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Implementing an option-theoretic CMO valuation model with recent prepayment data

Singh, Manoj K. - In: The journal of fixed income 5 (1996) 4, pp. 45-55

Persistent link: https://www.econbiz.de/10001204425

Rational prepayments and the valuation of collateralized mortgage obligations

McConnell, John J. - In: The journal of finance : the journal of the American … 49 (1994) 3, pp. 891-921

Persistent link: https://www.econbiz.de/10001172387

Seasonalities in NYSE bid-ask spreads and stock returns in January

Clark, Robert A. - In: The journal of finance : the journal of the American … 47 (1992) 5, pp. 1999-2014

Persistent link: https://www.econbiz.de/10001138517

Rational Prepayments and the Valuation of Collateralized Mortgage Obligations

McConnell, John J.; Singh, Manoj - In: The journal of finance : the journal of the American … 49 (1994) 3, pp. 891-922

Persistent link: https://www.econbiz.de/10006600346

Valuation and Analysis of Collateralized Mortgage Obligations

McConnell, John J.; Singh, Manoj - In: Management Science 39 (1993) 6, pp. 692-709

This study develops a model for the valuation of Collateralized Mortgage Obligations (CMOs). The model is based on a two-factor model of the term structure of interest rates and embeds an empirically estimated mortgage prepayment function. The model is used to analyze various CMO tranches,...

Persistent link: https://www.econbiz.de/10009198065