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Delta hedging a two-fixed-income-securities portfolio under gamma and vega constraints : the example of mortgage servicing rights
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: Journal / The Capco Institute : journal of financial … 25 (2009), pp. 8-11
Persistent link: https://www.econbiz.de/10003904876
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Can ARMs' mortgage servicing portfolios be delta-hedged under gamma constraints?
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: Journal / The Capco Institute : journal of financial … 28 (2010), pp. 77-85
Persistent link: https://www.econbiz.de/10008937131
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Securitization of financial asset/liability products with longevity risk
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: Journal / The Capco Institute : journal of financial … 30 (2010), pp. 89-91
Persistent link: https://www.econbiz.de/10008938816
Cover Image
Delta hedging a two-fixed-income-securities portfolio under gamma and vega constraints : the example of mortgage servicing rights
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne - In: Journal / The Capco Institute : journal of financial … 25 (2009), pp. 8-11
Persistent link: https://www.econbiz.de/10009895904
Cover Image
Can ARMs' mortgage servicing portfolios be delta-hedged under gamma constraints?
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne - In: Journal / The Capco Institute : journal of financial … 28 (2010), pp. 77-85
Persistent link: https://www.econbiz.de/10009895912
Cover Image
Securitization of financial asset/liability products with longevity risk
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne - In: Journal / The Capco Institute : journal of financial … 30 (2010), pp. 89-91
Persistent link: https://www.econbiz.de/10009895949