The suboptimal exercise of the prepayment option in a mortgage is relevant for mortgage
pricing and the management of a mortgage portfolio. Construction of an accurate …

One of the most important financial decisions a household makes is the purchase of a home.
In most European societies, households finance this purchase through a mortgage. The …

The Dutch mortgage-backed securities (MBS) market is the benchmark euro-denominated
MBS market. It is also one of the few European markets where mortgage coupons are fixed …

This paper presents a pricing model of commercial and industrial (C&I) loan prepayment
option. Modeling of prepayment is essential in pricing mortgage contracts since prepayment …

In this paper, we propose a prepayment model based on a set of residential loan
terminations recorded on the French market. Prepayment is captured by loan-specific …

This paper alters the traditional model of valuation by introducing trinomial trees, and
determines the difference between the traditional plain‐vanilla, adjustable‐rate mortgages …

This thesis is written in response of a request by the ABN AMRO Hypotheken Groep. In
terms of financial risks, liquidity risk was considered as one of the least significant types …

This paper presents a pricing model of commercial and industrial (C&I) loan prepayment
option. Modeling of prepayment is essential in pricing mortgage contracts since prepayment …

The objective of this dissertation is to develop an option model for residential mortgages and
Mortgage-Backed Securities. Previous studies in the literature have identified several …