Delta hedging a portfolio of servicing rights under gamma and vega constraints with optimal fixed income securities
Year of publication: |
2010
|
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Authors: | Zissu, Anne-Marie ; Ortiz, Carlos ; Stone, Charles A. |
Published in: |
Journal of risk finance : the convergence of financial products and insurance. - Bingley : Emerald Group Publishing Limited, ISSN 1526-5943, ZDB-ID 2088897-1. - Vol. 11.2010, 4, p. 377-400
|
Subject: | Hypothek | Mortgage | Verbriefung | Securitization | Portfolio-Management | Portfolio selection | Hedging | Anleihe | Bond | Theorie | Theory |
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