The recent financial crisis has posed new challenges to the pricing issue of mortgage insurance premiums. By extending an option-based approach to this pricing issue, we attempt to tackle several key challenges including the clustering of mortgage defaults, the diversification effect of...

The recent sluggish recovery in the U.S. house market has further motivated our research interests in overbuilding in real estate markets. Our model is an extension to Grenadier's (1996, JF), who emphasizes rational investment decisions possibly leading to oversupply in real estate markets, by...

This study empirically tests volatility effects on land development options using data on the government's land sales by tender for the period from 1995 to 2018. We find that development land option premiums increase by 6% on average with one standard deviation increase in conditional...

This paper proposes an intensity-based pricing model with default dependence structure for CMBS bonds. Three features are incorporated into the proposed model. First, default is a Poisson jump process defined as a function of mortgage rating information in the model. Second, underlying property...