A stochastic partial differential equation model for the pricing of mortgage-backed securities

DOI10.1016/j.spa.2017.12.002zbMath1416.91364OpenAlexW2783973220WikidataQ115341142 ScholiaQ115341142MaRDI QIDQ1615911

R. Smith

Publication date: 31 October 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:a1ef9423-c427-4c2a-95a4-ed65ba3180d4

zbMATH Keywords

particle systemmeasure-valued processstochastic PDEmortgage-backed securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40)

Related Items (2)

Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows ⋮ PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO

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