Matches in SemOpenAlex for { <https://semopenalex.org/work/W2145087029> ?p ?o ?g. }
Showing items 1 to 74 of
74
with 100 items per page.
- W2145087029 endingPage "88" @default.
- W2145087029 startingPage "69" @default.
- W2145087029 abstract "The option-adjusted spread (OAS) is a standard measure in evaluation of mortgage-backed securities. In calculating the OAS, a prepayment model is incorporated to generate prepayment cashflows, however, no attention has been paid to a prepayment process and its associated probability measure. To illustrate the situation we examine two categories of prepayment models, the proportional hazards and the Poisson regression models. We formulate prepayment processes by point processes andfind constraints on the point processes under which these prepayment models are reproduced. The prepayment rate is specified by the intensity of the point processes, and the intensity depends on a probability measure. We give warning of implicitly adpopting the real measure in the OAS approach." @default.
- W2145087029 created "2016-06-24" @default.
- W2145087029 creator A5063975656 @default.
- W2145087029 date "2002-07-30" @default.
- W2145087029 modified "2023-09-27" @default.
- W2145087029 title "The OAS Approach and the Martingale Measure for Mortgage Prepayment" @default.
- W2145087029 cites W1454038227 @default.
- W2145087029 cites W1997740550 @default.
- W2145087029 cites W2068409406 @default.
- W2145087029 cites W2073303950 @default.
- W2145087029 cites W2081877251 @default.
- W2145087029 cites W2092487949 @default.
- W2145087029 cites W2130711218 @default.
- W2145087029 cites W2171687663 @default.
- W2145087029 cites W2319384619 @default.
- W2145087029 hasPublicationYear "2002" @default.
- W2145087029 type Work @default.
- W2145087029 sameAs 2145087029 @default.
- W2145087029 citedByCount "1" @default.
- W2145087029 crossrefType "journal-article" @default.
- W2145087029 hasAuthorship W2145087029A5063975656 @default.
- W2145087029 hasConcept C10138342 @default.
- W2145087029 hasConcept C105795698 @default.
- W2145087029 hasConcept C124101348 @default.
- W2145087029 hasConcept C130424004 @default.
- W2145087029 hasConcept C149782125 @default.
- W2145087029 hasConcept C162118730 @default.
- W2145087029 hasConcept C162324750 @default.
- W2145087029 hasConcept C2780009758 @default.
- W2145087029 hasConcept C33923547 @default.
- W2145087029 hasConcept C41008148 @default.
- W2145087029 hasConcept C88871306 @default.
- W2145087029 hasConceptScore W2145087029C10138342 @default.
- W2145087029 hasConceptScore W2145087029C105795698 @default.
- W2145087029 hasConceptScore W2145087029C124101348 @default.
- W2145087029 hasConceptScore W2145087029C130424004 @default.
- W2145087029 hasConceptScore W2145087029C149782125 @default.
- W2145087029 hasConceptScore W2145087029C162118730 @default.
- W2145087029 hasConceptScore W2145087029C162324750 @default.
- W2145087029 hasConceptScore W2145087029C2780009758 @default.
- W2145087029 hasConceptScore W2145087029C33923547 @default.
- W2145087029 hasConceptScore W2145087029C41008148 @default.
- W2145087029 hasConceptScore W2145087029C88871306 @default.
- W2145087029 hasIssue "1" @default.
- W2145087029 hasLocation W21450870291 @default.
- W2145087029 hasOpenAccess W2145087029 @default.
- W2145087029 hasPrimaryLocation W21450870291 @default.
- W2145087029 hasRelatedWork W151396345 @default.
- W2145087029 hasRelatedWork W1544131700 @default.
- W2145087029 hasRelatedWork W1972645673 @default.
- W2145087029 hasRelatedWork W1984068425 @default.
- W2145087029 hasRelatedWork W1989347789 @default.
- W2145087029 hasRelatedWork W2032423227 @default.
- W2145087029 hasRelatedWork W2056292019 @default.
- W2145087029 hasRelatedWork W2067005972 @default.
- W2145087029 hasRelatedWork W2068409406 @default.
- W2145087029 hasRelatedWork W2086404802 @default.
- W2145087029 hasRelatedWork W2086618172 @default.
- W2145087029 hasRelatedWork W2089072153 @default.
- W2145087029 hasRelatedWork W2163547317 @default.
- W2145087029 hasRelatedWork W2354775697 @default.
- W2145087029 hasRelatedWork W2358413981 @default.
- W2145087029 hasRelatedWork W2366517328 @default.
- W2145087029 hasRelatedWork W2549870316 @default.
- W2145087029 hasRelatedWork W3121280943 @default.
- W2145087029 hasRelatedWork W3122523426 @default.
- W2145087029 hasRelatedWork W3146441654 @default.
- W2145087029 hasVolume "50" @default.
- W2145087029 isParatext "false" @default.
- W2145087029 isRetracted "false" @default.
- W2145087029 magId "2145087029" @default.
- W2145087029 workType "article" @default.