Numerical valuation of fixed rate mortgages
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Publication:3107482
zbMATH Open1229.91127MaRDI QIDQ3107482FDOQ3107482
Authors: Dejun Xie 
Publication date: 24 December 2011
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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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- One- and multi-factor valuation of mortgages: Computational problems and shortcuts
- Computing the endogenous mortgage rate without iterations
- 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
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