1 - 5 of 5 articles
Refers to previous research on the yields of default‐free securities and uses the Nelson‐Siegel model for estimating yield curve as a basis for developing a model which decomposes the risk premium into long‐term risk, two factors influencing the rate of decay (curvature) and a feed back factor....
Discusses arbitrage pricing theory as a multifactor model for explaining rates of return on securities; and the use of principal components analysis to reduce the number of variables studies. Applies these ideas to returns on treasury bills and government bonds for 1,000 business days ending in...
Outlines previous research relevant to the risks involved in residential mortgages and suggests some reasons for the gap between theory and market practice. Develops a model which adds household income, ability to pay problems and mortgage underwriting constraints to the standard pricing models,...
Notes the increasing importance of option‐adjusted spread analysis for pricing in the mortgage‐backed securities market and develops a partial differentiation equation method (PDE) for calculation, as an alternative to the Monte Carlo method. Discusses the mathematical theory involved and...
Outlines Heath, Jarrow and Morton’s (1992) method (MJM) for modelling interest rates and refers to other research showing that although it is generally non‐Markov, this can be modified if the volatility structure depends on relative maturity term rather than calendar maturity date. Develops a...
Read and print from thousands of top scholarly journals.
Continue with Facebook
Sign up with Google
Log in with Microsoft
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Sign Up Log In
To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.
To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.