)
• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• A prepayment model for the Japanese mortgage loan market: Prepayment-type-specific parametric model approach
• Indifference valuation of mortgage-backed securities in the presence of prepayment risk
• Computing the endogenous mortgage rate without iterations
• Default and prepayment options pricing and default probability valuation under VG model
• Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
• Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
• A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
• Title not available (Why is that?)
• Endogenous current coupons
• Valuation of the prepayment option of a perpetual corporate loan
• Mortgage contracts and underwater default
• PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO
• Optimal prepayment and default rules for mortgage-backed securities

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