When bank asset portfolios were first securitized in the 1970s, much attention was paid to making the securitized instruments, such as mortgage-backed securities (MBSs), attractive to what was then a limited number of institutional investors. Following the initial issues, the practice of...

In this article, we will combine an econometric binary response model suitable for representing discrete time default and prepayment conditional probabilities with a valuation technique suitable for pricing path-dependent cash flows. The econometric model offers an analytically tractable...

This paper uses real options theory to value an investment opportunity known as the Mediterranean-Dead Sea hydroelectric project. We employ a discrete time model to:-quantify simultaneous variation of three decision variables over the useful life of the project;-value options to: postpone the...

This paper presents a new methodology to price European and American Asian options on a recombining binomial process. The method uses state descriptions for bundles of paths rather than for individual paths, thus reducing the amount of computation needed. Depending on the size of the problem and...

In this article, we will combine an econometric binary response model suitable for representing discrete time default and prepayment conditional probabilities with a valuation technique suitable for pricing path-dependent cash flows. The econometric model offers an analytically tractable...

The finite horizon cash balance problem with charges levied against the cash balance is considered. Conditions, sufficient to show that a two-sided (s, S) policy is optimal, are given. We consider transactions cost functions which include no fixed costs, and are linear in the amount of change....