This article surveys theoretical work on the pricing of mortgages as derivative assets, often
termed the option-pricing approach to mortgage valuation. Emphasis is on the possibility of …

Innovations in statistical technology in functions including credit‐screening have raised
concerns about distributional impacts across categories such as race. Theoretically …

We develop a deep learning model of multi-period mortgage risk and use it to analyze an
unprecedented dataset of origination and monthly performance records for over 120 million …

This article presents a new model of mortgage prepayments, based on rational decisions by
mortgage holders. These mortgage holders face heterogeneous transaction costs, which are …

ABSTRACT GNMA mortgage‐backed pass‐through securities are supported by pools of
amortizing, callable loans. Additionally, mortgagors often prepay their loans when the …

We examine the behavior of mortgage borrowers over several economic cycles using an
unprecedented dataset of origination and monthly performance records for over 120 million …

ABSTRACT “Limits of Arbitrage” theories hypothesize that the marginal investor in a
particular asset market is a specialized arbitrageur rather than a diversified representative …

Refinancing a mortgage is often one of the most important financial decisions people make.
Borrowers choose the interest rate differential at which to refinance, and when that …

This paper models and provides empirical evidence for the quality of assets that are
securitized through bankruptcy remote special purpose vehicles (SPVs). The model predicts …

We derive the first closed‐form optimal refinancing rule: refinance when the current
mortgage interest rate falls below the original rate by at least In this formula W (.) is (the …