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Maris et al., 1996 - Google Patents

Interest-only and principal-only mortgage strips as interest-rate contingent claims

Maris et al., 1996

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Document ID
10604200728756493732
Author
Maris B
Yang T
Publication year
Publication venue
The Journal of Real Estate Finance and Economics

External Links

Snippet

Interest-only (IO) and principal-only (PO) mortgage strips are valued in a stochastic interest- rate environment. The prepayment rate of the underlying mortgages is affected by two considerations not present in the “pure” financially rational model:(1) The property owner's …
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Classifications

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    • G06Q—DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
    • G—PHYSICS
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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Investment, e.g. financial instruments, portfolio management or fund management
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    • G06Q20/00—Payment architectures, schemes or protocols
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    • G06Q20/00—Payment architectures, schemes or protocols
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    • G06Q20/00—Payment architectures, schemes or protocols
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