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Borrower Credit and the Valuation of Mortgage-Backed Securities
16 references·11 citing·40 second hop
Borrower Credit and the Valuation of Mortgage-Backed Securities (2005)Borrower Credit and the Valuation of Mort…The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices (2004)The Flight‐to‐Liquidity Premi…The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices (2002)The Flight-to-Liquidity Premi…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence (2001)The Relative Valuation of Cap…The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks (2001)The Dynamics of the Forward I…Mortgage Choice: What's the Point? 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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 2004The Flight‐to‐Liquidity Premium in U.S. Treasury Bond Prices561 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities406 cited
  • 1981Valuation of GNMA Mortgage-Backed Securities322 cited
  • 2002The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices319 cited
  • 2001The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence203 cited
  • 1998Mortgage Choice: What's the Point?164 cited
  • 2001The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks158 cited
  • 1992Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities157 cited
  • 1981A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities

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151 cited
  • 1985Determinants of GNMA Mortgage Prices131 cited
  • Cited by

    • 2005An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?89 cited
    • 2007The Causal Effect of Mortgage Refinancing on Interest Rate Volatility: Empirical Evidence and Theoretical Implications54 cited
    • 2007An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options45 cited
    • 2007INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL45 cited
    • 2021The Cross Section of MBS Returns44 cited
    • 2011The Origins and Evolution of the Market for Mortgage-Backed Securities36 cited
    • 2014Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression27 cited
    • 2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities27 cited
    • 2008A New Prepayment Model (with Default): An Occupation-time Derivative Approach24 cited
    • 2022Asset Pricing with Cohort‐Based Trading in MBS Markets22 cited
    • 2012Refining the Least Squares Monte Carlo Method by Imposing Structure20 cited