Rana D. Parshad
Abstract:
We consider a pricing model for mortgage backed
securities formulated as a non-linear partial differential
equation. We show that under certain feasible assumptions this
model can be greatly simplified. We prove the well posedness of
the simplified PDE.
Submitted November 2, 2009. Published September 23, 2010.
Math Subject Classifications: 35A01, 47H10, 91G20.
Key Words: Mortgage backed security; reduced modelling;
well posedness; fixed point theorem.
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Rana D. Parshad Division of Mathematics & Computer Science Clarkson University, Potsdam, NY 13676, USA email: rparshad@clarkson.edu |
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