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Optimal prepayment and default rules for mortgage-backed securities

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  • Giulia De Rossi

  • Tiziano Vargiolu

Abstract

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Suggested Citation

  • Giulia De Rossi & Tiziano Vargiolu, 2010. "Optimal prepayment and default rules for mortgage-backed securities," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(1), pages 23-47, May.
    • Handle: RePEc:spr:decfin:v:33:y:2010:i:1:p:23-47
    DOI: 10.1007/s10203-009-0098-3
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    References listed on IDEAS

    as
    1. Andrew Kalotay & Deane Yang & Frank J. Fabozzi, 2004. "An Option-Theoretic Prepayment Model For Mortgages And Mortgage-Backed Securities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(08), pages 949-978.
    2. Costabile, Massimo & Gaudenzi, Marcellino & Massabò, 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.
    3. 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.
    4. 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.
    5. Nelson, Daniel B & Ramaswamy, Krishna, 1990. "Simple Binomial Processes as Diffusion Approximations in Financial Models," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 393-430.
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    Citations

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    Cited by:

    1. Yerkin Kitapbayev & Scott Robertson, 2020. "Mortgage Contracts and Underwater Default," Papers 2005.03554, arXiv.org, revised May 2022.
    2. Alqatawni, Tahsen, 2013. "Unethical dilemmas in derivatives practice," MPRA Paper 47407, University Library of Munich, Germany, revised 10 Jun 2013.
    3. Werner Hürlimann, 2012. "Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(2), pages 171-202, November.

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    Keywords

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    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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