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Epperson, James F.; Kau, James B.; Keenan, Donald C.; … - 1984

Persistent link: https://www.econbiz.de/10001443834

The valuation at origination of fixed-rate mortgages with default and prepayment

Kau, James B.; Keenan, Donald C.; Muller, Walter J.; … - In: The journal of real estate finance and economics 11 (1995), pp. 5-36

Persistent link: https://www.econbiz.de/10001183762

The Valuation at Origination of Fixed Rate Mortgages with Default and Prepayment

Kau, James B. - 1998

This paper develops a model to rationally price fixed rate mortgages, using the arbitrage principles of option pricing theory. The paper incorporates amortization, prepayment and default in valuing the mortgage. Having completely specified the model, numerical procedures value the different...

Persistent link: https://www.econbiz.de/10012791744

Pricing a class of American and European path dependent securities

Hilliard, Jimmy E.; Kau, James B.; Keenan, Donald C.; … - In: Management science : journal of the Institute for … 41 (1995) 12, pp. 1892-1899

Persistent link: https://www.econbiz.de/10001196045

Taxes, points and rationality in the mortgage market

Kau, James B.; Keenan, Donald C. - 1984

Persistent link: https://www.econbiz.de/10001443828

Catastrophic default and credit risk for lending institutions

Kau, James B.; Keenan, Donald C. - In: Journal of financial services research : JFSR 15 (1999) 2, pp. 87-102

Persistent link: https://www.econbiz.de/10001424722

An option-theoretic model of catastrophes applied to mortgage insurance

Kau, James B. - In: The journal of risk and insurance : the journal of the … 63 (1996) 4, pp. 639-656

Persistent link: https://www.econbiz.de/10001335130

A fixed-rate mortgage valuation model in three state variables

Brunson, Andrew L.; Kau, James B.; Keenan, Donald C. - In: The journal of fixed income 11 (2001) 1, pp. 17-27

Persistent link: https://www.econbiz.de/10001595320

Patterns of rational default

Kau, James B.; Keenan, Donald C. - In: Regional science & urban economics 29 (1999) 6, pp. 765-785

Persistent link: https://www.econbiz.de/10001415369

Liability distributions for mortgage insurance

Kau, James B.; Keenan, Donald C.; Kim, Taewon - In: The journal of risk and insurance : the journal of the … 68 (2001) 3, pp. 475-488

Persistent link: https://www.econbiz.de/10001648335