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Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process
Wu, Sen; Jiang, Lishang; Liang, Jin - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10009624491
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An option-theoretic prepayment model for mortgages and mortgage-backed securities
Kalotay, Andrew J.; Yang, Deane; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 7 (2004) 8, pp. 949-978
Persistent link: https://www.econbiz.de/10002476213
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Behavioral value adjustements
Bissiri, Matteo; Cogo, Riccardo - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-37
Persistent link: https://www.econbiz.de/10011787404
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Notes on exact and semi-exact Lévy models for the valuation of CDOs
Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 979-1000
Persistent link: https://www.econbiz.de/10008905093
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CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
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Pricing asset backed Islamic financial instruments
Ebrahim, Muhammed Shahid - In: International journal of theoretical and applied finance 3 (2000) 1, pp. 59-83
Persistent link: https://www.econbiz.de/10001488350
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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 finance 9 (2006) 6, pp. 889-914
Persistent link: https://www.econbiz.de/10003380294
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Prepayment option of a perpetual corporate loan : the impact of the funding costs
Papin, Timothee; Turinici, Gabriel - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10010391495
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Exact pricing asymptotics of investment-grade tranches of synthetic CDO's : a large homogeneous pool
Sowers, R. B. - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 367-401
Persistent link: https://www.econbiz.de/10008904367
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Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
Diener, Nicolas; Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10009624528