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  1. The Journal of Real Estate Finance and Economics
  2. The Journal of Real Estate Finance and Economics : Volume 19
  3. The Journal of Real Estate Finance and Economics : Volume 19, Issue 2, September 1999
  4. A Closed Form Formula for Valuing Mortgages
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The Journal of Real Estate Finance and Economics : Volume 54
The Journal of Real Estate Finance and Economics : Volume 53
The Journal of Real Estate Finance and Economics : Volume 52
The Journal of Real Estate Finance and Economics : Volume 51
The Journal of Real Estate Finance and Economics : Volume 50
The Journal of Real Estate Finance and Economics : Volume 49
The Journal of Real Estate Finance and Economics : Volume 48
The Journal of Real Estate Finance and Economics : Volume 47
The Journal of Real Estate Finance and Economics : Volume 46
The Journal of Real Estate Finance and Economics : Volume 45
The Journal of Real Estate Finance and Economics : Volume 44
The Journal of Real Estate Finance and Economics : Volume 43
The Journal of Real Estate Finance and Economics : Volume 42
The Journal of Real Estate Finance and Economics : Volume 41
The Journal of Real Estate Finance and Economics : Volume 40
The Journal of Real Estate Finance and Economics : Volume 39
The Journal of Real Estate Finance and Economics : Volume 38
The Journal of Real Estate Finance and Economics : Volume 37
The Journal of Real Estate Finance and Economics : Volume 36
The Journal of Real Estate Finance and Economics : Volume 35
The Journal of Real Estate Finance and Economics : Volume 34
The Journal of Real Estate Finance and Economics : Volume 33
The Journal of Real Estate Finance and Economics : Volume 32
The Journal of Real Estate Finance and Economics : Volume 31
The Journal of Real Estate Finance and Economics : Volume 30
The Journal of Real Estate Finance and Economics : Volume 29
The Journal of Real Estate Finance and Economics : Volume 28
The Journal of Real Estate Finance and Economics : Volume 27
The Journal of Real Estate Finance and Economics : Volume 26
The Journal of Real Estate Finance and Economics : Volume 25
The Journal of Real Estate Finance and Economics : Volume 24
The Journal of Real Estate Finance and Economics : Volume 23
The Journal of Real Estate Finance and Economics : Volume 22
The Journal of Real Estate Finance and Economics : Volume 21
The Journal of Real Estate Finance and Economics : Volume 20
The Journal of Real Estate Finance and Economics : Volume 19
The Journal of Real Estate Finance and Economics : Volume 19, Issue 3, November 1999
The Journal of Real Estate Finance and Economics : Volume 19, Issue 2, September 1999
The Choice of Methodology for Computing Housing Price Indexes: Comparisons of Temporal Aggregation and Sample Definition
A Housing Price Model with Endogenous Externality Location: A Study of Mobile Home Parks
A Closed Form Formula for Valuing Mortgages
Differences in the Cost of Mortgage Credit Implications for Discrimination
Comment on Bohanon and Coelho, “The Costs of Free Land: The Oklahoma Land Rushes”
The Costs of Free Land: The Oklahoma Land Rushes—Reply
The Journal of Real Estate Finance and Economics : Volume 19, Issue 1, July 1999
The Journal of Real Estate Finance and Economics : Volume 18
The Journal of Real Estate Finance and Economics : Volume 17
The Journal of Real Estate Finance and Economics : Volume 16
The Journal of Real Estate Finance and Economics : Volume 15
The Journal of Real Estate Finance and Economics : Volume 14

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A Closed Form Formula for Valuing Mortgages

Content Provider Springer Nature Link
Author Collin Dufresne, P. Harding, John P.
Copyright Year 1999
Abstract We develop a closed form formula for the value of a fixed-rate residential mortgage that includes the provision that the borrower can prepay at any time with no penalty. The value of the mortgage equals the expectation, under the risk neutral probability measure, of the future cash flows. We model future cash flows by estimating an empirical model of prepayment behavior. A second change of measure leads to a closed form expression for the expectation. The closed form values explain most of the time series variation in MBS prices. The closed form formula significantly shortens the time to calculate mortgage values and durations and can be a useful tool for portfolio management and hedging.
Starting Page 133
Ending Page 146
Page Count 14
File Format PDF
ISSN 08955638
Journal The Journal of Real Estate Finance and Economics
Volume Number 19
Issue Number 2
e-ISSN 1573045X
Language English
Publisher Kluwer Academic Publishers
Publisher Date 1999-01-01
Publisher Place Boston
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Regional Science Finance /Banking
Content Type Text
Resource Type Article
Subject Finance Urban Studies Accounting Economics and Econometrics
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