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Predicting the ten-year LIBOR swap spread : the role and limitations of rich/cheap analysis
Prendergast, Joseph R.
- In:
The journal of fixed income
10
(
2000
)
3
,
pp. 86-99
Persistent link: https://www.econbiz.de/10001549803
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2
The complexities of mortgage options
Prendergast, Joseph R.
- In:
The journal of fixed income
12
(
2002
)
4
,
pp. 7-24
Persistent link: https://www.econbiz.de/10001774633
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3
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
(
2009/10
)
1
,
pp. 5-25
Persistent link: https://www.econbiz.de/10003875946
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4
Mortgage options
Prendergast, Joseph R.
- In:
The handbook of mortgage-backed securities
,
(pp. 1023-1039)
.
2006
Persistent link: https://www.econbiz.de/10003274088
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5
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
Saved in:
6
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
Saved in:
7
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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