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location Sumgait, Azerbaijan
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seen Jan 21 at 13:47

Dec
19
comment Drawbacks of Black-Scholes option pricing model
that is the source of my question hss.caltech.edu/~bcornell/PUBLICATIONS/… if you want to edit the question to make it more clearer. please feel free.
Dec
19
comment Drawbacks of Black-Scholes option pricing model
Thank you for you reply. I do read about the warren buffet's comment and yes the reason he believes is inflation. BUt he fails to provide logical financial explanation.
Dec
19
comment Drawbacks of Black-Scholes option pricing model
Thank you for your answer. The question is not what is the reason of mispricing, the question is what is the reason of Overestimation?
Dec
19
comment Drawbacks of Black-Scholes option pricing model
hss.caltech.edu/~bcornell/PUBLICATIONS/… this is the emprical research.
Dec
17
asked Drawbacks of Black-Scholes option pricing model
Oct
23
comment Valuation of Mortgage Backed floating notes
both commercial and residential
Oct
22
revised Valuation of Mortgage Backed floating notes
added 192 characters in body
Oct
22
asked Valuation of Mortgage Backed floating notes
Jun
13
awarded  Critic
Feb
3
comment What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
Thank you for your answer and comments. Absolutely, agree with you. it sounds wierd, but it is the reality. the country is not so well known and developed country. Take account its cyclicality, can the economic growth be considered as a factor or may be it will be more appropriate to use other approaches besides logit regressions?
Feb
3
comment What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
@JoshuaUlrich, I am modelling loan level data. the model coluld predict 19% of past prepayments only.
Feb
3
comment What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
I do agree what you said about interest rates. But the country where I am trying to forecast prepayment rate has very stable interest rates for 20 years. So in my case interest rate does not have just big impact because simply they don't change. Should Any other factors be considered?
Feb
2
revised What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
edited title
Feb
2
revised What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
added 2 characters in body
Feb
2
asked What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
Jan
21
accepted Can duration gap analysis be applied to mortgages?
Jan
20
comment Can duration gap analysis be applied to mortgages?
Thank you for your detailled reply, any recommendations-books, articles- where I can go deeper with this topic.
Jan
19
awarded  Commentator
Jan
19
comment Can duration gap analysis be applied to mortgages?
say we want to do duration gap analysis for mortgage bank which lends mortgage loans.. so themortgage bankwill havemortgage loan portfolio as one of its interestdependant assets in its balance sheet.my question is thathow should the duration ofthis portfolio be calculated?
Jan
19
comment Can duration gap analysis be applied to mortgages?
Whatabout maculay duration(weighted average of a payment times) can the same methdology applied as forbonds?