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Semi-analytical MBS Pricing
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Semi-analytical MBS Pricing (2007)Semi-analytical MBS PricingLINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING (2007)LINEAR‐QUADRATIC JUMP‐DIFFUSI…QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES (2004)QUADRATIC TERM STRUCTURE MODE…Credit Risk Modeling: Theory and Applications (2004)Credit Risk Modeling: Theory …Quadratic Term Structure Models: Theory and Evidence (2002)Quadratic Term Structure Mode…Asset Pricing under the Quadratic Class (2002)Asset Pricing under the Quadr…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Spanning and derivative-security valuation (2000)Spanning and derivative-secur…Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (2000)Mortgage Terminations, Hetero…Swap Rates and Credit Quality (1996)Swap Rates and Credit QualityA YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…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…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Prepayment and the Valuation of Mortgage-Backed Securities (1989)Prepayment and the Valuation …The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Backward Stochastic Differential Equations in Finance (1997)Systemic Risk in Financial Systems (2001)Stochastic Integration and Differential Equations (2005)Options: A Monte Carlo approach (1977)A continuous time approach to the pricing of bonds (1979)An Equilibrium Model of Bond Pricing and a Test of Market Efficiency (1982)Estimating Security Price Derivatives Using Simulation (1996)Monte Carlo methods for security pricing (1997)Household Risk Management and Optimal Mortgage Choice (2003)Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)A consumption-based model of the term structure of interest rates☆ (2005)Brownian Motion and Stochastic Calculus (2007)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option valuation using the fast Fourier transform (1999)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Stochastic Differential Equations and Diffusion Processes (1983)Forecasting the Term Structure of Government Bond Yields (2003)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints (2004)Negative equity and foreclosure: Theory and evidence (2008)The fundamental principles of financial regulation (2009)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2000Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options794 cited
  • 2000Spanning and derivative-security valuation746 cited
  • 1996Swap Rates and Credit Quality480 cited
  • 2002Quadratic Term Structure Models: Theory and Evidence469 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities406 cited
  • 2004Credit Risk Modeling: Theory and Applications375 cited
  • 2002Asset Pricing under the Quadratic Class259 cited
  • 1995The valuation at origination of fixed-rate mortgages with default and prepayment179 cited
  • 2007LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING111 cited
  • 2004QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES

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