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Citations for "Rational Prepayment and the Valuation Mortgage-Backed Securities"

by Stanton, Richard

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  1. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2013. "Mortgage Hedging in Fixed Income Markets," FMG Discussion Papers dp722, Financial Markets Group.
  2. John Campbell & Joao F. Cocco, 2002. "Household Risk Management and Optimal Mortgage Choice," Computing in Economics and Finance 2002 47, Society for Computational Economics.
  3. Xudong An & John Clapp & Yongheng Deng, 2005. "Omitted Mobility Characteristics and Property Market Dynamics: Application to Mortgage Termination," Working Paper 8584, USC Lusk Center for Real Estate.
  4. Duarte, Jefferson & Longstaff, Francis A. & Yu, Fan, 2005. "Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?," University of California at Los Angeles, Anderson Graduate School of Management qt6zx6m7fp, Anderson Graduate School of Management, UCLA.
  5. Geetesh Bhardwaj & Rajdeep Sengupta, 2008. "Did prepayments sustain the subprime market?," Working Papers 2008-039, Federal Reserve Bank of St. Louis.
  6. Paul Carrillo, 2013. "Testing for Fraud in the Residential Mortgage Market: How Much Did Early-Payment-Defaults Overpay for Housing?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 36-64, July.
  7. Charlier, E. & van Bussel, A., 2001. "Prepayment Behavior of Dutch Mortgagors : An Empirical Analysis," Discussion Paper 2001-64, Tilburg University, Center for Economic Research.
  8. Mayer, Chris & Piskorski, Tomasz & Tchistyi, Alexei, 2013. "The inefficiency of refinancing: Why prepayment penalties are good for risky borrowers," Journal of Financial Economics, Elsevier, vol. 107(3), pages 694-714.
  9. Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
  10. Pool, Veronika Krepely & Stoll, Hans R. & Whaley, Robert E., 2008. "Failure to exercise call options: An anomaly and a trading game," Journal of Financial Markets, Elsevier, vol. 11(1), pages 1-35, February.
  11. Xavier Gabaix & Arvind Krishnamurthy & Olivier Vigneron, 2007. "Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market," Journal of Finance, American Finance Association, vol. 62(2), pages 557-595, 04.
  12. Hall, Arden, 2000. "Controlling for Burnout in Estimating Mortgage Prepayment Models," Journal of Housing Economics, Elsevier, vol. 9(4), pages 215-232, December.
  13. Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009. "Mortgage timing," Journal of Financial Economics, Elsevier, vol. 93(2), pages 292-324, August.
  14. Longstaff, Francis A., 2002. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," University of California at Los Angeles, Anderson Graduate School of Management qt19k7479t, Anderson Graduate School of Management, UCLA.
  15. Christian Hilpert & Jing Li & Alexander Szimayer, 2011. "The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees," Bonn Econ Discussion Papers bgse11_2011, University of Bonn, Germany.
  16. Chow, Ying-Foon & Huang, Charles & Liu, Ming, 2000. "Valuation of adjustable rate mortgages with automatic stretching maturity," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1809-1829, November.
  17. Archer, Wayne R. & Ling, David C. & McGill, Gary A., 1997. "Demographic versus Option-Driven Mortgage Terminations," Journal of Housing Economics, Elsevier, vol. 6(2), pages 137-163, June.
  18. Jonathan B. Berk, 1998. "A Simple Approach for Deciding When to Invest," NBER Working Papers 6678, National Bureau of Economic Research, Inc.
  19. Merino Maestre, María & Pérez Sainz de Rozas, Gloria & Escudero Bueno, Laureano F. & Garín Martín, María Araceli, 2005. "A two-stage stochastic integer programming approach," BILTOKI 2005-01, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  20. Sumit Agarwal & John C. Driscoll & David Laibson, 2007. "Optimal Mortgage Refinancing: A Closed Form Solution," NBER Working Papers 13487, National Bureau of Economic Research, Inc.
  21. Deng, Yongheng & Quigley, John M., 2004. "Woodhead Behavior and the Pricing of Residential Mortgages," Berkeley Program on Housing and Urban Policy, Working Paper Series qt85q0w8xj, Berkeley Program on Housing and Urban Policy.
