The deep understanding of the forces that affect the valuation, risk and return of fixed income
securities and their derivatives has never been so important. As the world of fixed income …

Multivariate density estimation (MDE) suggests that mortgage-backed security (MBS) prices
can be well described as a function of the level and slope of the term structure. We analyze …

This article develops a two‐factor structural mortgage pricing model in which rational
mortgage‐holders choose when to prepay and default in response to changes in both …

We empirically compare a wide range of term structure models used in the pricing and, in
particular, hedging of caps and swaptions. We analyze the influence of the number of factors …

Nonparametric density estimation has broad applications in computational finance
especially in cases where high frequency data are available. However, the technique is …

Short description of the book... Relation to other books... Books emphasizing descriptions of
markets and products: Fabozzi (2000), van Horne (2001). Books emphasizing modern …

This article examines the importance of term structure variables in the hedging of mortgage‐
backed securities (MBS) with Treasury futures. Koutmos, G., Kroner, K., and Pericli, A.(1998) …

The mortgage-backed security (MBS) market plays a special role in the US economy.
Originators of mortgages (S&Ls, savings and commercial banks) can spread risk across the …

Purpose–Interest only strips are created by stripping the interest portion of cash flows
generated in mortgage‐backed securities or simply by servicing portfolios of mortgages. A …

This dissertation consists of three chapters on mortgage funding and risk management. The
US mortgage market is very concentrated. In 2006, the top 40 lenders were responsiblefor …