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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 : Frank Fabozzi
Publisher : McGraw Hill Professional
ISBN 13 : 0071715347
Total Pages : 27 pages
Book Rating : 4.0/5 (717 download)
Download or read book The Handbook of Fixed Income Securities, Chapter 38 - Valuation of Mortgage-Backed Securities written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Author : Andrew Lehman Brunson
Publisher :
ISBN 13 :
Total Pages : 150 pages
Book Rating : 4.:/5 (374 download)
Download or read book A Fixed Rate Mortgage Valuation Model in Three State Variables written by Andrew Lehman Brunson and published by . This book was released on 1996 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Author : Andrew Davidson
Publisher : Oxford University Press
ISBN 13 : 0199363684
Total Pages : 465 pages
Book Rating : 4.1/5 (993 download)
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.
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 : Glenn M. Schultz
Publisher : John Wiley & Sons
ISBN 13 : 1119221536
Total Pages : 419 pages
Book Rating : 4.1/5 (192 download)
Download or read book Investing in Mortgage-Backed and Asset-Backed Securities written by Glenn M. Schultz and published by John Wiley & Sons. This book was released on 2016-01-07 with total page 419 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities Mortgage- and asset-backed securities are not as complex as they might seem. In fact, all of the information, financial models, and software needed to successfully invest in and manage a portfolio of these securities are available to the investment professional through open source software. Investing in Mortgage and Asset-Backed Securities + Website shows you how to achieve this goal. The book draws entirely on publicly available data and open source software to construct a complete analytic framework for investing in these securities. The analytic models used throughout the book either exist in the quantlib library, as an R package, or are programmed in R and incorporated into the analytic framework used. Examines the valuation of fixed-income securities—metrics, valuation framework, and return analysis Covers residential mortgage-backed securities—security cash flow, mortgage dollar roll, adjustable rate mortgages, and private label MBS Discusses prepayment modeling and the valuation of mortgage credit Presents mortgage-backed securities valuation techniques—pass-through valuation and interest rate models Engaging and informative, this book skillfully shows you how to build, rather than buy, models and proprietary analytical platforms that will allow you to invest in mortgage- and asset-backed securities.
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 1118044711
Total Pages : 302 pages
Book Rating : 4.1/5 (18 download)
Download or read book Mortgage-Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2010-12-30 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth look at the latest innovations in mortgage-backed securities The largest sector of the fixed-income market is the mortgage market. Understanding this market is critical for portfolio managers, as well as issuers who must be familiar with how these securities are structured. Mortgage-Backed Securities is a timely guide to the investment characteristics, creation, and analysis of residential real estate-backed securities. Each chapter contains cutting-edge information for investors, traders, and other professionals involved in this market, including discussions of structuring mortgage products-such as agency CMOs and new types of mortgages-and an in-depth explanation of the concept of option-adjusted spreads and other analytical concepts used to assess relative value.
Author : Sanjay K. Nawalkha
Publisher : John Wiley & Sons
ISBN 13 : 0471737445
Total Pages : 429 pages
Book Rating : 4.4/5 (717 download)
Download or read book Interest Rate Risk Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2005-05-31 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
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 : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 047144698X
Total Pages : 530 pages
Book Rating : 4.4/5 (714 download)
Download or read book Interest Rate, Term Structure, and Valuation Modeling written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2002-11-29 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securities and derivatives. Filled with expert advice, valuable insights, and advanced modeling techniques, Interest Rate, Term Structure, and Valuation Modeling is a book that all institutional investors, portfolio managers, and risk professionals should have. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles-which include numerous bestsellers—The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.
Author : John Patrick Harding
Publisher :
ISBN 13 :
Total Pages : 414 pages
Book Rating : 4.:/5 (33 download)
Download or read book Rational Mortgage Valuation Using Optimal Refinancing Strategies and Heterogeneous Borrowers written by John Patrick Harding and published by . This book was released on 1994 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 9781883249250
Total Pages : 296 pages
Book Rating : 4.2/5 (492 download)
Download or read book Valuation of Fixed Income Securities and Derivatives written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1998-01-15 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authoritative resource for understanding and practicing valuation of both common fixed income investment vehicles and complex derivative instruments-now updated to cover valuing interest rate caps and floors.
Author : Nick J. Sharp
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options written by Nick J. Sharp and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers in detail a realistic mortgage valuation model (including the potential for early prepayment and the risk of default), based on stochastic house-price and interest-rate models. As well as the development of a highly accurate numerical scheme to tackle the resulting partial differential equations, this paper also exploits singular perturbation theory (a mathematically rigorous procedure, based on the idea of the smallness of the volatilities), whereby mortgage valuation can be accurately approximated by very simple closed-form solutions. Determination of equilibrium contract rates, previously requiring many computational hours is reduced to just a few seconds, rendering this a highly useful portfolio management tool; these approximations compare favorably with the full numerical solutions. The method is of wide applicability in US or other mortgage markets and is demonstrated for UK fixed-rate mortgages, including insurance and coinsurance.
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:
Author : Chung-Sik Chang
Publisher :
ISBN 13 :
Total Pages : 418 pages
Book Rating : 4.:/5 (89 download)
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:
Author : Narasimhan Jegadeesh
Publisher : John Wiley & Sons
ISBN 13 : 9780471254195
Total Pages : 438 pages
Book Rating : 4.2/5 (541 download)
Download or read book Advanced Fixed-Income Valuation Tools written by Narasimhan Jegadeesh and published by John Wiley & Sons. This book was released on 1999-12-28 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting the most advanced thinking on the topic, this book covers the latest valuation models and techniques. It addresses essential topics such as the subtleties of fixed-income mathematics, new approaches to modeling term structures, and the applications of fixed-income valuation on credit risk, mortgages, munis, and indexed bonds.
