An Asymptotic Method to a Financial Optimization Problem

DOI10.1007/978-90-481-3177-8_6zbMath1186.91241OpenAlexW44335745MaRDI QIDQ3401709

David A. Edwards, Dejun Xie, Gilberto Schleiniger

Publication date: 1 February 2010

Published in: Lecture Notes in Electrical Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-90-481-3177-8_6

zbMATH Keywords

asymptotic analysisnumerical solutionanalytical approximationmortgage prepayment

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Asymptotic expansions of solutions to PDEs (35C20) Theoretical approximation in context of PDEs (35A35) Free boundary problems for PDEs (35R35)

Related Items (1)

Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations

Cites Work

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• A Theory of the Term Structure of Interest Rates
• A Course in Financial Calculus
• A parabolic variational inequality arising from the valuation of fixed rate mortgages
• Optimal payment of mortgages

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