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THE COMPLEXITIES OF MORTGAGE OPTIONS - Mortgage option prices behave quite differently than the prices of options on underlying securities that do not exhibit significant convexity...
Prendergast, Joseph R. - In: The journal of fixed income 12 (2003) 4, pp. 7-24
Persistent link: https://www.econbiz.de/10007161009
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PREDICTING THE TEN-YEAR LIBOR SWAP SPREAD: THE ROLE AND LIMITATIONS OF RICH-CHEAP ANALYSIS - Wall Street brokers and portfolio managers frequently use regressions of spread levels...
Prendergast, Joseph R. - In: The journal of fixed income 10 (2000) 3, pp. 86-99
Persistent link: https://www.econbiz.de/10007175931
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FUNDAMENTAL, FLIGHT-TO-QUALITY, AND FLIGHT-TO-LIQUIDITY COMPONENTS IN SUBPRIME MORTGAGE-BACKED SECURITY RETURNS
Prendergast, Joseph R. - In: The journal of fixed income 19 (2009) 1, pp. 5-25
Persistent link: https://www.econbiz.de/10008278773