In recent decades, the aging of the population and the lengthening of life expectancy have
caused seniors to need more retirement income over a longer time period. Because the …

We investigate the valuation problem of a mortgage contract with full prepayment and
default risks using the reduced-form model with regime switching. The hazard rates of full …

In a mortgage valuation model, the early termination (ie, prepayment and default) hazard
rates and the recovery rate can be specified as multivariate affine functions that include the …

This paper uses a reduced‐form approach to derive a closed‐form pricing formula for
defaultable bonds. The authors specify the default hazard rate as an affine function of …

Assessing an MSR's value is difficult in practice because it involves various revenues and
costs that are influenced by both the stochastic property of interest rates and the likelihood of …

This article describes the derivation of a general closed-form formula for determining a fair
premium for both Federal Housing Administration (FHA) and private mortgage insurance …

This article presents a theoretical model that considers the influence of foreclosure factors,
including foreclosure lag, foreclosure costs and the ratio of the auction price to the unpaid …

This paper presents a theoretical model that considers the influence of the foreclosure
factors (including the foreclosure lag, the foreclosure costs and the ratio of the auction price …

This paper constructed a pricing model for the asset with multi‐risks by specifying the risky
factors (ie, interest rate and termination hazard rates) to follow gamma distributions. The …

This paper constructed a pricing model for the asset with multi-risks by specifying the risky
factors (ie, interest rate and termination hazard rates) to follow gamma distributions. The …