A parabolic variational inequality arising from the valuation of fixed rate mortgages
DOI10.1017/S0956792505006297zbMATH Open1133.91026OpenAlexW2113500884MaRDI QIDQ3373763FDOQ3373763
Authors: Baojun Bian, Lishang Jiang, Fahuai Yi 
Publication date: 9 March 2006
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0956792505006297
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Cited In (22)
- Global existence and blowup of a nonlocal problem in space with free boundary
- An asymptotic method to a financial optimization problem
- Numerical Method for Solving Free Boundary Problem Arising from Fixed Rate Mortgages
- Global existence and blowup of a localized problem with free boundary
- Schauder theory for a parabolic equation in a wedge-shaped domain
- Explicit formulas for pricing of callable mortgage-backed securities in a case of prepayment rate negatively correlated with interest rates
- Value function regularity in option pricing problems under a pure jump model
- The spreading fronts in a mutualistic model with delay
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- A reaction-diffusion-advection logistic model with a free boundary in heterogeneous environment
- Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process
- Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model
- An SIR epidemic model with free boundary
- Counterparty risk valuation on credit-linked notes under a Markov chain framework
- Global existence and blowup of solutions to a free boundary problem for mutualistic model
- Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
- Global existence and blowup analysis to single-species bacillus system with free boundary
- The obstacle problem for the pricing of the fixed rate mortgages
- Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate
- Analysis of exercise boundary of American interest rate option
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- Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
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