A subject often recurring in financial and actuarial papers is the pricing of stocks and securities when the rate of return is stochastic. In most cases, the stocks considered are assumed not to pay out any dividend. In the present contribution we show how it is possible to obtain upper and lower bounds for the (distribution of the) accumulated value of a cash-flow in the presence of dividend b...

This paper shows, using a standard CAPM model of security prices in a world market, that even small countries can affect the price of domestically issued risky securities, while large countries can affect the prices of all securities. As a result, countries have the incentive to set tax rates such that in equilibrium investors tend to specialize in domestic securities, and net capital flows bet...

Previous mortgage prepayment and valuation models assume that two mortgage pools with the same observable characteristics should behave indistinguishably. However, even pools with apparently identical characteristics often exhibit markedly different prepayment behavior. The sources of this heterogeneity may be unobservable, but we can infer information about a pool from its prepayment behavior ...

the purpuse of this study was to examine the regulation needs of iranian capital market. the regulation needs was investigated in three areas: 1- information disclosure 2- financial institutions and 3- supervision and market confidence. the results showed that, information disclosure was not adequate in iran, especially in the primary market, where companies issue now securities to the public, ...

Securitization of mortgage loans involves multiple financial intermediaries. Among them, loan originators, deal sponsors, and security underwriters are the key economic players. Using data on non-agency mortgage-backed securities, we find that i) deals in which underwriters and sponsors are affiliated (vertically integrated) have higher delinquency rates than those in which they are unaffiliate...

Mortgage terminations arise because borrowers exercise options. This paper investigates the nonoptimal and apparently irrational behavior of those borrowers who do not terminate their mortgages even when the exercise value of the option is deeply in the money. We develop an option-based empirical model to analyze this phenomenon -the behavior of irrational or boundedly rational “woodheads.” Of ...