Delta hedging a two-fixed-income-securities portfolio under gamma and vega constraints : the example of mortgage servicing rights
Carlos E. Ortiz, Charles A. Stone, Anne Zissu
| Year of publication: |
2009
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|---|---|
| Authors: | Ortiz, Carlos E. ; Stone, Charles A. ; Zissu, Anne |
| Published in: |
Journal / The Capco Institute : journal of financial transformation. - Antwerp, ZDB-ID 21368132. - Vol. 25.2009, p. 8-11
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| Extent: | Ill., graph. Darst. |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Source: |
Persistent link: https://www.econbiz.de/10009895904