Sevtap Kestel

Independent

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

A Stochastic Approach to Model Housing Markets: The US Housing Market Case

American Institute of Mathematical Sciences (2018) Doi 10.3934/naco.2018030
Posted: 06 Apr 2020
Bilgi Yilmaz and Sevtap Kestel
Middle Eastern Technical University Ankara and Independent

Abstract:

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Housing index, Mortgage rate, Stochastic differential equations, Forecasting, Calibration

2.

Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach

Journal of Real Estate Finance and Economics, Forthcoming
Posted: 08 Mar 2020
Bilgi Yilmaz and Sevtap Kestel
Middle Eastern Technical University Ankara and Independent

Abstract:

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Mortgage default risk; Mortgage prepayment risk; Malliavin calculus; hedging coefficients; Monte Carlo simulation