scholarly journals Using Difference Scheme Method for the Numerical Solution of Telegraph Partial Differential Equation

2017 ◽  
Vol 4 (ICBS Conference) ◽  
pp. 157-163 ◽  
Author(s):  
Bawar faraj ◽  
mahmut mondali
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Difference Scheme ◽  
Numerical Solution ◽  
Partial Differential

INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS

2012 ◽  
Vol 15 (03) ◽  
pp. 1250021 ◽  
Author(s):  
SEN WU ◽  
LISHANG JIANG ◽  
JIN LIANG
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Difference Scheme ◽  
Numerical Solution ◽  
Reduced Form ◽  
Partial Differential ◽  
Mortgage Backed Securities ◽  
Path Dependent ◽  
Cir Process ◽  
Pass Through

Under a reduced-form framework, we establish models for pricing mortgage-backed securities with prepayment risk by introducing a stochastic prepayment factor. In the zero-default scenario, the pricing pass-through securities and sequential-pay collateralized mortgage obligation structures are considered. To solve the problems, we introduce a path-dependent variable, from which partial differential equation problems are obtained when the prepayment rate is modeled by a CIR process. Numerical solution to the pricing problem is obtained by developing an explicit characteristics difference scheme.

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