Degree Type

Thesis

Date of Award

2009

Degree Name

Master of Science

Department

Mathematics

First Advisor

Steven Hou

Abstract

This thesis develops a model to price the fixed-rate mortgage with

default and prepayment as derivative assets, generally termed the

option-pricing approach to mortgage valuation. The problem is

considered in a stochastic environment when the house price follows

a log-normal diffusion process. A highly accurate numerical scheme

is presented to solve the partial differential equation of the value

of the mortgage. In order to simplify the method, the interest rate

is considered to be a constant within each month. Further, a

discount factor is graded to make the model more suitable to current

economic situation.

DOI

https://doi.org/10.31274/etd-180810-3096

Copyright Owner

Lin Tong

Language

en

Date Available

2012-04-28

File Format

application/pdf

File Size

51 pages

Included in

Mathematics Commons

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