A PDE-Based Approach for Pricing Mortgage-Backed Securities

DOI10.1007/978-3-642-18412-3_10zbMath1235.91164MaRDI QIDQ5198563

Maya Briani, Marco Papi

Publication date: 8 August 2011

Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-18412-3_10

zbMATH Keywords

numerical methods; viscosity solutions; derivative pricing; degenerate parabolic equations; mortgages; mortgage-backed securities

Mathematics Subject Classification ID

35K65: Degenerate parabolic equations

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)