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  • 1
    Electronic Resource
    Electronic Resource
    The timing of prepayment: A theoretical analysis (1993)
    Springer
    The journal of real estate finance and economics 7 (1993), S. 221-228 
    Details
    ISSN: 1573-045X
    Keywords: Timing of prepayment ; prepayment
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article develops the analytical methods necessary to determine the prepayment patterns of a mortgage contract. The most obvious measure of how many years a mortgage is likely to last is the expected time to termination. It is this measure that we most fully explore. However, since the method employed is able to characterize the probability of prepayment in any given time period, the means is provided to determine any measure of the time to termination.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01096968
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    The valuation at origination of fixed-rate mortgages with default and prepayment (1995)
    Springer
    The journal of real estate finance and economics 11 (1995), S. 5-36 
    Details
    ISSN: 1573-045X
    Keywords: mortgage pricing ; origination ; default ; prepayment
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper develops a model to rationally price fixed-rate mortgages, using the arbitrage principles of option pricing theory. The paper incorporates amortization, prepayment and default in valuing the mortgage. Having completely specified the model, numerical procedures value the different features of the mortgage contract under a variety of economic conditions. The necessity of having both the interest rate and the house price as explanatory variables, due to the interaction of default and prepayment, is demonstrated. The numerical solutions presented center around mortgage pricing at origination. Thus, variations in the equilibrium contract rate are examined for differing economic conditions and changes in the contract. Finally, by presenting a complete model, the paper yields insights for the existence of common institutional practices.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01097934
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  • 3
    Electronic Resource
    Electronic Resource
    The prepayment option on mortgage securities: A random coefficient approach (1992)
    Springer
    Review of quantitative finance and accounting 2 (1992), S. 33-45 
    Details
    ISSN: 1573-7179
    Keywords: mortgage securities ; prepayment ; stochastic behavior ; random coefficients
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Using the Swamy (1970) model for pooled data and a Hildreth and Houck (1968) model for individual securities, this article investigates whether the parameters describing the prepayment behavior of the fixed-rate debt underlying mortgage-backed securities are better estimated as a stochastic behavior. Empirical results indicate that differences between securities are random. The Hildreth and Houck model yields additional information on randomness over time. The use of the aggregate data to estimate prepayment of individual securities, as opposed to use of the prepayment history of the individual security, may yield more reliable results.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00243983
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    Paper (German National Licenses)
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