Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 11 (2004)
Issue (Month): 3 (September)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
mortgage-backed securities (MBS); prepayment cost; oan pool risk; structural approach with incomplete information; asymptotic arbitrage-free condition;
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"Woodhead Behavior and the Pricing of Residential Mortgages,"
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- Downing, Chris & Stanton, Richard & Wallace, Nancy E., 2003. "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?," Research Program in Finance, Working Paper Series, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley qt2qb613r5, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
- Robert A. Jarrow & David Lando & Fan Yu, 2005. "Default Risk And Diversification: Theory And Empirical Implications," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 15(1), pages 1-26.
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