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Regime-switching affine term structures

Celary, Andreas; Eksi-Altay, Zehra; Krühner, Paul - In: Quantitative finance 24 (2024) 1, pp. 139-155

Persistent link: https://www.econbiz.de/10014551950

What should you pay to cap your ARM? A note on capped adjustable rate mortgages

Nordfang, Maj-Britt - In: International Journal of Financial Studies 5 (2017) 1, pp. 1-10

In this paper, an Adjustable Rate Mortgage (ARM) and a Fixed Rate Mortgage (FRM) are formalized and studied in a simple continuous-time setting under the assumption of a simple one-factor Affine Term Structure (ATS). Through an application of existing results from ATS theory, it is shown that...

Persistent link: https://www.econbiz.de/10011709023

What should you pay to cap your ARM? : a note on capped adjustable rate mortgages

Nordfang, Maj-Britt - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10

In this paper, an Adjustable Rate Mortgage (ARM) and a Fixed Rate Mortgage (FRM) are formalized and studied in a simple continuous-time setting under the assumption of a simple one-factor Afﬁne Term Structure (ATS). Through an application of existing results from ATS theory, it is shown that...

Persistent link: https://www.econbiz.de/10011649291