Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance

Simple item page
UDC.coleccionInvestigaciónes_ES
UDC.departamentoMatemáticases_ES
UDC.endPage742es_ES
UDC.grupoInvModelos e Métodos Numéricos en Enxeñaría e Ciencias Aplicadas (M2NICA)es_ES
UDC.journalTitleElsevier Applied Mathematics and Computationes_ES
UDC.startPage730es_ES
UDC.volume271es_ES
dc.contributor.authorCalvo-Garrido, María-del-Carmen
dc.contributor.authorVázquez, Carlos
dc.date.accessioned2024-01-29T15:13:07Z
dc.date.available2024-01-29T15:13:07Z
dc.date.issued2015
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.sponsorshipThis work has been partially funded by MINECO of Spain (Project MTM2013-47800-C2-1-P).es_ES
dc.identifier.citationCalvo-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.2015.09.051es_ES
dc.identifier.doi10.1016/j.amc.2015.09.051
dc.identifier.urihttp://hdl.handle.net/2183/35187
dc.language.isoenges_ES
dc.publisherElsevieres_ES
dc.relation.projectIDInfo: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 MEDIOAMBIENTEes_ES
dc.relation.urihttps://doi.org/10.1016/j.amc.2015.09.051es_ES
dc.rightsCreative Commons Attribution-NonCommercial-NoDerivs 4.0 International (CC-BY-NC-ND)es_ES
dc.rights.accessRightsopen accesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subjectFixed-rate mortgageses_ES
dc.subjectJump-diffusion modelses_ES
dc.subjectOption pricinges_ES
dc.subjectComplementarity problemes_ES
dc.subjectNumerical methodses_ES
dc.subjectAugmented Lagrangian Active Set formulationes_ES
dc.titleEffects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurancees_ES
dc.typejournal articlees_ES
dspace.entity.typePublication
relation.isAuthorOfPublication035f18a3-78da-4970-a577-b39e5748a9a4
relation.isAuthorOfPublicationdbc2be8e-6741-46b3-a22e-b648eae643d4
relation.isAuthorOfPublication.latestForDiscovery035f18a3-78da-4970-a577-b39e5748a9a4

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
Calvo_Garrido_MC_2015_Effects_of_jump_diffusion.pdf
Size:
645.29 KB
Format:
Adobe Portable Document Format
Description:
Download

Collections

Investigación (FIC)