A PDE-Based Approach for Pricing Mortgage-Backed Securities
From MaRDI portal
Publication:5198563
DOI10.1007/978-3-642-18412-3_10zbMath1235.91164MaRDI QIDQ5198563
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
numerical methods; viscosity solutions; derivative pricing; degenerate parabolic equations; mortgages; mortgage-backed securities
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.)