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INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2002Handbook of Brownian Motion - Facts and Formulae1,094 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2000Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options794 cited
  • 2009Mathematical Methods for Financial Markets638 cited
  • 2003Credit Risk560 cited
  • 2004Credit Risk Modeling530 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities406 cited
  • 1981Valuation of GNMA Mortgage-Backed Securities322 cited
  • 2000On Models of Default Risk238 cited
  • 2005Statistical Tools for Finance and Insurance213 cited
  • 1999Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options205 cited

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Cited by

  • 2012Evaluating callable and putable bonds: An eigenfunction expansion approach41 cited
  • 2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities27 cited