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Valuation of Mortgages Without Prepayment Penalties

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Table 2.1: Risk premia found in research
Figure 2.1: Categorization of prepayment types. Green classes in-dicate that a prepayment penalty is never charged and red categoriesindicate that it is common to charge a penalty if the borrower prepays.The numbers attached to some elements represent the category num-ber that we assign to the prepayment type in the framework of thisthesis.
Figure 3.1: Illustration of the mortgage value, where the value of therefinancing option is subtracted from the option-free mortgage value(B) in order to get the value of the mortgage with refinancing option(M)
Figure 3.2: Illustration of the boundaries of the mortgage valuationPDE
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Short-Rate Models Model Selection The Refinancing Threshold Behavioral Refinancing Threshold Suggestions for Future Research Parameter Values

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