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A parabolic variational inequality arising from the valuation of fixed rate mortgages
5 references·1 citing·22 second hop
A parabolic variational inequality arising from the valuation of fixed rate mortgages (2005)A parabolic variational inequality arisin…The valuation at origination of fixed-rate mortgages with default and prepayment (1995)The valuation at origination …Some mathematical results in the pricing of American options (1993)Some mathematical results in …A Generalized Valuation Model for Fixed-Rate Residential Mortgages (1992)A Generalized Valuation Model…Pricing Default Risk in Mortgages (1985)Pricing Default Risk in Mortg…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Optimal payment of mortgages (2007)Optimal payment of mortgagesFinancial Calculus: An Introduction to Derivative Pricing. (1997)Derivatives: The Theory and Practice of Financial Engineering (1998)A Theory of the Term Structure of Interest Rates (1985)An Intertemporal General Equilibrium Model of Asset Prices (1985)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (1999)Theory of rational option pricing (2005)Housing markets and the financial crisis of 2007–2009: Lessons for the future (2010)Theory of Rational Option Pricing (1973)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)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)The pricing of commodity contracts (1976)Analysis of the free boundary for the pricing of an American call option (2001)Quadratic Convergence for Valuing American Options Using a Penalty Method (2002)Stochastic Differential Equations (2003)Analytical and Numerical Methods for Pricing Financial Derivatives (2011)Estimation of Mortgage Defaults Using Disaggregate Loan History Data (1985)
this work references cited by second hop

References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992A Generalized Valuation Model for Fixed-Rate Residential Mortgages336 cited
  • 1995The valuation at origination of fixed-rate mortgages with default and prepayment179 cited
  • 1985Pricing Default Risk in Mortgages132 cited
  • 1993Some mathematical results in the pricing of American options62 cited

Cited by

  • 2007Optimal payment of mortgages16 cited

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