This paper seeks to explain the combination of explicit and implicit pricing for deposit
insurance employed by the FDIC. Essentially, the FDIC sells two products—insurance and …

The first mortgage-backed security (MBS) was issued in 1968. Thereafter, the MBS market
grew rapidly with outstanding issuances exceeding $9 trillion by 2010. The growth in the MBS …

In this paperwe examine the household's option to prepay or call a standard fixed-rate
mortgage. Results based on simulation indicate that the value of this option is sensitive to the …

The present value equation in finance is shown to be equivalent to the Laplace transformation
in mathematics. Based on this observation, the list of known analytic solutions for the …

Yields on short-term prime-grade municipals vary through time in relation to after-corporate-tax
yields on short-term US Treasury securities. The pattern is not related to the default …

IN PERFECT CAPITAL MARKETS, financial intermediaries lack a raison d" etre. Traditionally,
intermediaries have been portrayed solely as issuers of indirect debt who develop and …

In derivations of the mean-variance model of portfolio selection, authors from Markowitz [6
and 7] and Tobin [11] to Merton [8] and Black [1] rely on the inverse of the matrix of variances …

The ownership of life insurance may be modeled as a portfolio problem in which the return
on the life insurance contract is negatively correlated with the return on a claim to future wage …

Models of interest-dependent claims that imply similar term structures and levels of interest
rate volatility also produce similar estimates of bond option values. This result is established …

A model is developed and utilized in this paper to value a life‐of‐loan interest‐rate cap on an
ARM that reprices monthly. The value of the cap is seen to depend importantly on both the …