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Valuation of GNMA Mortgage-Backed Securities

Citations

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Cited by:

  1. 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.
  2. Hui Chen & Michael Michaux & Nikolai Roussanov, 2020. "Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty," Journal of Finance, American Finance Association, vol. 75(1), pages 323-375, February.
  3. Bilgi Yilmaz & A. Sevtap Selcuk-Kestel, 2019. "Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 59(4), pages 673-697, November.
  4. James Kau & Luke Peters, 2005. "The Effect of Mortgage Price and Default Risk on Mortgage Spreads," The Journal of Real Estate Finance and Economics, Springer, vol. 30(3), pages 285-295, April.
  5. Longstaff, Francis A., 2002. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," University of California at Los Angeles, Anderson Graduate School of Management qt19k7479t, Anderson Graduate School of Management, UCLA.
  6. Matteo Bissiri & Riccardo Cogo, 2017. "Behavioral Value Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-37, December.
  7. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
  8. Xavier Gabaix & Arvind Krishnamurthy & Olivier Vigneron, 2007. "Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market," Journal of Finance, American Finance Association, vol. 62(2), pages 557-595, April.
  9. Andrew H. Chen & David C. Ling, 1989. "Optimal Mortgage Refinancing with Stochastic Interest Rates," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(3), pages 278-299, September.
  10. Sumit Agarwal & Richard J. Rosen & Vincent W. Yao, 2013. "Why do borrowers make mortgage refinancing mistakes?," Working Paper Series WP-2013-02, Federal Reserve Bank of Chicago.
  11. Agarwal, Sumit & Ben-David, Itzhak & Yao, Vincent, 2017. "Systematic mistakes in the mortgage market and lack of financial sophistication," Journal of Financial Economics, Elsevier, vol. 123(1), pages 42-58.
  12. Lu Fang, 2020. "Mortgage Pricing Implications of Prepayment: Separating Pecuniary and Non-pecuniary Prepayment," The Journal of Real Estate Finance and Economics, Springer, vol. 60(3), pages 239-269, April.
  13. Tsai, Ming-Shann & Liao, Szu-Lang & Chiang, Shu-Ling, 2009. "Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks," Journal of Housing Economics, Elsevier, vol. 18(2), pages 92-103, June.
  14. Deng, Yongheng & Quigley, John M. & Van Order, Robert & Mac, Freddie, 1996. "Mortgage default and low downpayment loans: The costs of public subsidy," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 263-285, June.
  15. Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
  16. Toshio Kimura & Naoki Makimoto, 2008. "Optimal Mortgage Refinancing with Regime Switches," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(1), pages 47-65, March.
  17. Yongheng Deng & Della Zheng & Changfeng Ling, 2005. "An Early Assessment of Residential Mortgage Performance in China," The Journal of Real Estate Finance and Economics, Springer, vol. 31(2), pages 117-136, September.
  18. Xudong An & John Clapp & Yongheng Deng, 2010. "Omitted Mobility Characteristics and Property Market Dynamics: Application to Mortgage Termination," The Journal of Real Estate Finance and Economics, Springer, vol. 41(3), pages 245-271, October.
  19. Susanto Basu & Robert Inklaar & J. Christina Wang, 2011. "The Value Of Risk: Measuring The Service Output Of U.S. Commercial Banks," Economic Inquiry, Western Economic Association International, vol. 49(1), pages 226-245, January.
  20. Stephen A. Buser & Patric H. Hendershott & Anthony B. Sanders, 1988. "On the Determinants of the Value of Call Options on Default-Free Bonds," NBER Working Papers 2529, National Bureau of Economic Research, Inc.
  21. Kung, James J. & Wu, E-Ching, 2013. "An evaluation of some popular investment strategies under stochastic interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 96-108.
  22. Dejun Xie & Nan Zhang & David A. Edwards, 2018. "Simulation Solution to a Two-Dimensional Mortgage Refinancing Problem," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 479-492, August.
  23. Nicola Fusari & Wei Li & Haoyang Liu & Zhaogang Song, 2022. "Asset Pricing with Cohort‐Based Trading in MBS Markets," Journal of Finance, American Finance Association, vol. 77(6), pages 3249-3287, December.
  24. Almas Naseem & R. Reesor, 2015. "Risk and reward of home equity borrowing for investment in Canada, a stochastic analysis," Computational Management Science, Springer, vol. 12(1), pages 45-79, January.
  25. Jing-Tang Tsay & Che-Chun Lin & Jerry T. Yang, 2018. "Pricing Mortgage-Backed Securities-First Hitting Time Approach," International Real Estate Review, Global Social Science Institute, vol. 21(4), pages 419-446.
