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Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
| dc.contributor.author | Calvo-Garrido, María-del-Carmen | |
| dc.contributor.author | Vázquez, Carlos | |
| dc.date.accessioned | 2024-01-29T15:13:07Z | |
| dc.date.available | 2024-01-29T15:13:07Z | |
| dc.date.issued | 2015 | |
| dc.identifier.citation | Calvo-Garrido, M. d. C., & Vázquez, C. (2015). Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance. Applied Mathematics and Computation, 271, 730-742. https://doi.org/10.1016/j.amc.2015.09.051 | es_ES |
| dc.identifier.uri | http://hdl.handle.net/2183/35187 | |
| dc.description.abstract | [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) during bubbles and crisis situations in real estate markets. After posing the models based on partial-integro differential equations (PIDE) problems for the contract, insurance and the fraction of the total loss not covered by the insurance (coinsurance), we propose appropriate numerical methods to solve them. | es_ES |
| dc.description.sponsorship | This work has been partially funded by MINECO of Spain (Project MTM2013-47800-C2-1-P). | es_ES |
| dc.language.iso | eng | es_ES |
| dc.publisher | Elsevier | es_ES |
| dc.relation | Info:eu-repo/grantAgreement/MINECO/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2013-47800-C2-1-P/ES/MODELADO MATEMATICO, ANALISIS Y SIMULACION NUMERICA DE PROBLEMAS EN FINANZAS Y SEGUROS, PROCESOS INDUSTRIALES, BIOTECNOLOGIA Y MEDIOAMBIENTE | es_ES |
| dc.relation.uri | https://doi.org/10.1016/j.amc.2015.09.051 | es_ES |
| dc.rights | Creative Commons Attribution-NonCommercial-NoDerivs 4.0 International (CC-BY-NC-ND) | es_ES |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
| dc.subject | Fixed-rate mortgages | es_ES |
| dc.subject | Jump-diffusion models | es_ES |
| dc.subject | Option pricing | es_ES |
| dc.subject | Complementarity problem | es_ES |
| dc.subject | Numerical methods | es_ES |
| dc.subject | Augmented Lagrangian Active Set formulation | es_ES |
| dc.title | Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance | es_ES |
| dc.type | info:eu-repo/semantics/article | es_ES |
| dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
| UDC.journalTitle | Elsevier Applied Mathematics and Computation | es_ES |
| UDC.volume | 271 | es_ES |
| UDC.startPage | 730 | es_ES |
| UDC.endPage | 742 | es_ES |
| dc.identifier.doi | 10.1016/j.amc.2015.09.051 |
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