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Thesis

A stochastic partial differential equation approach to mortgage backed securities

Abstract:

The market for mortgage backed securities (MBS) was active and fast growing from the issuance of the first MBS in 1981. This enabled financial firms to transform risky individual mortgages into liquid and tradable market instruments. The subprime mortgage crisis of 2007 shows the need for a better understanding and development of mathematical models for these securities. The aim of this thesis is to develop a model for MBS that is flexible enough to capture both regular and subprime MBS.

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Institution:
University of Oxford
Research group:
Mathematical and Computational Finance
Oxford college:
Lady Margaret Hall
Department:
Mathematical,Physical & Life Sciences Division - Mathematical Institute
Role:
Author

Contributors

Role:
Supervisor
Publication date:
2012
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
URN:
uuid:ee33aa2d-b9fa-4cc4-a399-5f681966bc77
Local pid:
ora:7705
Language:
English
Keywords:
Subjects:

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