Geodesic
A reduced modelling approach to the pricing of mortgage backed securities
Electronic Journal of Differential Equations, Tome 2010 (2010).

Voir la notice de l'article provenant de la source Electronic Library of Mathematics

Summary: We consider a pricing model for mortgage backed securities formulated as a non-linear partial differential equation. We show that under certain feasible assumptions this model can be greatly simplified. We prove the well posedness of the simplified PDE.
Classification : 35A01, 47H10, 91G20
Keywords: mortgage backed security, reduced modelling, well posedness, fixed point theorem 
@article{EJDE_2010__2010__a280,
     author = {Parshad, Rana D.},
     title = {A reduced modelling approach to the pricing of mortgage backed securities},
     journal = {Electronic Journal of Differential Equations},
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     volume = {2010},
     year = {2010},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/EJDE_2010__2010__a280/}
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Parshad, Rana D. A reduced modelling approach to the pricing of mortgage backed securities. Electronic Journal of Differential Equations, Tome 2010 (2010). http://geodesic.mathdoc.fr/item/EJDE_2010__2010__a280/