A stochastic partial differential equation model for the pricing of mortgage-backed securities
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DOI: 10.1016/j.spa.2017.12.002
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Cited by:
- Ben Hambly & Nikolaos Kolliopoulos, 2019. "Stochastic PDEs for large portfolios with general mean-reverting volatility processes," Papers 1906.05898, arXiv.org, revised Mar 2024.
- Emanuele Casamassima & Lech A. Grzelak & Frank A. Mulder & Cornelis W. Oosterlee, 2021. "Pricing and Hedging Prepayment Risk in a Mortgage Portfolio," Papers 2109.14977, arXiv.org, revised Oct 2021.
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Keywords
Stochastic PDE; Particle system; Measure-valued process; Mortgage-backed securities;All these keywords.
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