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Measuring the mortgage market's convexity needs

Goodman, Laurie Sharon; Ho, Jeffrey - In: The journal of fixed income 14 (2004) 2, pp. 6-19

Persistent link: https://www.econbiz.de/10002421440

Interest rates : Normal or lognormal?

Ho, Jeffrey; Goodman, Laurie Sharon - In: The journal of fixed income 13 (2003) 2, pp. 33-45

Persistent link: https://www.econbiz.de/10001803145

A LIBOR-based approach to modeling the mortgage basis

Goodman, Laurie Sharon - In: The journal of fixed income 8 (1998) 2, pp. 29-35

Persistent link: https://www.econbiz.de/10001252730

Modeling the Mortgage-Treasury Spread

Goodman, Laurie S. - 1998

This is a discussion of the fundamentals underlying a proprietary thirty-year conventional perfect current-coupon projection model. This model measures the richness or cheapness of the current-coupon mortgage as a function of the fundamental variables that influence mortgage pricing: the level...

Persistent link: https://www.econbiz.de/10012790625

Mortgage Hedge Ratios: Which One Works Best?

Goodman, Laurie S.; Ho, Jeffrey - In: The journal of fixed income 7 (1997) 3, pp. 23-34

Persistent link: https://www.econbiz.de/10007362629

MEASURING THE MORTGAGE MARKET'S CONVEXITY NEEDS - Fixed-income market participants have become keenly aware that movements in Treasury rates are amplified by hedging activities ari...

Goodman, Laurie S.; Ho, Jeffrey - In: The journal of fixed income 14 (2004) 2, pp. 6-19

Persistent link: https://www.econbiz.de/10007151990