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Rational Prepayment and the Valuation of Mortgage-Backed Securities
5 references·16 citing·49 second hop
Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Rational Prepayment and the Valuation of …Security Markets: Stochastic Models. (1989)Security Markets: Stochastic …Prepayment and the Valuation of Mortgage-Backed Securities (1989)Prepayment and the Valuation …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Valuation of GNMA Mortgage-Backed Securities (1981)Valuation of GNMA Mortgage-Ba…Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Finite Difference Methods and…Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market (2020)Sources of Inaction in Househ…Housing and Macroeconomics (2016)Housing and MacroeconomicsWhy Do Borrowers Make Mortgage Refinancing Mistakes? 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this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis413 cited
  • 1981Valuation of GNMA Mortgage-Backed Securities322 cited
  • 1989Security Markets: Stochastic Models.275 cited

Cited by

  • 2020Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market262 cited
  • 2002Household Risk Management and Optimal Mortgage Choice251 cited
  • 2004Real Estate Versus Financial Wealth in Consumption232 cited
  • 2003Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options212 cited
  • 1999Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options205 cited
  • 2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS201 cited
  • 2016Housing and Macroeconomics200 cited
  • 2012Credit Supply and House Prices: Evidence from Mortgage Market Segmentation190 cited
  • 2013Optimal Mortgage Refinancing: A Closed‐Form Solution185 cited
  • 2008Is the Market for Mortgage-Backed Securities a Market for Lemons?

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175 cited
  • 2015Why Do Borrowers Make Mortgage Refinancing Mistakes?173 cited
  • 2009Mortgage timing172 cited
  • 1998Mortgage Choice: What's the Point?164 cited
  • 2010The Depth of Negative Equity and Mortgage Default Decisions163 cited
  • 2012Systemic risk and the refinancing ratchet effect142 cited
  • 1995The Effect of Income and Collateral Constraints on Residential Mortgage Terminations140 cited