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M.J.: Predicate result range caching for continuous queries
 In: Proceedings of the 2005 ACM SIGMOD International Conference on Management of Data, SIGMOD 2005
, 2005
"... Many analysis and monitoring applications require the repeated execution of expensive modeling functions over streams of rapidly changing data. These applications can often be expressed declaratively, but the continuous query processors developed to date are not designed to optimize queries with exp ..."
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Many analysis and monitoring applications require the repeated execution of expensive modeling functions over streams of rapidly changing data. These applications can often be expressed declaratively, but the continuous query processors developed to date are not designed to optimize queries with expensive functions. To speed up such queries, we present CASPER: the CAching System for PrEdicate Result ranges. CASPER computes and caches predicate result ranges, which are ranges of stream input values where the system knows the results of expensive predicate evaluations. Over time, CASPER expands ranges so that they are more likely to contain future stream values. This paper presents the CASPER architecture, as well as algorithms for computing and expanding ranges for a large class of predicates. We demonstrate the effectiveness of CASPER using a prototype implementation and a financial application using real bond market data.
Why do borrowers make mortgage refinancing mistakes? Working paper, Federal Reserve Bank of Chicago
, 2012
"... Refinancing a mortgage is often one of the biggest and most important financial decisions that people make. Borrowers need to choose the interest rate differential at which to refinance and, when that differential is reached, they need to take the steps to refinance before rates change again. The op ..."
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Refinancing a mortgage is often one of the biggest and most important financial decisions that people make. Borrowers need to choose the interest rate differential at which to refinance and, when that differential is reached, they need to take the steps to refinance before rates change again. The optimal differential is where the interest saved by refinancing equals the sum of refinancing costs and the option value of refinancing. Using a unique panel data set, we find that approximately 59 % of borrowers refinance suboptimally – with 52 % of the sample making errors of commission (choosing the wrong rate), 17 % making errors of omission (waiting too long to refinance), and 10 % making both errors. Financially sophisticated borrowers make smaller mistakes, refinancing at rates closer to the optimal rate and waiting less after mortgage rates reach the borrowers ’ trigger rates. Evidence suggests borrowers learn from their refinancing experiences as they make smaller mistakes on their second refinancing than on their first one.
HOUSEHOLD LEVERAGE
, 1344
"... NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily refl ect those of the ECB. In 2012 all ECB publications feature a motif taken from the €50 banknote. ..."
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NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily refl ect those of the ECB. In 2012 all ECB publications feature a motif taken from the €50 banknote.
Munpyung O, “Mortgage Default and Mortgage Valuation
, 2009
"... We study optimal exercise by mortgage borrowers of the option to default. Also, we use an equilibrium valuation model incorporating default to show how mortgage yields and lender recovery rates on defaulted mortgages depend on initial loantovalue ratios when borrowers default optimally. The analys ..."
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We study optimal exercise by mortgage borrowers of the option to default. Also, we use an equilibrium valuation model incorporating default to show how mortgage yields and lender recovery rates on defaulted mortgages depend on initial loantovalue ratios when borrowers default optimally. The analysis treats both the frictionless case and the case in which borrowers and/or lenders incur deadweight costs upon default. The model is calibrated using data on California mortgages. We find that the model’s principal testable implication for default and mortgage pricing—that default rates and yield spreads will be higher for high loantovalue mortgages—is borne out empirically.
Adaptive Execution of VariableAccuracy Functions
, 2006
"... Many analysis applications require the ability to repeatedly execute sophisticated modeling functions, which can each take minutes or even hours to produce a single answer. Because of this expense, such applications have largely been unable to directly use such models in queries, with either ondeman ..."
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Many analysis applications require the ability to repeatedly execute sophisticated modeling functions, which can each take minutes or even hours to produce a single answer. Because of this expense, such applications have largely been unable to directly use such models in queries, with either ondemand or continuous query processing technology. Query processors are hindered in their ability to optimize expensive modeling functions due to the “black box ” nature of existing userdefined function (UDF) interfaces. In this paper, we address the problem of querying over sophisticated models with the development of VAOs (VariableAccuracy Operators). VAOs use a new function interface that exposes the tradeoff between compute time and accuracy that exists in many modeling functions. Using this interface, VAOs adaptively run each function call in a query only to an accuracy needed to answer the query, thus eliminating unneeded work. In this paper, we present the design of VAOs for a set of common query operations. We show the effectiveness of VAOs using a prototype implementation running financial queries over real bond market data.
Macroeconomic Conditions, Systematic Risk Factors, and the Time Series Dynamics of Commercial Mortgage Credit Risk
, 2007
"... ..."
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"... Abstract: We derive the first closedform optimal refinancing rule: Refinance when the current mortgage interest rate falls below the original rate by at least In this formula W (.) is the Lambert W function, ρ is the real discount rate, λ is the expected real rate of exogenous mortgage repayment, ..."
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Abstract: We derive the first closedform optimal refinancing rule: Refinance when the current mortgage interest rate falls below the original rate by at least In this formula W (.) is the Lambert W function, ρ is the real discount rate, λ is the expected real rate of exogenous mortgage repayment, σ is the standard deviation of the mortgage rate, κ/M is the ratio of the taxadjusted refinancing cost and the remaining mortgage value, and τ is the marginal tax rate. This expression is derived by solving a tractable class of refinancing problems. Our quantitative results closely match those reported by researchers using numerical methods. JEL classification: G11, G21.
Optimal prepayment and default rules for mortgagebacked securities
, 2008
"... We study the optimal stopping problems embedded in a typical mortgage. Despite a possible nonrational behaviour of the typical borrower of a mortgage, the problem is worth to be solved for the lender to hedge against the prepayment risk, and because many mortgagebacked securities pricing model inc ..."
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We study the optimal stopping problems embedded in a typical mortgage. Despite a possible nonrational behaviour of the typical borrower of a mortgage, the problem is worth to be solved for the lender to hedge against the prepayment risk, and because many mortgagebacked securities pricing model incorporate this suboptimality via a socalled prepayment function which can depend, at time t, on the fact that the prepayment is optimal or not. We state the prepayment problem in the context of the optimal stopping theory and present an algorithm to solve the problem via weak convergence. Numerical results in the case of the Vasicek model and of the CIR model are also presented. The work is extended to the case when both the prepayment as well as the default are possible. 1
credit, including © notice, is given to the source. Credit Supply and House Prices: Evidence from Mortgage Market Segmentation
, 2012
"... also thank Andrew Cramond from Dataquick for help with the data The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peerrev ..."
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also thank Andrew Cramond from Dataquick for help with the data The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.