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Volumn 14, Issue 3, 2005, Pages 194-211

Valuing US and Canadian mortgage servicing rights with default and prepayment

Author keywords

Canada Servicing; Mortgage Servicing; MSR

Indexed keywords

EID: 27144547589 PISSN: 10511377 EISSN: None Source Type: Journal
DOI: 10.1016/j.jhe.2005.07.006 Document Type: Article

Times cited : (8)

References (12)

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- A capital markets view of mortgage servicing rights
- S.P.B. Aldrich W.R. Greenberg B.S. Payner A capital markets view of mortgage servicing rights J. Fixed Income 11 1 2001 37-54
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- Aldrich, S.P.B.¹ Greenberg, W.R.² Payner, B.S.³

2
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- Pricing Mortgage Default and Foreclosure Delay
- B.W. Ambrose R.J. Buttimer C.A. Capone Pricing Mortgage Default and Foreclosure Delay J. Money, Credit, Banking 29 3 1997 314-323
- (1997) J. Money, Credit, Banking , vol.29 , Issue.3 , pp. 314-323
- Ambrose, B.W.¹ Buttimer, R.J.² Capone, C.A.³

3
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- Embedded options in the mortgage contract
- B.W. Ambrose R.J. Buttimer Embedded options in the mortgage contract J. Real Estate Finance Econ. 21 2 2000 95-111
- (2000) J. Real Estate Finance Econ. , vol.21 , Issue.2 , pp. 95-111
- Ambrose, B.W.¹ Buttimer, R.J.²

4
- 0001205798
- A theory of the term structure of interest rates
- J.C. Cox J.E. Ingersoll Jr. S.A. Ross A theory of the term structure of interest rates Econometrica 53 2 1985 385-407
- (1985) Econometrica , vol.53 , Issue.2 , pp. 385-407
- Cox, J.C.¹ Ingersoll Jr., J.E.² Ross, S.A.³

5
- 0010204617
- Bivariate binomial options pricing with generalized interest rate processes
- J.E. Hilliard A.L. Schwartz A.L. Tucker Bivariate binomial options pricing with generalized interest rate processes J. Finan. Res. 19 4 1996 585-602
- (1996) J. Finan. Res. , vol.19 , Issue.4 , pp. 585-602
- Hilliard, J.E.¹ Schwartz, A.L.² Tucker, A.L.³

6
- 0032221485
- Valuing prepayment and default in a fixed-rate mortgage: A bivariate binomial options pricing technique
- J.E. Hilliard J.B. Kau V.C. Slawson Valuing prepayment and default in a fixed-rate mortgage: A bivariate binomial options pricing technique Real Estate Econ. 26 3 1998 431-468
- (1998) Real Estate Econ. , vol.26 , Issue.3 , pp. 431-468
- Hilliard, J.E.¹ Kau, J.B.² Slawson, V.C.³

7
- 0000945119
- A generalized valuation model for fixed-rate residential mortgages
- J.B. Kau D.C. Keenan W.J. Muller J.F. Epperson A generalized valuation model for fixed-rate residential mortgages J. Money, Credit, Banking 24 3 1992 279-299
- (1992) J. Money, Credit, Banking , vol.24 , Issue.3 , pp. 279-299
- Kau, J.B.¹ Keenan, D.C.² Muller, W.J.³ Epperson, J.F.⁴

8
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- Waiting to default: The value of delay
- J.B. Kau T. Kim Waiting to default: The value of delay J. Am. Real Estate Urban Econ. Assoc. 22 3 1994 539-551
- (1994) J. Am. Real Estate Urban Econ. Assoc. , vol.22 , Issue.3 , pp. 539-551
- Kau, J.B.¹ Kim, T.²

9
- 3542993131
- The evolving role of technology in mortgage finance
- M. Lacour-Little The evolving role of technology in mortgage finance J. Housing Econ. 11 2 2000 173-205
- (2000) J. Housing Econ. , vol.11 , Issue.2 , pp. 173-205
- Lacour-Little, M.¹

10
- 27144486981
- National Mortgage News Annual Data Report, Washington, DC
- National Mortgage News 2003 Annual Data Report, Washington, DC.
- (2003)

11
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- Simple binomial processes as diffusion approximations in financial models
- D.B. Nelson K. Ramaswamy Simple binomial processes as diffusion approximations in financial models Rev. Finan. Stud. 3 3 1990 393-430
- (1990) Rev. Finan. Stud. , vol.3 , Issue.3 , pp. 393-430
- Nelson, D.B.¹ Ramaswamy, K.²

12
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- Valuing mortgage loan servicing
- L.D. Van Drunen J.J. McConnell Valuing mortgage loan servicing J. Real Estate Finan. Econ. 1 1 1988 5-22
- (1988) J. Real Estate Finan. Econ. , vol.1 , Issue.1 , pp. 5-22
- Van Drunen, L.D.¹ McConnell, J.J.²

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.