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An analytical comparison of the durations and price sensitivities of fixed-rate, constant payment and constant amortization mortgages

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  • Followill, Richard

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  • Followill, Richard, 1998. "An analytical comparison of the durations and price sensitivities of fixed-rate, constant payment and constant amortization mortgages," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 51-64.
    • Handle: RePEc:eee:finana:v:7:y:1998:i:1:p:51-64
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    References listed on IDEAS

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    1. Ott, Robert A, Jr, 1986. "The Duration of an Adjustable-Rate Mortgage and the Impact of the Index," Journal of Finance, American Finance Association, vol. 41(4), pages 923-933, September.
    2. Haensly, Paul J & Springer, Thomas M & Waller, Neil G, 1993. "Duration and the Price Behavior of Fixed-Rate Level Payment Mortgages: An Analytical Investigation," The Journal of Real Estate Finance and Economics, Springer, vol. 6(2), pages 157-166, March.
    3. Stock, Duane & Simonson, Donald G., 1988. "Tax-Adjusted Duration for Amortizing Debt Instruments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 313-327, September.
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    Cited by:

    1. Dungey, Mardi & Doko Tchatoka, Firmin & Yanotti, María B., 2018. "Using multiple correspondence analysis for finance: A tool for assessing financial inclusion," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 212-222.
    2. Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.

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