depends not just on their current level but also on their previous path. Using a household model of mortgage prepayment …

We derive the first closed-form optimal mortgage refinancing rule. The expression is derived by using the Lambert …-W function to solve a tractable class of mortgage refinancing problems. We calibrate our solution and show that our quantitative …

house prices and the related fall in home building; (2) a subprime mortgage problem that has triggered a substantial … mortgage refinancing that could cause greater declines in consumer spending. Each of these could by itself be powerful enough …

arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market in this …

mortgage credit in the postwar era, supports the model. The results suggest that more recent mortgage market innovations have …

We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly … results in prepayment being delayed significantly relative to traditional models. Furthermore, mortgage values can exceed par … by much more than the cost of refinancing. Applying the recursive model to an extensive sample of mortgage …

A typical household has a home mortgage as its most significant financial contract. The form of this contract is … correspondingly important. This paper studies the choice between a fixed-rate (FRM) and an adjustable-rate (ARM) mortgage. In an … about available mortgage contracts. While an ARM is generally an attractive form of mortgage, a household with a large …

The prepayment behavior of home mortgage borrowers has been widely observed to be inconsistent with behavior implied by … classical option theory. A substantial literature has emerged examining the problem, focusing on the characteristics of the … mortgage and on the historic path of interest rates in attempting to explain the anomaly. This paper offers contributions to …