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The Mortgage Contract
Pricing Contingent Claims on Interest Rates and a Risky Asset
4 other sections not shown
approach to pricing approximating parameters arbitrage asset's logarithmic returns assumed assumption binomial move Black-Scholes bond prices borrower boundary conditions cash flow Chapter CN rH constant continuous correlation default and insurance default option discrete time approach discrete time model equilibrium contract rate FHA experience fixed rate mortgage follows forward rate curve function increase initial forward rate Jarrow joint bivariate Kishimoto[35 Lee's lender's position loan maximum likelihood estimators mortgage contract mortgage payment Mortgage-Backed Securities mortgaged asset price mortgaged asset's logarithmic option pricing partial differential equation partial effect payment date portfolio prepay prepayment prepayment rate pricing contingent claims pricing formula pricing mortgages probability q problem put option random variable risk neutral riskless risky asset Sloping Term Structure spot rate spot-forward bias stochastic interest rates stochastic process structure of interest terminal conditions trading period Upward Sloping Term valuation value of default value of insurance variance zero coupon bond