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

DOI10.1142/S0219024904002785MaRDI QIDQ4658673zbMATH OpenOpenAlexFDO

Authors Andrew Kalotay, Deane Yang, Frank J. Fabozzi

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

zbMATH Keywords

optioncontingent claimrefinancingmortgage-backed securityMortgageprepayment model

Mathematics Subject Classification ID

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Cites work

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• A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures

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(27)

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• Valuation of mortgage interest deductibility under uncertainty: an option pricing approach
• Mortgage valuation and optimal refinancing
• Valuation of mortgage-backed securities based on unobservable prepayment costs
• Pricing and hedging prepayment risk in a mortgage portfolio
• Analyses of mortgage-backed securities based on unobservable prepayment cost processes
• Optimal prepayment of Dutch mortgages*
• 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
• Bayesian forecasting of prepayment rates for individual pools of mortgages
• Valuation of mortgage-backed securities and mortgage derivatives: a closed-form approximation
• Behavioral value adjustments
• 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
• Modeling and replication of the prepayment option of mortgages including behavioral uncertainty
• 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
• scientific article; zbMATH DE number 5120926 (Why is no real title available?)
• Endogenous current coupons
• Valuation of the prepayment option of a perpetual corporate loan
• Mortgage contracts and underwater default
• Optimal prepayment and default rules for mortgage-backed securities

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