Mortgage valuation: a quasi-closed-form solution
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | |
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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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 |
format |
article |
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 |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1817552417892335616 |