Rational Mortgage Pricing PDF Download

Author: Michael R. Asay
Publisher:
ISBN:
Category : Adjustable rate mortgages
Languages : en
Pages : 24

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Author: John Patrick Harding
Publisher:
ISBN:
Category :
Languages : en
Pages : 414

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Author: Michael Ralph Asay
Publisher:
ISBN:
Category : Mortgage bonds
Languages : en
Pages : 222

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Author: John P. Harding
Publisher:
ISBN:
Category :
Languages : en
Pages :

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I develop a rational mortgage valuation model and use the model to estimate parameters describing borrower mobility. The valuation model extends previous work in two ways. First, I calculate the prepayment boundary by solving for the borrower's optimal prepayment strategy over the expected tenure in the house. This optimal strategy is significantly different from the strategy traditionally used in rational mortgage valuation and the resulting mortgage values are higher than values calculated using the traditional approach. Second, I use borrower heterogeneity in terms of expected tenure in the house to overcome two problems typically associated with rational models: all-or-nothing prepayment and a low upper limit on calculated mortgage values. I use the resulting model and observed prepayments to estimate the distribution of expected tenure of borrowers who chose a long-term, fixed-rate mortgage. The empirical results indicate that the average mobility of the group of borrowers choosing fixed-rate loans has declined since the introduction of adjustable-rate mortgages.

Author: Richard Stanton
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This article presents a new model of mortgage prepayments, based on rational decisions by mortgage holders. These mortgage holders face heterogeneous transaction costs, which are explicitly modeled. The model is estimated using a version of Hansen's (1982) generalized method of moments, and shown to capture many of the empirical features of mortgage prepayment. Estimation results indicate that mortgage holders act as though they face transaction costs that far exceed the explicit costs usually incurred on refinancing. They also wait an average of more than a year before refinancing, even when it is optimal to do so. The model fits observed prepayment behavior as well as the recent empirical model of Schwartz and Torous (1989) Implications for pricing mortgage-backed securities are discussed.

Author: Timothy J. Riddiough
Publisher:
ISBN:
Category :
Languages : en
Pages : 628

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Author: Richard K. Green
Publisher: Academic Press
ISBN: 0124045936
Category : Business & Economics
Languages : en
Pages : 249

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In Introduction to Mortgages & Mortgage Backed Securities, author Richard Green combines current practices in real estate capital markets with financial theory so readers can make intelligent business decisions. After a behavioral economics chapter on the nature of real estate decisions, he explores mortgage products, processes, derivatives, and international practices. By focusing on debt, his book presents a different view of the mortgage market than is commonly available, and his primer on fixed-income tools and concepts ensures that readers understand the rich content he covers. Including commercial and residential real estate, this book explains how the markets work, why they collapsed in 2008, and what countries are doing to protect themselves from future bubbles. Green's expertise illuminates both the fundamentals of mortgage analysis and the international paradigms of products, models, and regulatory environments. - Written for buyers of real estate, not mortgage lenders - Balances theory with increasingly complex practices of commercial and residential mortgage lending - Emphasizes international practices, changes caused by the 2008-11 financial crisis, and the behavioral aspects of mortgage decision making

Author: Peter Neuteboom
Publisher: IOS Press
ISBN: 1586039180
Category : Business & Economics
Languages : en
Pages : 120

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Although the time and depth of the cycles differed from one European country to another, mortgage markets have grown in size. This title presents a study that highlights the role of the institutions, household characteristics, and the structure of national mortgage markets as key elements in shaping the optimal mortgage for homeowners.

Author: T. Kariya
Publisher: Springer Science & Business Media
ISBN: 1441992308
Category : Business & Economics
Languages : en
Pages : 273

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1. Main Goals The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of this book is to provide a systematic exposition, with practical appli cations, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. The book should also serve well as a textbook on financial asset pricing. It should be accessible to a broad audi ence, in particular to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science. The no-arbitrage asset pricing theory is based on the simple and well ac cepted principle that financial asset prices are instantly adjusted at each mo ment in time in order not to allow an arbitrage opportunity. Here an arbitrage opportunity is an opportunity to have a portfolio of value aat an initial time lead to a positive terminal value with probability 1 (equivalently, at no risk), with money neither added nor subtracted from the portfolio in rebalancing dur ing the investment period. It is necessary for a portfolio of valueato include a short-sell position as well as a long-buy position of some assets.

Author: Joe P. Mattey
Publisher:
ISBN:
Category : Mortgage loans
Languages : en
Pages : 44

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