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Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model
Chen, Fen-Ying; Yang, Sharon S.; Huang, Hong Chih - In: Quantitative finance 21 (2021) 9, pp. 1551-1565
Persistent link: https://www.econbiz.de/10012624157
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Closed-form mortgage valuation using reduced-form model
Liao, Szu-Lang; Tsai, Ming-shann; Chiang, Shu-ling - In: Real estate economics : journal of the American Real … 36 (2008) 2, pp. 313-347
Persistent link: https://www.econbiz.de/10003764870
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Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks
Tsai, Ming-shann; Liao, Szu-Lang; Chiang, Shu-ling - In: Journal of housing economics 18 (2009) 2, pp. 92-103
Persistent link: https://www.econbiz.de/10003877147