This paper considers in detail a realistic mortgage valuation model (including the potential
for early prepayment and the risk of default), based on stochastic house-price and interest …

Since the loan limit of a reverse mortgage is a major concern for the borrower as well as the
lender, this paper attempts to develop an option-based model to evaluate the loan limits of …

Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …

Term default and balloon risk play an interactive role in the pricing of credit risk in
commercial mortgages. Most commercial mortgage pricing studies assume a borrower's …

There has been substantial turmoil and change in the financial markets over the past few
years. We saw a housing bubble collapse trigger a subprime crisis that caused banks to fail …

This research empirically investigates the relative optimality of several different methods of
making refinancing decisions on residential mortgages. The results indicate that a simple …

This paper alters the traditional model of valuation by introducing trinomial trees, and
determines the difference between the traditional plain‐vanilla, adjustable‐rate mortgages …

In recent years, the reduced-form approach to valuation has become widely used in asset
pricing. Unlike earlier structural models, reduced-form models do not require that data on the …

In recent years, the reduced-form approach to valuation has become widely used in asset
pricing. Unlike earlier structural models, reduced-form models do not require that data on the …

Even though the current low interest rate environment, some low-income families still
originate ARM to buy a house just because the initial rate of ARM is relatively lower …