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Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes

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Author Info
Hidetoshi Nakagawa ()
Tomoaki Shouda ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10690-005-9002-5
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 11 (2004)
Issue (Month): 3 (September)
Pages: 233-266
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Handle: RePEc:kap:apfinm:v:11:y:2004:i:3:p:233-266

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Web page: http://springerlink.metapress.com/link.asp?id=102851

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Related research
Keywords: mortgage-backed securities (MBS); prepayment cost; oan pool risk; structural approach with incomplete information; asymptotic arbitrage-free condition;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-64, May.
  2. McConnell, John J & Singh, Manoj, 1994. " Rational Prepayments and the Valuation of Collateralized Mortgage Obligations," Journal of Finance, American Finance Association, vol. 49(3), pages 891-921, July. [Downloadable!] (restricted)
  3. Yongheng Deng & John Quigley, 2006. "Woodhead Behavior and the Pricing of Residential Mortgages," Berkeley Program on Housing and Urban Policy, Working Paper Series 1015, Berkeley Program on Housing and Urban Policy. [Downloadable!]
  4. Chris Downing & Richard Stanton & Nancy Wallace, 2003. "An empirical test of a two-factor mortgage valuation model: how much do house prices matter?," Finance and Economics Discussion Series 2003-42, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  5. Robert A. Jarrow & David Lando & Fan Yu, 2005. "Default Risk And Diversification: Theory And Empirical Implications," Mathematical Finance, Blackwell Publishing, vol. 15(1), pages 1-26. [Downloadable!] (restricted)
  6. O. Renault & O. Scaillet & B. Leblanc, 2000. "A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary," Finance and Stochastics, Springer, vol. 4(1), pages 109-111. [Downloadable!] (restricted)
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