Continuous Workout Mortgage (CWM) balance and payments are indexed using market-observable house price index in an economic environment with prepayments. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulas for mortgage payment and...

The aim of this paper is to establish a basic framework of financing with a highly flexible instrument, of Participating Mortgages (PMs), to improve the efficiency of the financial system. We distinguish these from convertible mortgages and derive closed-form solutions to price a whole framework...

This paper distinguishes Participating Mortgages (PMs) from Convertible Mortgages. We study variants of PMs to demonstrate that they have the potential of improving the efficiency of a financial system. We resort to closed-form formulae to price profit caps and floors identified in variants of...

This paper distinguishes Participating Mortgages (PMs) from Convertible Mortgages. We study variants of PMs to demonstrate that they have the potential of improving the efficiency of a financial system. We resort to closed-form formulae to price profit caps and floors identified in variants of...

The aim of this paper is to establish a basic framework of financing with a highly flexible instrument, of Participating Mortgages (PMs), to improve the efficiency of the financial system. We distinguish these from convertible mortgages and derive closed-form solutions to price a whole framework...

This paper establishes a basic framework to study three different variants of Participating Mortgages (PMs). We obtain results for Shared Appreciation Mortgages (SAMs), Shared Income Mortgages (SIMs) and Shared Equity Mortgages (SEMs) in closed-form. We illustrate our findings with examples that...

This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments. CWMs are home loans whose balance and payments are indexed using a market-observable house price index of the pertaining locality. Our main results include: (a) explicit modelling...

Models of interest rate caps and floors are typically based on discrete rates over finite horizons while existing real option models describe perpetual claims on the maximum of two continuous flows. In this paper we produce formulae for finite maturity caps and floors that are contingent on...