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Pricing Fast-Pay Mortgages: Some Simulation Results

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  • James D. Shilling
  • C. F. Sirmans

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  • James D. Shilling & C. F. Sirmans, 1987. "Pricing Fast-Pay Mortgages: Some Simulation Results," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 25-32, March.
    • Handle: RePEc:bla:jfnres:v:10:y:1987:i:1:p:25-32
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1987.tb00472.x
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    References listed on IDEAS

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    1. Dhillon, Upinder S & Shilling, James D & Sirmans, C F, 1987. "Choosing between Fixed and Adjustable Rate Mortgages: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(2), pages 260-267, May.
    2. Dunn, Kenneth B & McConnell, John J, 1981. "A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities," Journal of Finance, American Finance Association, vol. 36(2), pages 471-484, May.
    3. Patric H. Hendershott & James D. Shilling & Kevin E. Villani, 1983. "Measurement of the Spreads Between Yields on Various Mortgage Contracts and Treasury Securities," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 11(4), pages 476-490, December.
    4. Curley, Anthony J & Guttentag, Jack M, 1977. "Value and Yield Risk on Outstanding Insured Residential Mortgages," Journal of Finance, American Finance Association, vol. 32(2), pages 403-412, May.
    5. Edward J. Kane, 1984. "Change and Progress in Contemporary Mortgage Markets," NBER Working Papers 1478, National Bureau of Economic Research, Inc.
    6. George G. Kaufman & George E. Morgan, 1980. "Standardizing Yields on Mortgages and other Securities," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 8(2), pages 163-179, June.
    7. Patric H. Hendershott & James D. Shilling, 1985. "Valuing ARM Rate Caps: Implications of 1970–84 Interest Rate Behavior," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 317-332, September.
    8. McCulloch, J Huston, 1975. "The Tax-Adjusted Yield Curve," Journal of Finance, American Finance Association, vol. 30(3), pages 811-830, June.
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