Related papers: Mortgage-Rate-Adjusted Home Prices
This article presents a mathematical model of dynamic pricing for real estate (RE) that incorporates multiple pricing groups, thereby expanding the capabilities of existing models. The developed model solves the problem of maximizing…
In 2022, energy prices skyrocketed across Europe, with average day-ahead spot market prices in Germany 2.43 times higher than the previous year, hinting at future trends. At the same time, electricity infrastructure is expected to be…
Relationships between the energy and the finance markets are increasingly important. Understanding these relationships is vital for policymakers and other stakeholders as the world faces challenges such as satisfying humanity's increasing…
Mortgage prepayments play a crucial role in the pricing and hedging of mortgage backed securities. An important feature of mortgage prepayment modeling is burnout; as time goes on those borrowers who have the greatest tendency to refinance…
The aim of this paper is to investigate the use of close formula approximation for pricing European mortgage options. Under the assumption of logistic duration and normal mortgage rates the underlying price at the option expiry is…
This paper assesses the link between central bank's policy rate, inflation rate and output gap through Taylor rule equation in both United States and United Kingdom from 1990 to 2020. Also, it analyses the relationship between monetary…
Does the ability to pledge an asset as collateral, after purchase, affect its price? This paper identifies the impact of collateral service flows on house prices, exploiting a plausibly exogenous constitutional amendment in Texas which…
Demand response (DR) leverages demand-side flexibility, offering a promising approach to enhance market conditions like mitigating wholesale price spikes. However, poorly chosen DR locations can inadvertently increase electricity prices.…
Recently, there is growing interest and need for dynamic pricing algorithms, especially, in the field of online marketplaces by offering smart pricing options for big online stores. We present an approach to adjust prices based on the…
Traditional competitive markets do not account for negative externalities; indirect costs that some participants impose on others, such as the cost of over-appropriating a common-pool resource (which diminishes future stock, and thus…
In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it…
Changes in the profile of prices in wholesale electricity markets prompt utilities to redesign their tariffs and adjust their time-of-use periods to ensure a more adequate cost recovery. However, changing the rate structures could adversely…
Since the advent of online real estate database companies like Zillow, Trulia and Redfin, the problem of automatic estimation of market values for houses has received considerable attention. Several real estate websites provide such…
This article is an extension of the work of one of us (Coopersmith, 2011) in deriving the relationship between certain interest rates and the inflation rate of a two component economic system. We use the well-known Fisher relation between…
The liberalization of electricity markets and the development of renewable energy sources has led to new challenges for decision makers. These challenges are accompanied by an increasing uncertainty about future electricity price movements.…
This study employs the Causal Machine Learning (CausalML) statistical method to analyze the influence of electricity pricing policies on carbon dioxide (CO2) levels in the household sector. Investigating the causality between potential…
Our paper aims to model and forecast the electricity price by taking a completely new perspective on the data. It will be the first approach which is able to combine the insights of market structure models with extensive and modern…
We define what "Price Impact" means, and how it is measured and modelled in the recent literature. Although this notion seems to convey the idea of a forceful and intuitive mechanism, we discuss why things might not be that simple.…
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest rate (also called short rate) or a system of such equations…
Income- and price-elasticity of demand quantify the responsiveness of markets to changes in income, and in prices, respectively. Under the assumptions of utility maximization and preference-independence (additive preferences), mathematical…