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Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities. (2004). Longstaff, Francis.
In: NBER Working Papers.
RePEc:nbr:nberwo:10422.

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Cites: 29

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Cocites: 50

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  1. An Optimal Mortgage Refinancing Strategy with Stochastic Interest Rate. (2019). Edwards, David A ; Xie, Dejun ; Wu, Xiaoxia.
    In: Computational Economics.
    RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9809-6.

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  2. Simulation Solution to a Two-Dimensional Mortgage Refinancing Problem. (2018). Edwards, David A ; Zhang, Nan ; Xie, Dejun.
    In: Computational Economics.
    RePEc:kap:compec:v:52:y:2018:i:2:d:10.1007_s10614-017-9689-1.

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  3. Why Do Borrowers Make Mortgage Refinancing Mistakes?. (2016). yao, vincent ; Rosen, Richard ; Agarwal, Sumit.
    In: Management Science.
    RePEc:inm:ormnsc:v:62:y:2016:i:12:p:3494-3509.

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  4. Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty. (2011). Roussanov, Nikolai ; Chen, Hui ; Michaux, Michael .
    In: 2011 Meeting Papers.
    RePEc:red:sed011:1369.

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  5. Household Finance. (2006). Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12149.

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  6. Household Finance. (2006). Campbell, John.
    In: Scholarly Articles.
    RePEc:hrv:faseco:3157877.

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  7. Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market. (2005). Gabaix, Xavier ; Krishnamurthy, Arvind ; Vigneron, Olivier .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11851.

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  8. A two-stage stochastic integer programming approach. (2005). Laureano F. Escudero Bueno, ; Pérez, Enrique ; Maestre, Maria Merino ; Maria Araceli Garin Martin, .
    In: BILTOKI.
    RePEc:ehu:biltok:200501.

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References

References cited by this document

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  20. Longstaff, Francis A., 2003, The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices, Journal of Business, forthcoming.
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  21. Longstaff, Francis A., and Eduardo S. Schwartz, 2001, Valuing American Options by Simulation: A Simple Least Squares Approach, The Review of Financial Studies 14, 113-147.

  22. Longstaff, Francis A., Pedro Santa-Clara, and Eduardo S. Schwartz, 2001a, Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaptions Market, Journal of Financial Economics 62, 39-66.

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  29. Timmis, G. C., 1985, Valuation of GNMA Mortgage-Backed Securities with Transaction Costs, Heterogeneous Households and Endogenously Generated Prepayment Rates, Working paper, Carnegie-Mellon University.
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    In: NBER Working Papers.
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