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Author :
Publisher :
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.3/5 ( download)
Download or read book Option Theory and Fixed Rate Mortgages written by and published by . This book was released on 1986 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lawrence Kein-Hoong Chin
Publisher :
ISBN 13 :
Total Pages : 184 pages
Book Rating : 4.:/5 (22 download)
Download or read book A Study of the Behavior of Fixed Rate Mortgages for Alternative Contracts Using Option Pricing Theory written by Lawrence Kein-Hoong Chin and published by . This book was released on 1989 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chia-Wen Lee
Publisher :
ISBN 13 :
Total Pages : 638 pages
Book Rating : 4.:/5 (33 download)
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:
Author : James B. Kau
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Valuation at Origination of Fixed Rate Mortgages with Default and Prepayment written by James B. Kau and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a model to rationally price fixed rate mortgages, using the arbitrage principles of option pricing theory. The paper incorporates amortization, prepayment and default in valuing the mortgage. Having completely specified the model, numerical procedures value the different features of the mortgage contract under a variety of economic conditions. The necessity of having both the interest rate and the house price as explanatory variables, due to the interaction of default and prepayment, is demonstrated. The numerical solutions presented center around mortgage pricing at origination. Thus, variations in the equilibrium contract rate are examined for differing economic conditions and changes in the contract. Finally, by presenting a complete model, the paper yields insights for the existence of common institutional practices.
Author : Fernando Diz
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.E/5 ( download)
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:
Author : Jimmy E. Hilliard
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Valuing Prepayment and Default in a Fixed Rate Mortgage written by Jimmy E. Hilliard and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a bivariate binomial options pricing technique to value the prepayment and default options in a fixed-rate mortgage. The American style options are dependent on two stochastic variables: (1) house price, (2) one year spot rate. The paper uses the standard lognormal process for house price and the CIR square-root process for interest rates. By forcing the two underlying state variables to undergo transformations, two new uncorrelated variables with constant volatilities are established. With constant volatilities, a computationally simple bivariate binomial tree is formed which greatly reduces the complexity of working with two state variables and is pedagogicallyuseful. Using this procedure, the price of any real estate contingent claim whose value is dependent on the one year spot rate and house price can be determined. Results are compared with those from a finite difference model.
Author : Stephen Figlewski
Publisher : McGraw-Hill Companies
ISBN 13 : 9781556238727
Total Pages : 596 pages
Book Rating : 4.2/5 (387 download)
Download or read book Financial Options written by Stephen Figlewski and published by McGraw-Hill Companies. This book was released on 1990 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Options links option theory with practical applications. Readers will find this book's approach simple to follow, with information organized for easy access that includes: institutional and theoretical frameworks for understanding options and option markets; how to apply option pricing models to specific types of markets; the numerical methods that must be applied to solve many option valuation problems.
Author : John Krainer
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (91 download)
Download or read book Mortgage Choice and the Pricing of Fixed-Rate and Adjustable-Rate Mortgages written by John Krainer and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Vester Carlos Slawson
Publisher :
ISBN 13 :
Total Pages : 266 pages
Book Rating : 4.:/5 (333 download)
Download or read book Valuing a Fixed-rate Mortgage written by Vester Carlos Slawson and published by . This book was released on 1995 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chapman Findlay
Publisher :
ISBN 13 :
Total Pages : 364 pages
Book Rating : 4.:/5 (243 download)
Download or read book The Variable-rate Mortgage and Risk in the Mortgage Market written by Chapman Findlay and published by . This book was released on 1980* with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Vanderhoff
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Adjustable and Fixed Rate Mortgage Termination, Option Values and Local Market Conditions written by James Vanderhoff and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the probabilities of prepayment or default for Fixed Rate Mortgages (FRMs) and Adjustable Rate Mortgages (ARMs). Using data from the period 1985-1992, the analysis indicates that the likelihood of prepayment of thirty year FRMs was determined primarily by house price appreciation and personal income growth and the likelihood of prepayment of fifteen year FRMs determined primarily by interest rate changes. ARMs were prepaid less frequently than FRMs, were less likely to be prepaid when interest rates declined and defaulted more often than FRMs. The analysis provides evidence that ARM holders are less mobile than FRM holders.
