Author: Chia-Wen LeePublisher:
ISBN:
Category :
Languages : en
Pages : 638
Book Description
The Pricing of the Intersected Contingent Claims and the Fixed Rate Mortgage
Author: Chia-Wen LeeFixed Rate Mortgage Valuation Using a Contingent Claims Approach
Author: Jose Antonio de Azevedo PereiraPublisher:
ISBN:
Category :
Languages : en
Pages : 331
Book Description
A Contingent Claims Valuation and Simulation Analysis of Standard Fixed Payment and Variable Rate Mortgage Loans
Author: Chung-Sik ChangPublisher:
ISBN:
Category : Adjustable rate mortgages
Languages : en
Pages : 418
Book Description
The Contingent Claims and Competing Risks for Mortgage Termination by Prepayment and Default
Author: Yongheng DengPricing Fixed Rate Mortgages
Author: Fernando DizPublisher:
ISBN:
Category : Mortgage loans
Languages : en
Pages : 228
Book Description
Pricing Contingent Claims
Author: Bjarne Astrup JensenPublisher:
ISBN: 9788788951349
Category :
Languages : en
Pages : 31
Book Description
A Theory of the Rational Pricing of Mortgage Contracts
Author: Michael Ralph AsayPublisher:
ISBN:
Category : Mortgage bonds
Languages : en
Pages : 222
Book Description
The Pricing of Multi-Class Commercial Mortgage-Backed Securities
Author: Paul D. ChildsPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper considers the pricing of multi-class commercial mortgage-backed securities. A contingent-claims pricing methodology that overcomes state variable dimensionality problems is developed to examine mortgage pools with many distinct underlying assets and whose loan cash flow values are subject to interest rate uncertainty. Security structure and the correlation structure of collateralizing assets within a pool are found to be important determinants of tranche price and required yield spread. By disentang- ling default loss risk from default-related call risk, we show it is possible that mezzanine investment classes may require lower yield spreads than higher priority investment classes. Of particular interest is the finding that reduced cash flow volatility obtained through pool diversification may actually decrease the value of the first-loss (junior) tranche. When examining the relationship of pool size and tranche value, we find that five to ten distinct mortgages are required to realize most of the effects of asset diversification.
A Contingent Claims Analysis of Price Level Adjusted Mortgages
Author: Taewon Kim KeenanOn the Choice and Implementation of Models for the Pricing and Hedging of Interest Rate Contingent Claims
Author: Peter Malcolm Scot WhiteheadPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description