Using a discrete time approach, this paper presents a no-arbitrage pricing formula for MBSs (mortgage-backed securities), and taking into the heterogeneity of a mortgage pool, proposes a specific model for MBS prices that describes the so-called burnout phenomenon of prepayments due to...

In this paper, we formulate a tenant management problem for retail properties, such as shopping centers, provide an analytical framework for deriving the probability distribution of the sum of discounted future cash flows stochastically generated through tenant management, and find an optimal...

In this paper we formulate a corporate bond (CB) pricing model for deriving the term structure of default probabilities (TSDP) and the recovery rate (RR) for each pair of industry factor and credit rating grade, and these derived TSDP and RR are regarded as what investors imply in forming CB...

With the introduction of the international accounting standards in Europe and dissemination of LDI (Liability Driven Investment) as a new investment standard, the investor demand for super-long end has been rising also in Japan. Under these circumstances, it is required that the Japanese...