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Optimal prepayment and default rules for mortgage-backed securities

Author

Listed:
  • Giulia De Rossi

    ()

  • Tiziano Vargiolu

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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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    File URL: http://hdl.handle.net/10.1007/s10203-009-0098-3
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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.
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    Citations

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    Cited by:

    1. Alqatawni, Tahsen, 2013. "Unethical dilemmas in derivatives practice," MPRA Paper 47407, University Library of Munich, Germany, revised 10 Jun 2013.
    2. Werner H├╝rlimann, 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.

    More about this item

    Keywords

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

    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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