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Commercial Mortgage-Backed Securities: Prepayment and Default

✍ Scribed by Brent W. Ambrose; Anthony B. Sanders


Book ID
110430119
Publisher
Springer US
Year
2003
Tongue
English
Weight
644 KB
Volume
26
Category
Article
ISSN
0895-5638

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## Abstract We use an implicit alternating direction numerical procedure to estimate the value of a fixed‐rate mortgage (FRM) with embedded default and prepayment options. The value of FRMs depends on interest rates, the house value, and mortgage maturity. Our numerical results suggest that the joi