Diss. Univ. Zürich, 2007. / Im Buchh.: Zürich etc. : Schulthess. Bibliogr.

Approved for public release; distribution is unlimited / A general study of conductor backed coplanar waveguide is presented. The impedance (Z(0)) and effective dielectric constant (ɛ(reff)) of conductor-backed coplanar waveguide (CBCPW) have been calculated by using a variational method and the boundary point matching method. In this present work only the TEM dominant low frequency propagation mode of coplanar line has been considered. Experimental facilities are vector network analyzer (HP8409) and bench-instrument measurements. / http://archive.org/details/evaluationofcopl00jeon / Captain, Korean Air Force

Mortgage backed securities are one of the most important asset classes available to fixed income investors. They are also essential to the functioning of the financial and housing market by providing liquidity to the home mortgage market. Proliferation and wide spread acceptance of mortgage backed securities resulted in a significant deduction of the interest rates for home mortgages. The 2007-2010 financial crisis sparked enhanced scrutiny of the accuracy of the pricing of mortgage backed securities. The purpose of the present thesis is to develop a computer based mathematical methodology to accurately price individual mortgages that are the fundamental assets underlying every mortgage backed security. The focus of this paper is to correctly account for inherent interest rate and prepayment risk. Default risk is not subject of this project. Interest rate risk is handled in the framework of the arbitrage free Black-Derman-Toy (BDT) model. Public Securities Association’s (PSA) model is used to simulate prepayment risk. Monte Carlo simulation methodology is developed to evaluate the properly discounted current value of the risky cash flows and hence value the mortgages. The computational algorithms are implemented in R.

Another achievement of this research is to elaborate the modified concept of Cash Rebate Mortgages. To examine the difference between Cash Rebate Mortgages and standard mortgages, we have built a simulation model to study the behavior of these two types of mortgages. The results indicate that the value of Cash Rebate Mortgages is higher than that of standard mortgages, but is more sensitive to embedded options. If the probability of exercising an option is higher, then the value of Cash Rebate Mortgages will drop at a faster rate than that of standard mortgages. / Several findings are elaborated in this dissertation. Our model has identified the major contributors to mortgage prepayment, and has developed a logistic regression model to describe prepayment behavior. We further illustrate that prepayment and default behavior are associated with financial reasons: the value of the refinancing incentive is usually greater than the prepayment penalty plus the transaction cost for refinancing mortgages, and the outstanding balance of the mortgage is higher than the current market value of the underlying property minus the transaction cost. / The final objective of this dissertation is to develop an option model for MBS issuers. Most previous studies that have developed MBS models have focused on investors, but the model that is presented here is specifically for MBS issuers. The current study develops a risk management tool for issuers and guarantors to monitor their MBS portfolios. The model projects the cash inflow of mortgages and the cash outflow to MBS, alters the traditional model by introducing decision trees, and uses a simulation program with multiple path generation to develop a model for issuers to manage their MBS portfolios. According to the results of the model, issuers can manage the risk level of their portfolios by determining the Collection Account Balance, the Overcollateralization Ratio, the Net Residual Value, and the Liquidity Advance. Finally this paper also provides suggestions on risk management for MBS issuers. / The objective of this dissertation is to develop an option model for residential mortgages and Mortgage-Backed Securities. Previous studies in the literature have identified several research opportunities that have not yet been explored. The current study attempts to fill the research gap, by altering the traditional model of mortgage valuation with a trinomial tree. We combine the prepayment, delinquency, default, and recovery of delinquency into a single model, to build a simulation program to generate different cash flow scenarios. The industrial data of the Korea Mortgage Corporation and a medium sized Hong Kong bank are used as empirical evidence for the model. / by Yat-ming Lam. / "February 2003." / Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3408. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (p. [222-235]). / Available also through the Internet via Current research @ Chinese University of Hong Kong under title: Option theory for mortgages and mortgage-backed securities (Korea, China) / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / School code: 1307.

Thesis (LL.M.)--University of Hong Kong, 1998. / Includes bibliographical references (p. 79-80). Also available in print.

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A European option is a contract in which the seller of the option grants the buyer the right, but not the obligation, to purchase from or sell to the seller the underlying asset at pre-specified price at maturity date. Herewith the buyer should pay out a premium for the value of flexibility that he was granted. Such premium as the compensation to the seller was provides in close form by Black and Scholes (1973) and Merton (1973). Even since then the option pricing methodology, or otherwise known as ¡§contingent claim analysis¡¨ has found its application in many prospects. Otherwise known as the real option analysis first induced by Myers (1977) and the structure form model of the credit risk analysis first induced by Merton (1974). In the thesis, we consider the application of the optional pricing methodology to the rationality and valuation of penalty in a contract and extent the penalty to the money back guarantee. In the former, we provide the general form solution to illustrate the both parties all hold the right to default the contract, and prove the existence of the optimal penalty is a policy to protect the disadvantaged minority such as to make the trade contract to be fair. In the latter, we prove the suitable way to evaluate that the consumer buy a good and long a MBG is the call option but the put by reviewing the final cash flow of the replicated strategy and the put-call parity at firstly, and then we find out the better way to grant the consumer to return the good to the vendor is penalty if the good is normal and the utility function of the consumer is concave. In sum, we integrate the penalty and in the MBG with the contingent claim analysis in this thesis, we find out we can use the uncomplicated model to explain the real world. Herewith we consider the option pricing model as another methodology to illustrate the social environment.

published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy

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Zugl.: Oestrich-Winkel, Europ. Business School, Diss.