  26. Congjin Zhou & Guojing Wang & Yinghui Dong & Pin Wang, 2024. "The Valuation at Origination of Mortgages with Full Prepayment and Default Risks," Methodology and Computing in Applied Probability, Springer, vol. 26(2), pages 1-26, June.
  27. Michael LaCour-Little & Michael Marschoun & Clark L. Maxam, 2002. "Improving Parametric Mortgage Prepayment Models with Non-parametric Kernel Regression," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 299-328.
  28. Ahmad, F. & Hambly, B.M. & Ledger, S., 2018. "A stochastic partial differential equation model for the pricing of mortgage-backed securities," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3778-3806.
  29. Richard K. Green & Susan M. Wachter, 2007. "The housing finance revolution," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 21-67.
  30. Chao Ma & Hao Zhang & Hongbiao Zhao, 2023. "Securitization of assets with payment delay risk: A financial innovation in the real estate market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 480-515, April.
  31. Peter Diep & Andrea L. Eisfeldt & Scott Richardson, 2021. "The Cross Section of MBS Returns," Journal of Finance, American Finance Association, vol. 76(5), pages 2093-2151, October.
  32. Patric H. Hendershott & Robert Van Order, 1987. "Pricing Mortgages: An Interpretation of the Models and Results," NBER Working Papers 2290, National Bureau of Economic Research, Inc.
  33. Deng, Yongheng & Gu, Quanlin & He, Jia, 2021. "Reinforcement learning and mortgage partial prepayment behavior," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  34. Sumit Agarwal & John C. Driscoll & David I. Laibson, 2013. "Optimal Mortgage Refinancing: A Closed‐Form Solution," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 591-622, June.
  35. Patric H. Hendershott, 1997. "Uses of equilibrium models in real estate research," Journal of Property Research, Taylor & Francis Journals, vol. 14(1), pages 1-13, January.
  36. Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc.
  37. Bailey, Warren, 1989. "Applying a Stochastic Model to the Tenn Structure of Interest Rates in Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 20(December), pages 3-17.
  38. Che-Chun Lin & Ting-Heng Chu & Larry J. Prather & Perry Wang, 2005. "Mortgage Curtailment and Default," International Real Estate Review, Global Social Science Institute, vol. 8(1), pages 95-109.
  39. James B. Kau & Thomas M. Springer, 1993. "An Analysis of Financial and Nonfinancial Prepayment of GNMA Securities with a Varying Coefficient Model," Journal of Real Estate Research, American Real Estate Society, vol. 8(1), pages 69-86.
  40. Nicholas Sharp & Paul Johnson & David Newton & Peter Duck, 2009. "A New Prepayment Model (with Default): An Occupation-time Derivative Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 118-145, August.
  41. Jean-David Fermanian, 2013. "A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 480-515, April.
  42. Yongheng Deng & Peng Liu, 2009. "Mortgage Prepayment and Default Behavior with Embedded Forward Contract Risks in China’s Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 38(3), pages 214-240, April.
  43. Agarwal, Sumit & Driscoll, John D. & Laibson, David I., 2012. "Optimal Mortgage Reï¬ nancing: A Closed Form Solution," Scholarly Articles 9918811, Harvard University Department of Economics.
  44. James Kau & Donald Keenan & Xiaowei Li, 2011. "An Analysis of Mortgage Termination Risks: A Shared Frailty Approach with MSA-Level Random Effects," The Journal of Real Estate Finance and Economics, Springer, vol. 42(1), pages 51-67, January.
  45. Ahmad, Ferhana & Shehzad, Choudhry Tanveer, 2024. "The role of interest rate environment in mortgage pricing," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 225-245.
  46. Wai K. Leung, 1989. "Option Theory and Defaultable Mortgage Pricing," Journal of Real Estate Research, American Real Estate Society, vol. 4(1), pages 53-59.
  47. Goldberg, Gerson M. & Harding, John P., 2003. "Investment characteristics of low- and moderate-income mortgage loans," Journal of Housing Economics, Elsevier, vol. 12(3), pages 151-180, September.
  48. Goodstein, Ryan & Hanouna, Paul & Ramirez, Carlos D. & Stahel, Christof W., 2017. "Contagion effects in strategic mortgage defaults," Journal of Financial Intermediation, Elsevier, vol. 30(C), pages 50-60.
  49. Jonathan B. Dressler & Jeffrey R. Stokes, 2010. "Survival analysis and mortgage termination at AgChoice ACA," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 70(1), pages 21-36, May.
  50. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  51. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "Individual investors and suboptimal early exercises in the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 14, University of Passau, Faculty of Business and Economics.
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