Journal ArticleDOI
Numerical solution of a diffusion consumption problem with a free boundary
TLDR
In this paper, a fixed domain numerical method is presented which is motivated by a theoretical formulation developed by Rogers, and the frontal generation appears by way of a simple algebraic comparison operation involving truncation of the computed approximation.Abstract:
We consider the numerical solution of an implicit moving free boundary problem which arises in the study of diffusion and consumption of oxygen in tissue. A fixed domain numerical method is presented which is motivated by a theoretical formulation developed by Rogers. Our numerical method uses any convenient finite difference or finite element scheme which converges to the underlying partial differential equation. The frontal generation appears by way of a simple algebraic comparison operation involving truncation of the computed approximation. Higher space dimensions are treated with equal ease. Results of numerical experiments are presented. A convergence proof for the truncation method is given.read more
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A Generalized Valuation Model for Fixed-Rate Residential Mortgages
TL;DR: This paper used option pricing techniques to rationally price mortgage instruments subject to both default and prepayment risk, and found that the addition of a default feature to the contract has only a modest impact on mortgage values, unless there is substantial price volatility in the housing market or a high loan-to-value ratio.
Journal ArticleDOI
The valuation at origination of fixed-rate mortgages with default and prepayment
TL;DR: The authors developed a model to rationally price fixed-rate mortgages, using the arbitrage principles of option pricing theory, incorporating amortization, prepayment and default in valuing the mortgage.
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Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages
TL;DR: In this article, the authors demonstrate how to value floating-rate securities, in particular adjustable-rate mortgages, in the presence of default, by introducing an artificial state variable, the past contract rate, in addition to the natural stochastic variables, the interest and the house price process.
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A moving mesh finite element algorithm for the adaptive solution of time-dependent partial differential equations with moving boundaries
TL;DR: In this paper, a moving mesh finite element algorithm is proposed for the adaptive solution of nonlinear diffusion equations with moving boundaries in one and two dimensions, based upon conserving a local proportion, within each patch of finite elements, of the total ''mass'' that is present in the projected initial data.
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