An asymptotic method to a financial optimization problem

DOI10.1007/978-90-481-3177-8_6MaRDI QIDQ3401709zbMATH OpenOpenAlexFDO

Authors Dejun Xie, David A. Edwards, Gilberto Schleiniger

Publication date 1 February 2010

Published in Lecture Notes in Electrical Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-90-481-3177-8_6

zbMATH Keywords

analytical approximationasymptotic analysismortgage prepaymentnumerical solution

Mathematics Subject Classification ID

Theoretical approximation in context of PDEs (35A35) Asymptotic expansions of solutions to PDEs (35C20) Free boundary problems for PDEs (35R35) Financial applications of other theories (91G80)

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Cites work

• A Course in Financial Calculus
• A parabolic variational inequality arising from the valuation of fixed rate mortgages
• A theory of the term structure of interest rates
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• Optimal payment of mortgages

Cited in

(2)

• Solving long-term financial planning problems via global optimization
• Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations

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