  22. S. Nielsen, Soren & Poulsen, Rolf, 2004. "A two-factor, stochastic programming model of Danish mortgage-backed securities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1267-1289, April.
  23. Patel, Nimesh & Daglish, Toby, 2011. "Fixed come hell or high water? Selection and prepayment of fixed rate mortgages outside the US," Working Paper Series 4107, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  24. Das, Sanjiv R. & Meadows, Ray, 2013. "Strategic loan modification: An options-based response to strategic default," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 636-647.
  25. Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc.
  26. 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.
  27. Vink, Dennis, 2007. "An Empirical Analysis of Asset-Backed Securitization," MPRA Paper 10382, University Library of Munich, Germany, revised 25 Aug 2008.
  28. Harding, John P., 2000. "Mortgage Valuation with Optimal Intertemporal Refinancing Strategies," Journal of Housing Economics, Elsevier, vol. 9(4), pages 233-266, December.
  29. John M. Clapp & Yongheng Deng & Xudong An, 2006. "Unobserved Heterogeneity in Models of Competing Mortgage Termination Risks," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(2), pages 243-273, 06.
  30. Dai, Min & Kwok, Yue Kuen & You, Hong, 2007. "Intensity-based framework and penalty formulation of optimal stopping problems," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3860-3880, December.
  31. Yongheng Deng & Peng Liu, 2009. "Mortgage Prepayment and Default Behavior with Embedded Forward Contract Risks in China’s Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 38(3), pages 214-240, April.
  32. Svenstrup, Mikkel, 2003. "Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup," Finance Working Papers 02-21, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  33. Dezső, Linda & Loewenstein, George, 2012. "Lenders’ blind trust and borrowers’ blind spots: A descriptive investigation of personal loans," Journal of Economic Psychology, Elsevier, vol. 33(5), pages 996-1011.
  34. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "What makes individual investors exercise early? Empirical evidence from the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 15, University of Passau, Faculty of Business and Economics.
  35. Sumit Agarwal & Richard J. Rosen & Vincent Yao, 2013. "Why do borrowers make mortgage refinancing mistakes?," Working Paper Series WP-2013-02, Federal Reserve Bank of Chicago.
  36. Christopher L. Foote & Kristopher Gerardi & Paul S. Willen, 2008. "Negative equity and foreclosure: theory and evidence," Public Policy Discussion Paper 08-3, Federal Reserve Bank of Boston.
  37. Anthony Pennington-Cross & Souphala Chomsisengphet, 2007. "Subprime Refinancing: Equity Extraction and Mortgage Termination," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(2), pages 233-263, 06.
  38. 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.
  39. Murphy, Austin, 2000. "A comparative analysis of the price-process model of mortgage valuation," Review of Financial Economics, Elsevier, vol. 9(2), pages 65-82, December.
  40. Bhardwaj, Geetesh & Sengupta, Rajdeep, 2012. "Subprime mortgage design," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1503-1519.
  41. Agarwal, Sumit & Chomsisengphet, Souphala & Hassler, Olivier, 2005. "The impact of the 2001 financial crisis and the economic policy responses on the Argentine mortgage market," Journal of Housing Economics, Elsevier, vol. 14(3), pages 242-270, September.
  42. Agarwal, Sumit & Ambrose, Brent W. & Chomsisengphet, Souphala & Liu, Chunlin, 2006. "An empirical analysis of home equity loan and line performance," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 444-469, October.
  43. Lin, Che-Chun & Yang, Tyler T., 2005. "Curtailment as a mortgage performance indicator," Journal of Housing Economics, Elsevier, vol. 14(3), pages 294-314, September.
  44. Ana Manola & Branko Uroševic, 2010. "Option-Based Valuation Of Mortgage-Backed Securities," Economic Annals, Faculty of Economics, University of Belgrade, vol. 55(186), pages 42–66, July – Se.
  45. Jarrow, Robert & Li, Haitao & Liu, Sheen & Wu, Chunchi, 2010. "Reduced-form valuation of callable corporate bonds: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 95(2), pages 227-248, February.
  46. Daglish, Toby, 2009. "What motivates a subprime borrower to default?," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 681-693, April.
  47. Jonathan B. Berk, 1999. "A Simple Approach for Deciding When to Invest," American Economic Review, American Economic Association, vol. 89(5), pages 1319-1326, December.
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