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Pricing Mortgage-Backed Securities (MBS)
7 references·3 citing·37 second hop
Pricing Mortgage-Backed Securities (MBS) (2000)Pricing Mortgage-Backed Securities (MBS)Mortgage Choice: What's the Point? (1998)Mortgage Choice: What's the P…Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Rational Prepayment and the V…Rational Prepayments and the Valuation of Collateralized Mortgage Obligations (1994)Rational Prepayments and the …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…Valuation of GNMA Mortgage-Backed Securities (1981)Valuation of GNMA Mortgage-Ba…A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities (1981)A Comparison of Alternative M…A three‐factor valuation model for mortgage‐backed securities (MBS) (2011)A three‐factor valuation mode…Semi-analytical MBS Pricing (2007)Semi-analytical MBS PricingMortgage Valuation and Optimal Refinancing (2006)Mortgage Valuation and Optima…Introduction to Mathematical Finance: Discrete Time Models (1997)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (2000)Systemic Risk and the Refinancing Ratchet Effect (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)Option pricing when underlying stock returns are discontinuous (1976)AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIES (1977)Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)Optimal Mortgage Refinancing: A Closed‐Form Solution (2013)Why Do Borrowers Make Mortgage Refinancing Mistakes? (2015)Common Factors Affecting Bond Returns (1991)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Commercial Mortgage-Backed Securities: Prepayment and Default (2003)Deep Learning for Mortgage Risk (2018)Deep Learning for Mortgage Risk* (2020)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)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Informational Equilibrium (1979)Household Finance: An Emerging Field (2013)Systematic mistakes in the mortgage market and lack of financial sophistication (2016)Household Finance (2021)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)Fussing and Fuming over Fannie and Freddie: How Much Smoke, How Much Fire? (2005)Predictably Unequal? The Effects of Machine Learning on Credit Markets (2021)
this work references cited by second hop

References

  • 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
  • 1998Mortgage Choice: What's the Point?164 cited
  • 1981A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities151 cited
  • 1985The Handbook of Mortgage-Backed Securities114 cited
  • 1994Rational Prepayments and the Valuation of Collateralized Mortgage Obligations69 cited

Cited by

  • 2006Mortgage Valuation and Optimal Refinancing23 cited
  • 2011A three‐factor valuation model for mortgage‐backed securities (MBS)19 cited
  • 2007Semi-analytical MBS Pricing17 cited

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