An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options
Year of publication: |
2008
|
---|---|
Authors: | Sharp, Nicholas ; Newton, David ; Duck, Peter |
Published in: |
The Journal of Real Estate Finance and Economics. - Springer. - Vol. 36.2008, 3, p. 307-342
|
Publisher: |
Springer |
Subject: | Fixed-rate mortgages | Option pricing theory | Perturbation theory | Prepayment | Default |
-
A New Prepayment Model (with Default): An Occupation-time Derivative Approach
Sharp, Nicholas, (2009)
-
Optimal Risk-Sharing in Mortgage Contracts: The Effects of Potential Prepayment and Default
Brueckner, Jan K., (2014)
-
The Performance of Low Income and Minority Mortgages
Van Order, Robert, (2007)
- More ...
-
A New Prepayment Model (with Default): An Occupation-time Derivative Approach
Sharp, Nicholas, (2009)
-
A New Prepayment Model (with Default) : An Occupation-Time Derivative Approach
Sharp, Nick J., (2009)
-
Sharp, Nick J., (2008)
- More ...