Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization,Modeling and Simulation,Numerical Analysis
Link
http://link.springer.com/article/10.1007/s40324-017-0118-0/fulltext.html
Reference18 articles.
1. Bermúdez, A., Nogueiras, M.R., Vázquez, C.: Numerical analysis of convection-diffusion-reaction problems with higher order characteristics finite elements. Part I: time discretization. SIAM J. Numer. Anal. 44, 1829–1853 (2006)
2. Bermúdez, A., Nogueiras, M.R., Vázquez, C.: Numerical analysis of convection-diffusion-reaction problems with higher order characteristics finite elements. Part II. SIAM J. Numer. Anal. 44, 1854–1876 (2006)
3. Bermúdez, A., Nogueiras, M.R., Vázquez, C.: Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange–Galerkin methods. Appl. Numer. Math. 56, 1256–1270 (2006)
4. Brigo, D., Mercurio, F.: Interest Rate Models: Theory and Practice, with Smile, Inflation and Credit. Springer, Berlin (2006)
5. Calvo-Garrido, M.C., Pascucci, A., Vázquez, C.: Mathematical analysis and numerical methods for pricing pension plans allowing early retirement. SIAM J. Appl. Math. 73, 1747–1767 (2013)
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