Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options

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UDC.coleccionInvestigaciónes_ES
UDC.departamentoMatemáticases_ES
UDC.endPage165es_ES
UDC.grupoInvModelos e Métodos Numéricos en Enxeñaría e Ciencias Aplicadas (M2NICA)es_ES
UDC.journalTitleNonlinear Analysis: Real World Applicationses_ES
UDC.startPage157es_ES
UDC.volume39es_ES
dc.contributor.authorCalvo-Garrido, María-del-Carmen
dc.contributor.authorVázquez, Carlos
dc.date.accessioned2024-01-29T16:08:20Z
dc.date.available2024-01-29T16:08:20Z
dc.date.issued2018
dc.description.abstract[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 house price and the interest rate. The mathematical model is posed in terms of a sequence of linked complementarity problems, one for each month of the loan life, associated with a uniformly parabolic operator. We study the existence of a strong solution to each one of the obstacle problems.es_ES
dc.description.sponsorshipThis work has been partially funded by Spanish MINECO (Grant numbers MTM2013-47800-C2-1-P and MTM2016-76497-R) and Xunta de Galicia grant GRC2014/044, including FEDER funds.es_ES
dc.description.sponsorshipXunta de Galicia; GRC2014/044es_ES
dc.identifier.citationCalvo-Garrido, M. d. C., & Vázquez, C. (2018). Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options. Nonlinear Analysis: Real World Applications, 39, 157-165. https://doi.org/10.1016/j.nonrwa.2017.06.009es_ES
dc.identifier.doihttps://doi.org/10.1016/j.nonrwa.2017.06.009
dc.identifier.urihttp://hdl.handle.net/2183/35193
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.projectIDInfo:eu-repo/grantAgreement/MINECO/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2016-76497-R/ESes_ES
dc.relation.urihttps://doi.org/10.1016/j.nonrwa.2017.06.009es_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.subjectObstacle problemes_ES
dc.subjectUniformly parabolic operatores_ES
dc.subjectStrong solutiones_ES
dc.titleMathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default optionses_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

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