A reduced modelling approach to the pricing of mortgage backed securities.

@inproceedings{Parshad2010ARM,
  title={A reduced modelling approach to the pricing of mortgage backed securities.},
  author={Rana D. Parshad},
  year={2010}
}
  • Rana D. Parshad
  • Published 2010
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. 

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