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THE COMPLEXITIES OF MORTGAGE OPTIONS - Mortgage option prices behave quite differently than the prices of options on underlying securities that do not exhibit significant convexity. As a result, the intuition of many market participants about option risk characteristics does not typically apply to mortgage options. The author explores and quantifies the risk characteristics of these options. The ...

Prendergast, Joseph R. - In: The journal of fixed income 12 (2003) 4, pp. 7-24

Persistent link: https://www.econbiz.de/10007161009

PREDICTING THE TEN-YEAR LIBOR SWAP SPREAD: THE ROLE AND LIMITATIONS OF RICH-CHEAP ANALYSIS - Wall Street brokers and portfolio managers frequently use regressions of spread levels on contemporaneous market variables to perform relative value analysis. The regression residual is intended to capture market disequilibrium. If one expects the disequilibrium to be resolved, future spread changes can be ...

Prendergast, Joseph R. - In: The journal of fixed income 10 (2000) 3, pp. 86-99

Persistent link: https://www.econbiz.de/10007175931

FUNDAMENTAL, FLIGHT-TO-QUALITY, AND FLIGHT-TO-LIQUIDITY COMPONENTS IN SUBPRIME MORTGAGE-BACKED SECURITY RETURNS

Prendergast, Joseph R. - In: The journal of fixed income 19 (2009) 1, pp. 5-25

Persistent link: https://www.econbiz.de/10008278773

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