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Optimal prepayment and default rules for mortgage-backed securities

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  • Giulia De Rossi

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  • Tiziano Vargiolu

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10203-009-0098-3
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Bibliographic Info

Article provided by Springer in its journal Decisions in Economics and Finance.

Volume (Year): 33 (2010)
Issue (Month): 1 (May)
Pages: 23-47

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Handle: RePEc:spr:decfin:v:33:y:2010:i:1:p:23-47

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Related research

Keywords: Computationally simple trees; Hazard function; Mortgage-backed securities; Optimal stopping; Two-dimensional trees; C61; C63; D81; G21;

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References

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  1. Nelson, Daniel B & Ramaswamy, Krishna, 1990. "Simple Binomial Processes as Diffusion Approximations in Financial Models," Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 393-430.
  2. Chris Downing & Richard Stanton & Nancy Wallace, 2005. "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(4), pages 681-710, December.
  3. Costabile, Massimo & Gaudenzi, Marcellino & Massab├▓, Ivar & Zanette, Antonino, 2009. "Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 286-295, October.
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Cited by:
  1. Werner H├╝rlimann, 2012. "Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations," Decisions in Economics and Finance, Springer, vol. 35(2), pages 171-202, November.
  2. Alqatawni, Tahsen, 2013. "Unethical dilemmas in derivatives practice," MPRA Paper 47407, University Library of Munich, Germany, revised 10 Jun 2013.

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