Mortgage valuation: a quasi-closed-form solution

Detalhes bibliográficos
Autor(a) principal: Viegas, Cristina
Data de Publicação: 2012
Outros Autores: Pereira, José Azevedo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/24682
Resumo: The substantial growth observed in commercial mortgage contracts during the last two decades justifies a greater academic effort in order to develop adequate valuation models. In the vast majority of cases, the literature in this field has presented only numeric solutions. In order to obtain these numeric solutions, highly complex calculation techniques are required, which make the process overly slow and expensive. The main objective of this work is to make a contribution in a hitherto underexplored area of financial research: the development of a contingent claims commercial mortgage valuation model with a closed-form solution. The model developed in the present paper constitutes one of the first attempts to identify closed-form solutions for commercial mortgage valuation. It is also a valid alternative to models proposed up to now in the specific field of commercial mortgage valuation
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spelling Mortgage valuation: a quasi-closed-form solutionInvestmentMortgageRiskValuation ModelThe substantial growth observed in commercial mortgage contracts during the last two decades justifies a greater academic effort in order to develop adequate valuation models. In the vast majority of cases, the literature in this field has presented only numeric solutions. In order to obtain these numeric solutions, highly complex calculation techniques are required, which make the process overly slow and expensive. The main objective of this work is to make a contribution in a hitherto underexplored area of financial research: the development of a contingent claims commercial mortgage valuation model with a closed-form solution. The model developed in the present paper constitutes one of the first attempts to identify closed-form solutions for commercial mortgage valuation. It is also a valid alternative to models proposed up to now in the specific field of commercial mortgage valuationTaylor & Francis GroupRepositório da Universidade de LisboaViegas, CristinaPereira, José Azevedo2022-06-27T13:54:21Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/24682engViegas, Cristina and José Azevedo-Pereira. (2012). "Mortgage valuation: a quasi-closed-form solution" .Quantitative Finance, vol. 12, no. 7: pp. 993-1001info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:54:17Zoai:www.repository.utl.pt:10400.5/24682Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:08:40.100680Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Mortgage valuation: a quasi-closed-form solution
title Mortgage valuation: a quasi-closed-form solution
spellingShingle Mortgage valuation: a quasi-closed-form solution
Viegas, Cristina
Investment
Mortgage
Risk
Valuation Model
title_short Mortgage valuation: a quasi-closed-form solution
title_full Mortgage valuation: a quasi-closed-form solution
title_fullStr Mortgage valuation: a quasi-closed-form solution
title_full_unstemmed Mortgage valuation: a quasi-closed-form solution
title_sort Mortgage valuation: a quasi-closed-form solution
author Viegas, Cristina
author_facet Viegas, Cristina
Pereira, José Azevedo
author_role author
author2 Pereira, José Azevedo
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Viegas, Cristina
Pereira, José Azevedo
dc.subject.por.fl_str_mv Investment
Mortgage
Risk
Valuation Model
topic Investment
Mortgage
Risk
Valuation Model
description The substantial growth observed in commercial mortgage contracts during the last two decades justifies a greater academic effort in order to develop adequate valuation models. In the vast majority of cases, the literature in this field has presented only numeric solutions. In order to obtain these numeric solutions, highly complex calculation techniques are required, which make the process overly slow and expensive. The main objective of this work is to make a contribution in a hitherto underexplored area of financial research: the development of a contingent claims commercial mortgage valuation model with a closed-form solution. The model developed in the present paper constitutes one of the first attempts to identify closed-form solutions for commercial mortgage valuation. It is also a valid alternative to models proposed up to now in the specific field of commercial mortgage valuation
publishDate 2012
dc.date.none.fl_str_mv 2012
2012-01-01T00:00:00Z
2022-06-27T13:54:21Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/24682
url http://hdl.handle.net/10400.5/24682
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Viegas, Cristina and José Azevedo-Pereira. (2012). "Mortgage valuation: a quasi-closed-form solution" .Quantitative Finance, vol. 12, no. 7: pp. 993-1001
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis Group
publisher.none.fl_str_mv Taylor & Francis Group
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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