Download or read book An Arbitrage Free Estimate of Prepayment Option Prices in Fixed Rate Gnma Mortgage Backed Securities written by Ehud I. Ronn and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In an efficient market, the no-arbitrage condition implies that the price difference between two assets is the market value of all differences in their cash flows. We use this logic to deduce the price of the prepayment option in fixed-rate GNMA mortgage-backed securities. The option price equals the difference between an observed GNMA price and the cost of a synthetic, nonprepayable GNMA constructed from the least expensive portfolio of Treasury securities that replicates the promised GNMA cash flow, assuming prepayment is precluded. We find that five key regressors explain more than 90% of the prepayment option value in pooled time-series cross-sectional analysis. Also, the time values of the prepayment option calculated display a pattern similar to the Black-Scholes (1973) option pricing method. Another result is the existence of negative option prices and the negative time value of the option prices. Our method is independent of assumptions regarding interest rate processes and the homeowner's prepayment behavior, and it provides a benchmark for testing theoretical prepayment models.

Download or read book An Empirical Estimate of the Prepayment Option Value in Fixed rate GNMA Mortgage backed Securities written by Ehud I. Ronn and published by . This book was released on 1991 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Pricing of GNMA Mortgage backed Securities and Futures Contracts written by Fung-Shine Pan and published by . This book was released on 1986 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Pricing of the Intersected Contingent Claims and the Fixed Rate Mortgage written by Chia-Wen Lee and published by . This book was released on 1992 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Derivatives Sourcebook written by Terence Lim and published by Now Publishers Inc. This book was released on 2006 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.

Download or read book Pricing Fixed Rate Mortgages written by Fernando Diz and published by . This book was released on 1989 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Fixed Income Analysis written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2007-03-15 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Second Edition of Fixed Income Analysis, financial expert Frank Fabozzi and a team of knowledgeable contributors provide complete coverage of the most important issues in fixed income analysis. Now, in Fixed Income Analysis Workbook, Second Edition, Fabozzi offers you a wealth of practical information and exercises that will solidify your understanding of the tools and techniques associated with this discipline. This comprehensive study guide--which parallels the main book chapter by chapter--contains challenging problems and a complete set of solutions as well as concise learning outcome statements and summary overviews. If you want to make the most of your time in the fixed income marketplace, the lessons within this workbook can show you how. Topics reviewed include: The risks associated with investing in fixed income securities The fundamentals of valuation and interest rate risk The features of structured products--such as mortgage-backed securities and asset-backed securities The principles of credit analysis The valuation of fixed income securities with embedded options

Download or read book Internet and Network Economics written by Xiaotie Deng and published by Springer. This book was released on 2005-11-25 with total page 1122 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINE 2005, the First Workshop on Internet and Network Economics (WINE 2005), took place in Hong Kong, China, December 15-17, 2005. The symposium aims to provide a forum for researchers working in Internet and Network Economic algorithms from all over the world. The final count of electronic submissions was 372, of which 108 were accepted. It consists of the main program of 31 papers, of which the submitter email accounts are: 10 from edu (USA) accounts, 3 from hk (Hong Kong), 2 each from il (Isreal), cn (China), ch (Switzerland), de (Germany), jp (Japan), gr (Greece), 1 each from hp. com, sohu. com, pl (Poland), fr (France), ca (Canada), and in (India). In addition, 77 papers from 20 countries or regions and 6 dot. coms were selected for 16 special focus tracks in the areas of Internet and Algorithmic Economics; E-Commerce Protocols; Security; Collaboration, Reputation and Social Networks; Algorithmic Mechanism; Financial Computing; Auction Algorithms; Online Algorithms; Collective Rationality; Pricing Policies; Web Mining Strategies; Network Economics; Coalition Strategies; Internet Protocols; Price Sequence; Equilibrium. We had one best student paper nomination: “Walrasian Equilibrium: Hardness, Approximations and Tracktable Instances” by Ning Chen and Atri Rudra. We would like to thank Andrew Yao for serving the conference as its Chair, with inspiring encouragement and far-sighted leadership. We would like to thank the International Program Committee for spending their valuable time and effort in the review process.

Download or read book Foundations and Trends in Finance written by and published by . This book was released on 2005 with total page 926 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Valuation at Origination of Fixed Rate Mortgages with Default and Prepayment written by James B. Kau and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Advances in the Valuation and Management of Mortgage Backed Securities written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1999-01-15 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in the Valuation and Management of Mortgage-Backed Securities details the latest developments for valuing mortgage-backed securities and measuring and controlling the interest rate risk of these securities. Complete coverage includes: decomposition of mortgage spreads, MBS index replication strategies and market neutral strategies, Monte Carlo/OAS methodology, valuation of inverse floaters and ARMs, relative value analysis, and hedging mortgage instruments against level risk and yield curve risk.

Download or read book Net Yield Table for GNMA Mortgage Backed Securities written by Financial Publishing Company and published by . This book was released on 1975 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Journal of Economic Literature written by and published by . This book was released on 1996 with total page 1272 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Fixed Income Securities written by Bruce Tuckman and published by John Wiley & Sons. This book was released on 2011-10-13 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates.

Download or read book Understanding the Securitization of Subprime Mortgage Credit written by Adam B. Ashcraft and published by DIANE Publishing. This book was released on 2010-03 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. Discusses the ways that market participants work to minimize these frictions and speculate on how this process broke down. Continues with a complete picture of the subprime borrower and the subprime loan, discussing both predatory borrowing and predatory lending. Presents the key structural features of a typical subprime securitization, documents how rating agencies assign credit ratings to mortgage-backed securities, and outlines how these agencies monitor the performance of mortgage pools over time. The authors draw upon the example of a mortgage pool securitized by New Century Financial during 2006. Illustrations.

Download or read book Journal of Financial Education written by and published by . This book was released on 1995 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.