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~isPartOf:"International Journal of Theoretical and Applied Finance (IJTAF)"
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GONCHAROV, YEVGENY
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International Journal of Theoretical and Applied Finance (IJTAF)
Natural Hazards
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1
AN
INTENSITY
-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
GONCHAROV, YEVGENY
- In:
International Journal of Theoretical and Applied …
09
(
2006
)
06
,
pp. 889-914
approaches require different analytical and numerical tools. With the option-based specification of the prepayment
intensity
, our …
Persistent link: https://www.econbiz.de/10005080474
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2
PARTIAL INFORMATION AND HAZARD PROCESS
JEANBLANC, MONIQUE
;
VALCHEV, STOYAN
- In:
International Journal of Theoretical and Applied …
08
(
2005
)
06
,
pp. 807-838
, but it is better avoiding the
intensity
approach to valuation since the hazard process approach is more efficient. …
Persistent link: https://www.econbiz.de/10004971793
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3
A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
KOLBE, ANDREAS
;
ZAGST, RUDI
- In:
International Journal of Theoretical and Applied …
11
(
2008
)
06
,
pp. 635-656
is based on
intensity
models as used in credit-risk modeling and extends existing models for individual mortgage …
Persistent link: https://www.econbiz.de/10005060198
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