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

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  • Hidetoshi Nakagawa

  • Tomoaki Shouda

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  • Hidetoshi Nakagawa & Tomoaki Shouda, 2004. "Analyses of Mortgage-Backed Securities Based on Unobservable Prepayment Cost Processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 233-266, September.
    • Handle: RePEc:kap:apfinm:v:11:y:2004:i:3:p:233-266
    DOI: 10.1007/s10690-005-9002-5
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-664, May.
    4. Robert A. Jarrow & David Lando & Fan Yu, 2008. "Default Risk And Diversification: Theory And Empirical Implications," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 19, pages 455-480, World Scientific Publishing Co. Pte. Ltd..
    5. repec:cdl:rpfina:qt2qb613r5 is not listed on IDEAS
    6. 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.).
    7. Lyuu,Yuh-Dauh, 2002. "Financial Engineering and Computation," Cambridge Books, Cambridge University Press, number 9780521781718, November.
    8. repec:bla:jfinan:v:44:y:1989:i:2:p:375-92 is not listed on IDEAS
    9. repec:cdl:bphupl:qt85q0w8xj is not listed on IDEAS
    10. Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
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