Buscar
Mostrando ítems 1-3 de 3
A new numerical method for pricing fixed-rate mortgages withprepayment and default options
(Taylor & Francis Online, 2016)
[Abstract] In this paper we consider the valuation of fixed-rate mortgages including prepayment and default options,where the underlying stochastic factors are the house price and the interest rate. The mathematical modelto ...
Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
(Elsevier, 2018)
[Abstract] In this paper, we address the mathematical analysis of a partial differential equation model for pricing fixed-rate mortgages with prepayment and default options, where the underlying stochastic factors are the ...
Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
(Elsevier, 2015)
[Abstract] In the pricing of fixed rate mortgages with prepayment and default options, we introduce jump-diffusion models for the house price evolution. These models take into account sudden changes in the price (jumps) ...