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dc.contributor.authorParshad, Rana
dc.contributor.authorBayazit, Derviş
dc.contributor.authorBarlow, Nathaniel S.
dc.contributor.authorPrasad, V. Ramchandra
dc.date.accessioned2015-08-03T09:01:40Z
dc.date.available2015-08-03T09:01:40Z
dc.date.issued2011
dc.identifier.issn15396746
dc.identifier.doi10.4310/cms.2011.v9.n4.a5
dc.identifier.urihttp://hdl.handle.net/10754/561659
dc.description.abstractWe consider a reduced form pricing model for mortgage backed securities, formulated as a non-linear partial differential equation. We prove that the model possesses a weak solution. We then show that under additional regularity assumptions on the initial data, we also have a mild solution. This mild solution is shown to be a strong solution via further regularity arguments. We also numerically solve the reduced model via a Fourier spectral method. Lastly, we compare our numerical solution to real market data. We observe interestingly that the reduced model captures a number of recent market trends in this data, that have escaped previous models.
dc.publisherInternational Press of Boston
dc.titleOn the strong solution of a class of partial differential equations that arise in the pricing of mortgage backed securities
dc.typeArticle
dc.contributor.departmentApplied Mathematics and Computational Science Program
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.identifier.journalCommunications in Mathematical Sciences
dc.contributor.institutionFederal Home Loan Bank of Atlanta, 1475 Peachtree Street, NE, Atlanta, GA 30309, United States
dc.contributor.institutionCenter for Computational Research, State Universty of New York, Buffalo, NY 14203, United States
dc.contributor.institutionDepartment of Mathematics, Madanapalle Institute of Technology and Science, Madanapalle 517325, Andhra Pradesh, India
kaust.personParshad, Rana


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