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The Volatility of Long-Term Bond Returns: Persistent Interest Shocks and Time-Varying Risk Premiums
In: Netspar Discussion Paper No. 08/2012-060
SSRN
Working paper
Non-Synchronous Trading and Testing for Market Integration in Central European Emerging Markets
In: Schotman, P.C. and A. Zalewska (2006) Non-synchronous trading and testing for market integration in Central European Emerging Markets, Journal of Empirical Finance 13, 462-494 https://doi.org/10.1016/j.jempfin.2006.04.002
SSRN
The term structure in the United States, Japan, and West Germany
In: Carnegie Rochester Conference series on public policy: a bi-annual conference proceedings, Band 28, S. 269-313
ISSN: 0167-2231
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Working paper
Optimal prepayment of Dutch mortgages*
In: Statistica Neerlandica: journal of the Netherlands Society for Statistics and Operations Research, Band 61, Heft 1, S. 137-155
ISSN: 1467-9574
Valuation of the prepayment option in Dutch mortgages is complicated. In the Netherlands, mortgagors are not allowed to prepay the full mortgage loan without a compensating penalty. Only a limited amount of the initial mortgage loan can be prepaid penalty‐free. We introduce a general model formulation for the valuation of limited callable mortgages, based on binomial trees. This model can be used for determining both the optimal prepayment strategy and the value of embedded prepayment options. For some mortgage types the prepayment option can be valued exactly, whereas other types require approximative methods for efficient valuation. The heuristic we propose here determines the prepayment option value efficiently and accurately for general mortgage types.
Measuring Risk Attitudes in a Natural Experiment: Data from the Television Game Show Lingo*
In: The economic journal: the journal of the Royal Economic Society, Band 111, Heft 474, S. 821-848
ISSN: 1468-0297
Estimating Security Betas Using Prior Information Based on Firm Fundamentals
In: AFA 2010 Atlanta Meetings Paper
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SSRN
Working paper
Strategic asset allocation with liabilities: Beyond stocks and bonds
In: Journal of economic dynamics & control, Band 32, Heft 9, S. 2939-2970
ISSN: 0165-1889