A stochastic partial differential equation model for the pricing of mortgage-backed securities
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Publication:1615911
DOI10.1016/j.spa.2017.12.002zbMath1416.91364OpenAlexW2783973220WikidataQ115341142 ScholiaQ115341142MaRDI QIDQ1615911
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
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40)
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