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Asset-backed securitization in Singapore : value of embedded buy-back options

Sing, Tien-foo; Ong, Seow-eng; Sirmans, Clemon F. - In: The journal of real estate finance and economics 27 (2003) 2, pp. 173-189

Persistent link: https://www.econbiz.de/10001788889

Pricing asset backed Islamic financial instruments

Ebrahim, Muhammed Shahid - In: International journal of theoretical and applied finance 3 (2000) 1, pp. 59-83

Persistent link: https://www.econbiz.de/10001488350

Mortgage termination : an empirical hazard model with a stochastic term structure

Deng, Yongheng - In: The journal of real estate finance and economics 14 (1997) 3, pp. 309-331

Persistent link: https://www.econbiz.de/10001222221

An option-based analysis of income-equity participation loans

Smith, William Steven - In: Research in finance 15 (1997), pp. 305-334

Persistent link: https://www.econbiz.de/10001226614

An option-based approach to analyzing financial contracts with multiple indenture provisions

Rich, Don R. - In: Advances in futures and options research : a research annual 9 (1997), pp. 1-36

Persistent link: https://www.econbiz.de/10001226777

Pricing a Credit-Linked Note on a CDX Tranche

Chertok, Daniel L. - 2012

A credit-linked note (CLN) on a tranche of the CDX index (partially) protects the holder against default losses in that tranche. The holder receives a specified redemption amount at note maturity. The note is priced using market spread quotes for a matching CDS on this tranche

Persistent link: https://www.econbiz.de/10013098210

Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities

Pang, Tao - 2016

Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When … Monte Carlo method the most suitable, if not the only, numerical method. In practice, while simulation processes in option … convergence of OAS requires thousands of simulation paths (absolute convergence), only hundreds of paths may be needed to obtain …

Persistent link: https://www.econbiz.de/10012980138

Asset-backed stable numéraire approach for sustainable valuation

Aydın, Nadi Serhan; Rainer, Martin - In: Journal of sustainable finance & investment 12 (2022) 2, pp. 360-374

Persistent link: https://www.econbiz.de/10013177369

Pricing Agency Mortgage Backed Securities Under Quadratic Gaussian Models

Bai, Xu - 2014

Interest rate modeling is an integral part of the mortgage backed security (MBS) pricing mechanism. The particular model choice can have a significant impact on both the MBS valuation and its risk metrics. The market implied interest rate volatility skew suggests that the interest rate...

Persistent link: https://www.econbiz.de/10013063732

Affine pricing and hedging of collateralized debt obligations

Eksia, Zehra; Filipović, Damir - 2020

Persistent link: https://www.econbiz.de/10012419633