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AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
16 references·2 citing·33 second hop
AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE (2006)AN INTENSITY-BASED APPROACH TO THE VALUAT…Handbook of Fixed‐Income Securities (2016)Handbook of Fixed‐Income Secu…Theory of rational option pricing (2005)Theory of rational option pri…DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (2005)DEFAULT RISK AND DIVERSIFICAT…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (2000)Mortgage Terminations, Hetero…Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Rational Prepayment and the V…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities (1992)Prepayment, Default, and the …A Generalized Valuation Model for Fixed-Rate Residential Mortgages (1992)A Generalized Valuation Model…Prepayments on fixed-rate mortgage-backed securities (1989)Prepayments on fixed-rate mor…Prepayment and the Valuation of Mortgage-Backed Securities (1989)Prepayment and the Valuation …The Handbook of Fixed Income Securities (1983)The Handbook of Fixed Income …Semimartingales (1982)SemimartingalesValuation of GNMA Mortgage-Backed Securities (1981)Valuation of GNMA Mortgage-Ba…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities (2016)Macroeconomic-Driven Prepayme…Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information (2008)Commercial Mortgage‐Backed Se…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Modeling Term Structures of Defaultable Bonds (1999)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)The Pricing of Options and Corporate Liabilities (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)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)Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model (1994)An empirical analysis of changes in credit rating properties: Timeliness, accuracy and volatility (2008)Option pricing: A simplified approach (1979)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)On the Existence of Optimal Controls (1990)Path Dependent Options: The Case of Lookback Options (1991)A Stochastic Wave Equation in Two Space Dimension: Smoothness of the Law (1999)
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References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2000Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options794 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 2016Handbook of Fixed‐Income Securities407 cited
  • 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities406 cited
  • 1982Semimartingales358 cited
  • 1992A Generalized Valuation Model for Fixed-Rate Residential Mortgages336 cited
  • 1981Valuation of GNMA Mortgage-Backed Securities322 cited
  • 2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS201 cited
  • 1989Prepayments on fixed-rate mortgage-backed securities200 cited
  • 1983The Handbook of Fixed Income Securities193 cited
  • 1992Prepayment, Default, and the Valuation of Mortgage Pass-Through Securities

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157 cited

Cited by

  • 2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities27 cited
  • 2008Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information26 cited