Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

Business, Economics, Finance +17

Two Singular Diffusion Problems

William Feller · Annals of Mathematics · 1951 · 889 citations

Natural Sciences, Physics, Differential Equations +11

Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options

Yongheng Deng, John M. Quigley, Robert Van Order · Econometrica · 2000 · 848 citations

Business, Finance, Real Estate +14

Prepayment and the Valuation of Mortgage‐Backed Securities

Eduardo S. Schwartz, Walter N. Torous · The Journal of Finance · 1989 · 434 citations

Business, Economics, Finance +17

Rational Prepayment and the Valuation of Mortgage-Backed Securities

Richard Stanton · Review of Financial Studies · 1995 · 413 citations

Business, Economics, Finance +17