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Valuation of mortgage-backed securities
13 references·1 citing·39 second hop
Valuation of mortgage-backed securities (2006)Valuation of mortgage-backed securitiesFixed Income Mathematics: Analytical and Statistical Techniques (2006)Fixed Income Mathematics: Ana…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…Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities (2000)Path Generation for Quasi-Mon…Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Rational Prepayment and the V…A Model for Valuing Bonds and Embedded Options (1993)A Model for Valuing Bonds and…Mortgage and mortgage-backed securities markets (1992)Mortgage and mortgage-backed …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 Mortgage-Backed Securities (1985)The Handbook of Mortgage-Back…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Pricing of Default-Free Mortgages (1984)The Pricing of Default-Free M…A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities (1981)A Comparison of Alternative M…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…A three‐factor valuation model for mortgage‐backed securities (MBS) (2011)A three‐factor valuation mode…A contingent-claims valuation of convertible securities (1977)CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION (1977)Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty (2012)Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty (2013)Why Do Borrowers Make Mortgage Refinancing Mistakes? (2014)Option pricing when underlying stock returns are discontinuous (1976)AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIES (1977)Valuation of GNMA Mortgage-Backed Securities (1981)Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Comparing the Modeling Performance of Regression and Neural Networks as Data Quality Varies: A Business Value Approach (1993)Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach (1997)Fussing and Fuming over Fannie and Freddie: How Much Smoke, How Much Fire? (2005)Is the Market for Mortgage-Backed Securities a Market for Lemons? (2008)Optimal Mortgage Refinancing: A Closed‐Form Solution (2013)Why Do Borrowers Make Mortgage Refinancing Mistakes? (2015)Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate (1995)Collateral Damage: Refinancing Constraints and Regional Recessions (1997)Effects of Asset Securitization on Seller Claimants (2001)Interest Rate Risk Management (1997)AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES (2004)State and Local Government Bond Refinancing and the Factors Associated with the Refunding Decision (2012)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities406 cited
  • 1989Prepayments on fixed-rate mortgage-backed securities200 cited
  • 1981A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities151 cited
  • 1985The Handbook of Mortgage-Backed Securities114 cited
  • 1992Mortgage and mortgage-backed securities markets100 cited
  • 2005The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Strategy and the Pricing of Debt Contracts86 cited
  • 1993A Model for Valuing Bonds and Embedded Options84 cited
  • 2000Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities44 cited
  • 2006Fixed Income Mathematics: Analytical and Statistical Techniques35 cited
  • 1984The Pricing of Default-Free Mortgages32 cited

Cited by

  • 2011A three‐factor valuation model for mortgage‐backed securities (MBS)19 cited

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