A stochastic partial differential equation model for the pricing of mortgage-backed securities
We develop a dynamic structural model for the wealth of individual mortgagors in a mortgage pool. We model the process of default and prepayment and, by taking a limit as the pool size goes to infinity, derive a stochastic partial differential equation (SPDE) which can be used to describe the evolut...
Main Authors: | Ahmad, F, Hambly, B, Ledger, S |
---|---|
Format: | Journal article |
Published: |
Elsevier
2018
|
Similar Items
-
A stochastic partial differential equation approach to mortgage backed securities
by: Ahmad, F
Published: (2012) -
Chinese Mortgage Backed Security pricing model
by: Chen, Shalin
Published: (2018) -
Modeling of Mortgage-Backed Securities based on stochastic processes
by: Mehrdokht Khani, et al.
Published: (2021-12-01) -
A Monte-Carlo pricing model for commercial mortgage-backed securities
by: Pappadopoulos, George J. (George James)
Published: (2012) -
A stochastic McKean–Vlasov equation for absorbing diffusions on the half-line
by: Hambly, B, et al.
Published: (2017)