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

contingent claimMortgagemortgage-backed securityoptionprepayment modelrefinancing

Mathematics Subject Classification ID

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Cites work

• A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
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• Pricing mortgage-backed securities (MBS)
• A prepayment model for the Japanese mortgage loan market: Prepayment-type-specific parametric model approach
• Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
• Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
• Valuation of mortgage interest deductibility under uncertainty: an option pricing approach
• Default and prepayment options pricing and default probability valuation under VG model
• Endogenous current coupons
• Bayesian forecasting of prepayment rates for individual pools of mortgages
• A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
• Computing the endogenous mortgage rate without iterations
• scientific article; zbMATH DE number 5120926 (Why is no real title available?)
• Mortgage valuation and optimal refinancing
• Indifference valuation of mortgage-backed securities in the presence of prepayment risk
• Valuation of the prepayment option of a perpetual corporate loan
• Ruthless Prepayment? Evidence from Multifamily Mortgages
• Behavioral value adjustments
• scientific article; zbMATH DE number 1444525 (Why is no real title available?)
• A prepayment-risk-neutral pricing model for mortgage-backed securities
• Valuation of mortgage pass-through securities with partial prepayment risk
• Optimal prepayment of Dutch mortgages*
• scientific article; zbMATH DE number 5050014 (Why is no real title available?)
• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• Valuation of mortgage-backed securities based on unobservable prepayment costs
• Valuation of mortgage-backed securities and mortgage derivatives: a closed-form approximation
• Pricing and hedging prepayment risk in a mortgage portfolio
• Mortgage contracts and underwater default
• Modeling and replication of the prepayment option of mortgages including behavioral uncertainty
• Analyses of mortgage-backed securities based on unobservable prepayment cost processes
• Optimal prepayment and default rules for mortgage-backed securities

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