SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A three‐factor valuation model for mortgage‐backed securities (MBS)
14 references·0 citing·36 second hop
A three‐factor valuation model for mortgage‐backed securities (MBS) (2011)A three‐factor valuation model for mortga…Valuation of mortgage-backed securities (2006)Valuation of mortgage-backed …The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Strategy and the Pricing of Debt Contracts (2005)The Effect of Refinancing Cos…An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter? (2005)An Empirical Test of a Two-Fa…Fundamentals of Futures and Options Markets (2001)Fundamentals of Futures and O…Pricing Mortgage-Backed Securities (MBS) (2000)Pricing Mortgage-Backed Secur…Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (2000)Mortgage Terminations, Hetero…Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (1999)Mortgage Terminations, Hetero…Mathematics of Financial Markets (1999)Mathematics of Financial Mark…The valuation at origination of fixed-rate mortgages with default and prepayment (1995)The valuation at origination …Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Rational Prepayment and the V…A Generalized Valuation Model for Fixed-Rate Residential Mortgages (1992)A Generalized Valuation Model…Prepayment and the Valuation of Mortgage-Backed Securities (1989)Prepayment and the Valuation …Valuation of GNMA Mortgage-Backed Securities (1981)Valuation of GNMA Mortgage-Ba…A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities (1981)A Comparison of Alternative M…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market (2007)An Intertemporal General Equilibrium Model of Asset Prices (1985)Risk-based capital requirements for mortgage loans (2003)Theory of rational option pricing (2005)Housing markets and the financial crisis of 2007–2009: Lessons for the future (2010)Option pricing when underlying stock returns are discontinuous (1976)AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIES (1977)Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)Optimal Mortgage Refinancing: A Closed‐Form Solution (2013)Why Do Borrowers Make Mortgage Refinancing Mistakes? (2015)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Household Risk Management and Optimal Mortgage Choice (2002)Real Estate Versus Financial Wealth in Consumption (2004)Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market (2020)Options: A Monte Carlo approach (1977)A continuous time approach to the pricing of bonds (1979)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Household Risk Management and Optimal Mortgage Choice (2003)The case for GDP-indexed bonds (2004)STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (2012)Foreclosure Contagion and the Neighborhood Spillover Effects of Mortgage Defaults (2016)Mortgage Termination: An Empirical Hazard Model with a Stochastic Term Structure (1997)The psychological costs of unsustainable housing commitments (2007)Systemic risk and the refinancing ratchet effect (2012)Commercial Mortgage-Backed Securities: Prepayment and Default (2003)An Empirical Model of Subprime Mortgage Default From 2000 to 2007 (2008)Can't Pay or Won't Pay? Unemployment, Negative Equity, and Strategic Default (2015)Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach (2000)Stock Trading: An Optimal Selling Rule (2001)Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)Negative equity and foreclosure: Theory and evidence (2008)What moves housing markets: A variance decomposition of the rent–price ratio (2009)A Model of Mortgage Default (2011)
this work references cited by second hop

References

  • 2000Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options794 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities406 cited
  • 1999Mathematics of Financial Markets338 cited
  • 1992A Generalized Valuation Model for Fixed-Rate Residential Mortgages336 cited
  • 1981Valuation of GNMA Mortgage-Backed Securities322 cited
  • 2001Fundamentals of Futures and Options Markets292 cited
  • 1999Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options205 cited
  • 1995The valuation at origination of fixed-rate mortgages with default and prepayment179 cited
  • 1981A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities151 cited
  • 2005An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?89 cited
  • 2005The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Strategy and the Pricing of Debt Contracts86 cited
  • 2000Pricing Mortgage-Backed Securities (MBS)24 cited
  • 2006Valuation of mortgage-backed securities21 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work