Prepayment risk- and option-adjusted valuation of MBS

Journal of Portfolio Management

Volumn 31, Issue 4, 2005, Pages 73-85

  Levin, Alexander ^a   Davidson, Andrew ^a  

^a Andrew Davidson and Co Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 24144481891     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2005.570153     Document Type: Article

References (14)

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3. Davidson, A. "Understanding Premium Mortgage-Backed Securities: Observations and Analysis." In F. Fabozzi, ed., Mortgage-Backed Securities: New Strategies, Applications and Research. Chicago: Probus Publishing, 1987, pp. 191-204.
4. Davidson, A., M. Herskovitz, and L. Van Drunen. "The Refinancing Threshold Model: An Economic Approach to Valuing MBS." Journal of Real Estate Finance and Economics, 1 (June 1988), pp. 117-130.
5. Fabozzi, F., and G. Fong. Advanced Fixed Income Portfolio Management. Burr Ridge, IL: Irwin Professional Publishing, 1994.
6. Gabaix, X., A. Krishnamurthy, and O. Vigneron. "Limit of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market." Working paper, 2004.
7. Hayre, L. "Anatomy of Prepayments." The Journal of Fixed Income, June 2000, pp. 19-49.
8. _. "A Simple Statistical Framework for Modeling Burnout and Refinancing Behavior." The Journal of Fixed Income, December 1994, pp. 69-74.
9. Hull, J. Options, Futures, and Other Derivatives, 4th ed. Upper Saddle River, NJ: Prentice-Hall, 2000.
10. Kalotay, A., D. Yang, and F. Fabozzi. "An Option-Theoretic Prepayment Model for Mortgages and Mortgage-Backed Securities." International Journal of Theoretical and Applied Finance, Vol. 7, No. 8 (2004), pp. 1-29.
11. Kupiec, P., and A. Kah. "On the Origin and Interpretation of OAS." The Journal of Fixed Income, December 1999, pp. 82-92.
12. Levin, A. "Active-Passive Decomposition in Burnout Modeling." The Journal of Fixed Income, March 2001, pp. 27-40.
13. _. "Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach." International Journal of Theoretical and Applied Finance, 1(3) (1998), pp. 348-376.
14. _. "Divide and Conquer: Exploring New OAS Horizons." Andrew Davidson & Co., 2004.