A stochastic partial differential equation model for the pricing of mortgage-backed securities

DOI10.1016/J.SPA.2017.12.002zbMath1416.91364OpenAlexW2783973220WikidataQ115341142 ScholiaQ115341142MaRDI QIDQ1615911

R. Smith

Publication date: 31 October 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:a1ef9423-c427-4c2a-95a4-ed65ba3180d4

zbMATH Keywords

particle systemmeasure-valued processstochastic PDEmortgage-backed securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40)

Related Items (2)

Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows ⋮ PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO

Cites Work

• Unnamed Item
• Unnamed Item
• Spatial Fleming-Viot models with selection and mutation
• Fluctuation analysis for the loss from default
• On the Itô--Wentzell formula for distribution-valued processes and related topics
• Sharp regularity near an absorbing boundary for solutions to second order SPDEs in a half-line with constant coefficients
• Mean field limit for disordered diffusions with singular interactions
• Fundamentals of stochastic filtering
• Mean field games
• Pricing mortgage-backed securities (MBS)
• Large portfolio losses: A dynamic contagion model
• A \(W_ 2^ n\)-theory of the Dirichlet problem for SPDEs in general smooth domains
• Valuation of mortgage-backed securities based upon a structural approach
• Particle representations for a class of nonlinear SPDEs
• A class of quasilinear stochastic partial differential equations of McKean-Vlasov type with mass conservation
• Default clustering in large portfolios: typical events
• On the first passage problem for correlated Brownian motion
• Hydrodynamic limit for interacting neurons
• Global solvability of a networked integrate-and-fire model of McKean-Vlasov type
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Probabilistic Analysis of Mean-Field Games
• Pricing credit default swaps with bilateral value adjustments
• The stochastic Fubini theorem revisited
• INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
• Approximate McKean–Vlasov representations for a class of SPDEs
• Hitting Lines with Two-Dimensional Brownian Motion
• A Sobolev Space Theory of SPDE with Constant Coefficients on a Half Line
• A Sobolev Space Theory of SPDEs with Constant Coefficients in a Half Space
• Stochastic Evolution Equations in Portfolio Credit Modelling
• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• Valuation of mortgage-backed securities based on unobservable prepayment costs
• Probability

This page was built for publication: A stochastic partial differential equation model for the pricing of mortgage-backed securities