Valuation of mortgages by using Lévy models
Year of publication: |
2024
|
---|---|
Authors: | Chiang, Shu Ling ; Tsai, Ming-shann |
Published in: |
Journal of real estate research : JRER ; a publication of the American Real Estate Society. - London [u.a.] : Taylor & Francis, ISSN 2691-1175, ZDB-ID 2037318-1. - Vol. 46.2024, 1, p. 25-54
|
Subject: | Default Risk | Lévy Process | Mortgage | Prepayment Risk | Valuation | Hypothek | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | CAPM | Insolvenz | Insolvency | Asset-Backed Securities | Asset-backed securities |
-
Vinokurova, Natalya, (2019)
-
Understanding Mortgage Spreads
Boyarchenko, Nina, (2014)
-
A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe, (2021)
- More ...
-
Chiang, Shu Ling, (2016)
-
Tsai, Ming-shann, (2016)
-
The valuation model for a risky asset when its risky factors follow gamma distributions
Tsai, Ming-shann, (2016)
- More ...