Optimal Mortgage Refinancing with Regime Switches
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 15 (2008)
Issue (Month): 1 (March)
Contact details of provider:
Web page: http://springerlink.metapress.com/link.asp?id=102851
Mortgage refinance; Regime switch; Bellman equation; Optimal stopping;
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- Andrew Ang & Geert Bekaert, 1998.
"Regime Switches in Interest Rates,"
NBER Working Papers
6508, National Bureau of Economic Research, Inc.
- Sumit Agarwal & John C. Driscoll & David Laibson, 2007.
"Optimal Mortgage Refinancing: A Closed Form Solution,"
NBER Working Papers
13487, National Bureau of Economic Research, Inc.
- Sumit Agarwal & John C Driscoll & David Laibson, 2008. "Optimal Mortgage Refinancing: A Closed Form Solution," Levine's Working Paper Archive 122247000000002021, David K. Levine.
- Paul Bennett & Richard Peach & Stavros Peristiani, 1998.
"Structural change in the mortgage market and the propensity to refinance,"
45, Federal Reserve Bank of New York.
- Bennett, Paul & Peach, Richard & Peristiani, Stavros, 2001. "Structural Change in the Mortgage Market and the Propensity to Refinance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(4), pages 955-75, November.
- Paul Bennett & Richard Peach & Stavros Peristiani, 1997. "Structural change in the mortgage market and the propensity to refinance," Research Paper 9736, Federal Reserve Bank of New York.
- Guo, Xin & Miao, Jianjun & Morellec, Erwan, 2005.
"Irreversible investment with regime shifts,"
Journal of Economic Theory,
Elsevier, vol. 122(1), pages 37-59, May.
- Hurst, Erik & Stafford, Frank, 2004. "Home Is Where the Equity Is: Mortgage Refinancing and Household Consumption," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(6), pages 985-1014, December.
- Wayne R. Archer & David C. Ling, 1993. "Pricing Mortgage-Backed Securities: Integrating Optimal Call and Empirical Models of Prepayment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(4), pages 373-404.
- 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, pages 591-622, 06.
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