Author : Yat-ming Lam
Publisher :
ISBN 13 :
Total Pages : 221 pages
Book Rating : 4.:/5 (32 download)
Download or read book Option Theory for Mortgages and Mortgage-backed Securities written by Yat-ming Lam and published by . This book was released on 2005 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gene Amromin
Publisher : DIANE Publishing
ISBN 13 : 1437987850
Total Pages : 57 pages
Book Rating : 4.4/5 (379 download)
Download or read book Complex Mortgages (CM) written by Gene Amromin and published by DIANE Publishing. This book was released on 2011 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: CM became a popular borrowing instrument during the bullish housing market of the early 2000s but vanished rapidly during the subsequent downturn. These non-traditional loans (interest only, negative amortization, and teaser mortgages) enable households to postpone loan repayment compared to traditional mortgages and hence relax borrowing constraints. But, they increase household leverage and heighten dependence on mortgage refinancing. CM were chosen by prime borrowers with high income levels seeking to purchase expensive houses relative to their incomes. Borrowers with CM experience substantially higher ex post default rates than borrowers with traditional mortgages with similar characteristics. Illus. This is a print on demand report.
Author : United States. Federal Home Loan Bank Board
Publisher :
ISBN 13 :
Total Pages : 568 pages
Book Rating : 4.:/5 (3 download)
Download or read book Alternative Mortgage Instruments Research Study written by United States. Federal Home Loan Bank Board and published by . This book was released on 1977 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yevgeny Mugerman
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (13 download)
Download or read book How Homeowners Choose Between Fixed and Adjustable Rate Mortgages? written by Yevgeny Mugerman and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Housing is the most important asset in the portfolio of most households. Understanding the households' decision on housing finance has important implications from a policy perspective, due to the effects it may have on the housing prices, on the housing market stability and on household welfare. The theoretical literature on housing finance focused on figuring out the optimal choice between Fixed Rate Mortgages (FRM) and Adjustable Rate Mortgages (ARM). We argue that the standard economic criteria are sometimes inadequate to explain household's choices, which may be motivated by psychological factors. In other words, we claim that household's choice depends only partially on the findings of the theoretical literature. We examine the effect of changes in the short term market interest rate on the households' choice between fixed rate mortgages (FRM) and adjustable rate mortgages (ARM). We test this effect using a unique data provided to us by the Bank of Israel, which contains detailed information on the household's decision between fixed and adjustable rate mortgage contracts in Israel in the past decade. The results of our analysis demonstrate a significant association between FRM preference and short term interest rate reduction. Moreover, we find that the change in the short term interest rate is more salient to the borrowers in periods of a high interest rate environment. We attribute these findings to Tversky and Kahneman (1974) availability and representativeness heuristics.
Author : Brian Coyle
Publisher : Global Professional Publishi
ISBN 13 : 9780852974421
Total Pages : 172 pages
Book Rating : 4.9/5 (744 download)
Download or read book Interest-rate Options written by Brian Coyle and published by Global Professional Publishi. This book was released on 2001 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: � Worked examples illustrating key points � Explanation of complex or obscure terms � Full glossary of terms The titles in this series, all previously published by BPP Training, are now available in entirely updated and reformatted editions. Each offers an international perspective on a particular aspect of risk management. Topics covered in this title include borrowers' and lenders' options, the settlement of borrowers' and lenders' options, interest-rate caps, floors and collars, option prices, using OTC options, and options on interest-rate futures.
Author : John Krainer
Publisher : DIANE Publishing
ISBN 13 : 143793384X
Total Pages : 45 pages
Book Rating : 4.4/5 (379 download)
Download or read book Mortgage Default and Mortgage Valuation written by John Krainer and published by DIANE Publishing. This book was released on 2010-10 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors develop an equilibrium valuation model that incorporates optimal default to show how mortgage yields and lender recovery rates on defaulted mortgages depend on initial loan-to-value (LTV) ratios. The analysis treats both the frictionless case and the case in which borrowers and lenders incur deadweight costs upon default. The model is calibrated using data on California mortgages. Given reasonable parameter values, the model does a surprisingly good job fitting the risk premium in the data for high LTV mortgages. Thus, from an ex ante perspective, the authors do not find strong evidence of systematic underpricing of default risk in the run-up to the housing market crisis. Charts and tables.
