A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities
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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.
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- repec:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0340-8 is not listed on IDEAS
- Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc.
- Patric H. Hendershott, 1986. "Mortgage Pricing: What Have We Learned So Far?," NBER Working Papers 1959, National Bureau of Economic Research, Inc.
- Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
- Jean-David Fermanian, 2013. "A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 480-515, April.
- Agarwal, Sumit & Driscoll, John D. & Laibson, David I., 2012. "Optimal Mortgage Reï¬ nancing: A Closed Form Solution," Scholarly Articles 9918811, Harvard University Department of Economics.
- 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.).
- Charlier, E. & van Bussel, A., 2001. "Prepayment Behavior of Dutch Mortgagors : An Empirical Analysis," Discussion Paper 2001-64, Tilburg University, Center for Economic Research.
- Stephen F. Thode & Richard J. Kish, 1994. "The Zero-Coupon/Interest-Only Fixed-Rate Mortgage: An Alternative for Funding Low-to-Moderate Income Housing," Journal of Real Estate Research, American Real Estate Society, vol. 9(2), pages 263-276.
- Alan J. Marcus & Arnold Kling, 1987. "Interest-Only/Principal-Only Mortgage-Backed Strips: A Valuation and Risk Analysis," NBER Working Papers 2340, National Bureau of Economic Research, Inc.
- Scott Robertson & Zhe Cheng, 2015. "Endogenous Current Coupons," Papers 1510.02010, arXiv.org.
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- Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "Individual investors and suboptimal early exercises in the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 14, University of Passau, Faculty of Business and Economics.
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