Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Fixed Rate Mortgage Valuation Using A Contingent Claims Approach
Download Fixed Rate Mortgage Valuation Using A Contingent Claims Approach full books in PDF, epub, and Kindle. Read online Fixed Rate Mortgage Valuation Using A Contingent Claims Approach ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Fixed Rate Mortgage Valuation Using a Contingent Claims Approach by : Jose Antonio de Azevedo Pereira
Download or read book Fixed Rate Mortgage Valuation Using a Contingent Claims Approach written by Jose Antonio de Azevedo Pereira and published by . This book was released on 1997 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Contingent Claims Valuation and Simulation Analysis of Standard Fixed Payment and Variable Rate Mortgage Loans by : Chung-Sik Chang
Download or read book A Contingent Claims Valuation and Simulation Analysis of Standard Fixed Payment and Variable Rate Mortgage Loans written by Chung-Sik Chang and published by . This book was released on 1981 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Pricing of the Intersected Contingent Claims and the Fixed Rate Mortgage by : Chia-Wen Lee
Download or read book The Pricing of the Intersected Contingent Claims and the Fixed Rate Mortgage written by Chia-Wen Lee and published by . This book was released on 1992 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Residential Mortgage Valuation by : Amit Chatterjee
Download or read book Residential Mortgage Valuation written by Amit Chatterjee and published by . This book was released on 1992 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mortgage Values and Real Estate Markets by : Stephen A. Buser
Download or read book Mortgage Values and Real Estate Markets written by Stephen A. Buser and published by . This book was released on 1979 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Valuation and Analysis of Adjustable Rate Mortgages by :
Download or read book The Valuation and Analysis of Adjustable Rate Mortgages written by and published by . This book was released on 1988 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuation of Common Two-Factor Interest Rate Contingent Claims by : Ghulam Sorwar
Download or read book Valuation of Common Two-Factor Interest Rate Contingent Claims written by Ghulam Sorwar and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous two-factor interest rate models have been proposed that have attempted to overcome the limitations of one-factor interest rate models. These two-factor interest rate models lead to complex valuation equations for interest rate contingent claims. These valuation equations can be expressed in the form of partial differential equations that can only be solved numerically. Sorwar and Barone-Adesi (2002) have recently extended the Box Method to solve second order partial differential equations. They find that the Box Method outperforms the existing finite difference scheme. In this paper we use their approach to value interest rate contingent claims based on a wide range of two-factor interest rate models. Our approach is to treat the first factor as the short term interest rate and the second factor as the long term interest rate. In this paper we use the Markov Chain Monte Carlo approach to estimate parameters based on two-factor, Vasicek, CIR and CKLS models. We find wide variation in parameter values across different models. We also find that these parameters have a major impact on contingent claim values. In particular we find a wide variation in contingent claim price across different models.
Book Synopsis Pricing Fixed Rate Mortgages by : Fernando Diz
Download or read book Pricing Fixed Rate Mortgages written by Fernando Diz and published by . This book was released on 1989 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mortgage Valuation Models by : Andrew Davidson
Download or read book Mortgage Valuation Models written by Andrew Davidson and published by Oxford University Press. This book was released on 2014-05-22 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mortgage-backed securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. Over the past 25 years, Andrew Davidson and Alexander Levin have been at the leading edge of MBS valuation and risk analysis. Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty contains a detailed description of the sophisticated theories and advanced methods that the authors employ in real-world analyses of mortgage-backed securities. Issues such as complexity, borrower options, uncertainty, and model risk play a central role in the authors' approach to the valuation of MBS. The coverage spans the range of mortgage products from loans and TBA (to-be-announced) pass-through securities to subordinate tranches of subprime-mortgage securitizations. With reference to the classical CAPM and APT, the book advocates extending the concept of risk-neutrality to modeling home prices and borrower options, well beyond interest rates. It describes valuation methods for both agency and non-agency MBS including pricing new loans; approaches to prudent risk measurement, ranking, and decomposition; and methods for modeling prepayments and defaults of borrowers. The authors also reveal quantitative causes of the 2007-09 financial crisis and provide insight into the future of the U.S. housing finance system and mortgage modeling as this field continues to evolve. This book will serve as a foundation for the future development of models for mortgage-backed securities.
