A reduced modelling approach to the pricing of mortgage backed securities
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.
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| Format: | Article |
| Language: | English |
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Texas State University
2010-09-01
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| Series: | Electronic Journal of Differential Equations |
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| Online Access: | http://ejde.math.txstate.edu/Volumes/2010/136/abstr.html |