Numerical valuation of fixed rate mortgages

zbMATH Open1229.91127MaRDI QIDQ3107482FDOQ3107482

Authors: Dejun Xie 

Publication date: 24 December 2011

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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)

Cited In (10)

• One- and multi-factor valuation of mortgages: Computational problems and shortcuts
• A semi discrete model for mortgage valuation and its computation by an adaptive finite element method
• A finite difference scheme based on a layer-adaptive mesh for fixed rate mortgages models
• A new numerical method for pricing fixed-rate mortgages with prepayment and default options
• 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
• An integral equation approach to pricing fixed rate mortgages
• Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate

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