Geodesic
A reduced modelling approach to the pricing of mortgage backed securities
Electronic journal of differential equations, Tome 2010 (2010)
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__a80,
     author = {Parshad,  Rana D.},
     title = {A reduced modelling approach to the pricing of mortgage backed securities},
     journal = {Electronic journal of differential equations},
     year = {2010},
     volume = {2010},
     zbl = {1201.35004},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/EJDE_2010__2010__a80/}
}
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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__a80/