A PDE-Based Approach for Pricing Mortgage-Backed Securities

DOI10.1007/978-3-642-18412-3_10zbMath1235.91164OpenAlexW72128954MaRDI QIDQ5198563

Maya Briani, Marco Papi

Publication date: 8 August 2011

Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-18412-3_10

zbMATH Keywords

numerical methodsviscosity solutionsderivative pricingdegenerate parabolic equationsmortgagesmortgage-backed securities

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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