Observed mortgage prepayment and default rates have been far different than the ruthless option exercise rates predicted by contingent claims models of mortgage pricing. The discrepancies have been attributed to both the competing-risk nature of prepayment and default and to transactions costs....

An empirical analysis of macroeconomic time series from the mortgage, housing, capital and labor markets is based on life-cycle consumption and mortgage option pricing considerations. Vector autoregression techniques characterize the long-run equilibrium and short-run dynamics of the mortgage...

The Boston Federal Reserve study (Munnell et al. 1996) concluded that illegal discrimination is a statistically significant contributor to the observed gap between white and minority residential-mortgage rejection rates. The Boston study speculated that discrimination arises because lenders do...

This innovative book analyses the role played by real estate markets in global financial stability and examines the fragile link between the two. Through what transmission channels do housing market cycles influence broader economic systems? How has the Global Financial Crisis shifted our view...

The main objective of this paper is to lay out a methodology for optimal sizing, or subordination, and pricing of the credit-sensitive Residential Mortgage Backed Securities (RMBS). To that end, we combine a Monte Carlo simulation framework with a model of cash flow waterfalls across multiple...

This paper examines the optimal operation strategies for income properties. Specifically, the rental rate and the operating expense should be set at levels to maximize the return on investment. The results suggest that for a given demand curve of a specific rental property, there exist optimal...

This paper introduces Home Appreciation Participation Notes (HAPNs), an innovative new housing finance tool. Housing is a commodity providing two distinct utilities: shelter and investment. Traditionally, buyers have had to purchase both elements in tandom. HAPNs allow buyers to purchase these...

The Chinese government has embarked upon an effort to reduce the number of tenants living in publicly owned housing. This is a significant challenge for any government, but may be especially so for a country where private homeownership is a new option. Out of concern that many of its citizens...

This paper extends the seminal Cox-Ross-Rubinstein ((1979), CRR hereafter) binomial model to multiple assets. It differs from previous models in that it is derived under the complete market environment specified by Duffie and Huang (1985) and He (1990).