Mortgage-backed futures and options

Article Abstract:

A simple valuation model is used to examine contracts for mortgaged backed options and futures traded at the Chicago Board of Trade (CBOT) between 1989 and 1992, and the results back previous findings by Schaefer and Schwartz, in addition to providing benchmarks for further empirical tests. Though the contingent-claim model used is fairly simple, it has been shown to be accurate, and it is only worth using more complex models if they provide enhanced accuracy in estimating the actual prices of options.

Security and commodity exchanges, Analysis, Prices and rates, Mortgage-backed securities, Mortgage backed securities, Futures

---

Real estate values, federal income taxation, and the importance of local market conditions

Article Abstract:

A model describing income property valuation is developed. The model integrates local market conditions and assumes rent response to tax law variations. The variations are assumed to be influenced by local suply and demand and predicted economic growth rate. Analysis shows that a change in the Tax Reform Act of 1986's real estate regulations will benefit the market and related lending institutions.

Laws, regulations and rules, Income tax, Valuation, Real property, Real estate appraisal

---

An empirical investigation of the contingent-claims approach to pricing residential mortgage debt

Article Abstract:

The contingent-claims model of residential mortgage rates is tested using fixed-rate mortgage rates. Results indicate that the model significantly clarifies some time-series variations and is generally unbiased in its month-to-month predictions. Moreover, the model incorporates third party transaction costs which more fully defines the valuation effects of the prepayment option.

Economic aspects, Mortgages, Debt prepayment

Similar abstracts:

• Abstracts: Mortgage banking: predicting the winds of change. The effects of the amendment of SFAS 65 on mortgage banking
• Abstracts: Banks, bailouts, and cleanup bills. The treatment of environmental matters in bankruptcy cases. OSHA's asbestos regulations: implications for owners and tenants of commercial buildings
• Abstracts: The pinnacle of the profession: Site Selection's 1997 top 10 development groups. Development excellence in action: Site Selection's 1995 top 10 groups
• Abstracts: What next, Quebec? The southwest: job generation writ large. The ADA: are corporate facilities ready?
• Abstracts: Praegitzer Industries' Ted Molinari: 'Rocky Mountain High' environmental standards speed growth. Steelcase CEO Jerry Myers: creating the office of the future - now

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.