Book Synopsis Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation by : José António de Azevedo Pereira
Download or read book Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation written by José António de Azevedo Pereira and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed rate endowment mortgages differ from fixed rate repayment mortgages primarily because, in the event of early termination, the amount owed by the borrower is a function of the evolution of the term structure of interest rates, whereas for a repayment mortgage it is pre-determined.We use a contingent claims framework for valuing the embedded options in certain British fixed-rate endowment mortgages, with a (capped) mortgage indemnity guarantee (MIG). We assume a mean-reverting interest rate and a lognormal house price diffusion process to arrive at a partial differential equation as the basis of the contingent claims and include conventional mortgage terms such as arrangement fees and prepayment penalties. This methodology provides a template for the borrower, lender and insurer to compare mortgage terms, including the fairness of contract rates, fees and any MIG premiums required, when borrowing more than 75% of the house value at origination. Given the conventional terms and the diffusion processes, we assume the parties have common expectations for some diffusion parameters, including expected future rate and price volatilities. Also we assume that borrowers are 'economic actors' regarding default and prepayment options, and that factors such as mobility, divorce, unemployment, and transaction costs are deterministic and can be ignored in this model, along with moral hazard problems between the insurer and the lender. Since the partial differential equation incorporating the general features of these mortgage contracts does not have a closed-form solution, an explicit finite difference method is used for the valuation (and sensitivity) results. We provide graphical representations (and interpretations) of each mortgage component as a function of house prices and interest rate levels. After empirical studies on the input parameters, each mortgage component may be compared with 'market values'. This model may also be useful as a 'mark-to-value' proxy for all parties, as expected parameters change (especially interest rate and house price levels, and expected future volatilities), for purposes of determining 'value added accounting', appropriate reserves, and indeed for setting premiums and business decisions. Finally, we compare endowment and repayment mortgages for different levels of loan-to-value ratios, interest rate and house price volatility.
Book Synopsis Numerical Solutions of a Two State Variable Contingent Claims Mortgage Valuation Model by : Jose A. Azevedo-Pereira
Download or read book Numerical Solutions of a Two State Variable Contingent Claims Mortgage Valuation Model written by Jose A. Azevedo-Pereira and published by . This book was released on 2000 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Two-factor Interest Rate Model and Contingent Claims Valuation by : Francis A. Longstaff
Download or read book A Two-factor Interest Rate Model and Contingent Claims Valuation written by Francis A. Longstaff and published by . This book was released on 1992 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advances in Fixed Income Valuation Modeling and Risk Management by : Frank J. Fabozzi, CFA
Download or read book Advances in Fixed Income Valuation Modeling and Risk Management written by Frank J. Fabozzi, CFA and published by John Wiley & Sons. This book was released on 1997-01-15 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Fixed Income Valuation Modeling and Risk Management provides in-depth examinations by thirty-one expert research and opinion leaders on topics such as: problems encountered in valuing interest rate derivatives, tax effects in U.S. government bond markets, portfolio risk management, valuation of treasury bond futures contract's embedded options, and risk analysis of international bonds.
Book Synopsis Numerical Solutions of a Two Stage Variable Contingent Claims Mortgage Valuation Model by : José António de Azevedo Pereira
Download or read book Numerical Solutions of a Two Stage Variable Contingent Claims Mortgage Valuation Model written by José António de Azevedo Pereira and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Contingent Claims and Competing Risks for Mortgage Termination by Prepayment and Default by : Yongheng Deng
Download or read book The Contingent Claims and Competing Risks for Mortgage Termination by Prepayment and Default written by Yongheng Deng and published by . This book was released on 1995 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuation of a New Product Introduction by : Gregory Allen Kuhlemeyer
Download or read book Valuation of a New Product Introduction written by Gregory Allen Kuhlemeyer and published by . This book was released on 1995 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Housing Finance Review written by and published by . This book was released on 1984 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt:
