Optimal prepayment and default rules for mortgage-backed securities
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DOI: 10.1007/s10203-009-0098-3
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References listed on IDEAS
- Andrew Kalotay & Deane Yang & Frank J. Fabozzi, 2004. "An Option-Theoretic Prepayment Model For Mortgages And Mortgage-Backed Securities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(08), pages 949-978.
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Cited by:
- Yerkin Kitapbayev & Scott Robertson, 2020. "Mortgage Contracts and Underwater Default," Papers 2005.03554, arXiv.org, revised May 2022.
- Alqatawni, Tahsen, 2013. "Unethical dilemmas in derivatives practice," MPRA Paper 47407, University Library of Munich, Germany, revised 10 Jun 2013.
- Werner Hürlimann, 2012. "Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(2), pages 171-202, November.
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More about this item
Keywords
Computationally simple trees; Hazard function; Mortgage-backed securities; Optimal stopping; Two-dimensional trees; C61; C63; D81; G21;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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