固定支付利率的抵押贷款定价理论——限于在支付日提前支付或违约  

Pricing the Fixed-Rate-Mortgage Contracts- Limitting on Payment-dates to Prepay or Default

作　　者：袁桂秋[1] 姜礼尚[1] 罗俊[1] 

机构地区：[1]同济大学数学研究所,上海200092

出　　处：《系统工程理论与实践》2003年第9期48-55,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(10171078)

摘　　要：　建立限于在支付日提前支付或违约的固定支付利率抵押贷款的定价问题的数学模型,通过沿着利率特征线方向差分偏微分方程,建立模型的离散计算方法,同时根据一些计算实例所得的数字结果,分析和讨论它的风险特性与风险管理方法.In this paper, the model of valuing the mortgage which limits the borrower to prepay or default on payment\|dates is established. By differencing the partial difference equation along the interest rate character line, BTM which can use to calculate all interest derivatives is established to solve the problem. Furthermore, according to some numerical experiments, we analysis the risk of mortgage and discuss how to manage it.

关 键 词：抵押贷款 提前支付 违约 固定支付利率 风险 

分 类 号：F830.572[经济管理—金融学] F830.91