Numerical valuation of fixed rate mortgages

MaRDI QIDQ3107482zbMATHFDO

Authors Dejun Xie

Publication date 24 December 2011

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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(10)

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• Computing the endogenous mortgage rate without iterations
• Numerical method for solving free boundary problem arising from fixed rate mortgages
• Fixed rate mortgages: valuation and closed form approximations
• Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
• A finite difference scheme based on a layer-adaptive mesh for fixed rate mortgages models
• Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate
• A new numerical method for pricing fixed-rate mortgages with prepayment and default options

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