[BOOK][B] Dynamic asset pricing theory

D Duffie - 2010 - books.google.com
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

[BOOK][B] Financial derivatives: pricing, applications, and mathematics

J Baz, G Chacko - 2004 - books.google.com
Combining their corporate and academic experiences, Jamil Baz and George Chacko offer
financial analysts a complete, succinct account of the principles of financial derivatives …

Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities

M Chernov, BR Dunn… - The Review of Financial …, 2018 - academic.oup.com
We develop a three-factor no-arbitrage model for valuing mortgage-backed securities in
which we solve for the implied prepayment function from the cross-section of market prices …

Understanding mortgage spreads

N Boyarchenko, A Fuster… - The Review of Financial …, 2019 - academic.oup.com
Because most mortgages in the United States are securitized in agency mortgage-backed
securities (MBS), yield spreads on MBS are a key determinant of homeowners' funding …

An option-theoretic prepayment model for mortgages and mortgage-backed securities

A Kalotay, D Yang, FJ Fabozzi - International Journal of Theoretical …, 2004 - World Scientific
We introduce a new approach for modeling the prepayments of a mortgage pool and show
how it can be used to value mortgage pools and agency mortgage-backed securities. We …

Asset Pricing with Cohort‐Based Trading in MBS Markets

N Fusari, W Li, H Liu, Z Song - The Journal of Finance, 2022 - Wiley Online Library
Agency mortgage‐backed securities (MBSs) with diverse characteristics are traded in
parallel through individualized specified pool (SP) contracts and standardized to‐be …

[BOOK][B] Mortgage Valuation Models: Embedded Options, Risk, and Uncertainty

A Davidson, A Levin - 2014 - books.google.com
Mortgage-backed securities (MBS) are among the most complex of all financial instruments.
Analysis of MBS requires blending empirical analysis of borrower behavior with the …

[PDF][PDF] Prepayment risk-and option-adjusted valuation of MBS

A Levin, A Davidson - Journal of Portfolio Management, 2005 - ad-co.com
Option-adjusted spread (OAS), while a much better measure than yield or static spread, still
falls short in explaining the dynamics of mortgage pricing. The standard OAS typically varies …

The structured finance market: An investor's perspective

FJ Fabozzi - Financial Analysts Journal, 2005 - Taylor & Francis
The largest sector of the US investment-grade fixed-income market is structured products—
mortgage-backed securities and asset-backed securities. Issues and challenges currently …

Intertemporal asset pricing theory

D Duffie - Handbook of the Economics of Finance, 2003 - Elsevier
This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The
broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of …