Related papers: Mortgage Contracts and Underwater Default
In the buyback problem, an algorithm observes a sequence of bids and must decide whether to accept each bid at the moment it arrives, subject to some constraints on the set of accepted bids. Decisions to reject bids are irrevocable, whereas…
The dynamics of flooding are primarily influenced by the shape, height, and roughness (friction) of the underlying topography. For this reason, mechanisms to mitigate floods frequently employ structural measures that either modify…
The system operator's scheduling problem in electricity markets, called unit commitment, is a non-convex mixed-integer program. The optimal value function is non-convex, preventing the application of traditional marginal pricing theory to…
We present a multilayer network model for credit risk assessment. Our model accounts for multiple connections between borrowers (such as their geographic location and their economic activity) and allows for explicitly modelling the…
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. Indeed, due to margining, futures have…
In this paper we consider a principal agent problem where the agent is allowed to quit, by incurring a cost. When the current agent quits the job, the principal will hire a new one, possibly with a different type. We characterize the…
We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique classical solution to a parabolic differential equation with…
Motivated by the emergence of local groundwater exchanges, we construct and analyze stochastic models of dynamic groundwater markets. Our primary focus is endogenizing the price formation and groundwater pumping strategies in a closed…
We present a revealed preference characterization of marital stability where some couples are committed. A couple is committed if they can divorce only with mutual consent. We provide theoretical insights into the potential of the…
We propose two parametric approaches to evaluate swing contracts with firm constraints. Our objective is to define approximations for the optimal control, which represents the amounts of energy purchased throughout the contract. The first…
Cryptocurrency lending pools are services that allow lenders to pool together assets in one cryptocurrency and loan it out to borrowers who provide collateral worth more (than the loan) in a separate cryptocurrency. Borrowers can repay…
In this work, a pricing model for a defaultable corporate bond with credit rating migration risk is established. The model turns out to be a free boundary problem with two free boundaries. The latter are the level sets of the solution but…
Prior literature has argued that flood insurance maps may not capture the extent of flood risk. This paper performs a granular assessment of coastal flood risk in the mortgage market by using physical simulations of hurricane storm surge…
The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and counterparty credit risk. Our goal is to provide a sound…
The study focuses on improving the ex ante prediction accuracy assessment in the case of forecasting various house price dispersion measures in the USA. It addresses a critical gap in real estate market forecasting by proposing a novel…
We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with…
This paper considers the pricing of long-term options on assets such as housing, where either government intervention or the economic nature of the asset is assumed to limit large falls in prices. The observed asset price is modelled by a…
This paper investigates gaps in access to and the cost of housing credit by race and ethnicity using the near universe of U.S. mortgage applications. Our data contain borrower creditworthiness variables that have historically been absent…
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the choice to trade via market orders or…
In this study, we investigated the relationship between sailboat technical specifications and their prices, as well as regional pricing influences. Utilizing a dataset encompassing characteristics like length, beam, draft, displacement,…