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Delta hedging a two-fixed-inco...
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The journal of structured finance
14
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ECONIS (ZBW)
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1
The shock of COVID-19 and the shock of rapid vaccine development on the value of senior life settlement contracts
Ortiz, Carlos E.
;
Stone, Charles A.
;
Zissu, Anne-Marie
- In:
Risk management and insurance review
26
(
2023
)
3
,
pp. 393-406
Persistent link: https://www.econbiz.de/10014427202
Saved in:
2
An innovative form of credit enhancement for securitized reverse mortgages : finding paths of cross-over points isolated from changes in interest and inflation rates
Ortiz, Carlos E.
;
Stone, Charles A.
;
Zissu, Anne-Marie
- In:
Journal of risk finance : the convergence of financial …
14
(
2013
)
4
,
pp. 414-431
Persistent link: https://www.econbiz.de/10009788823
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Delta hedging a multi-fixed-income-securities portfolio under gamma and vega constraints
Ortiz, Carlos E.
;
Stone, Charles A.
;
Zissu, Anne-Marie
- In:
Journal of risk finance : the convergence of financial …
10
(
2009
)
2
,
pp. 169-178
Persistent link: https://www.econbiz.de/10009523749
Saved in:
6
Fixed income securities with a zero Macaulay duration : senior life settlements
Ortiz, Carlos E.
;
Stone, Charles A.
;
Zissu, Anne-Marie
- In:
Applied financial economics letters
4
(
2008
)
1/3
,
pp. 205-207
Persistent link: https://www.econbiz.de/10003725360
Saved in:
7
Life settlement value profiles across different death rate distributions
Ortiz, Carlos E.
;
Stone, Charles A.
;
Zissu, Anne-Marie
- In:
The journal of structured finance
24
(
2018
)
3
,
pp. 100-110
Persistent link: https://www.econbiz.de/10011951107
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8
Beer annuities : hold the interest and principal
Ortiz, Carlos E.
;
Stone, Charles A.
;
Zissu, Anne-Marie
- In:
The journal of derivatives : the official publication …
24
(
2017
)
4
,
pp. 108-114
Persistent link: https://www.econbiz.de/10011687432
Saved in:
9
Reverse engineering of prepayment functions and the potential applications for MSRs and IOs valuation
Ortiz, Carlos E.
;
Stone, Charles A.
;
Zissu, Anne-Marie
- In:
The journal of structured finance
22
(
2016
)
3
,
pp. 45-54
Persistent link: https://www.econbiz.de/10011615283
Saved in:
10
When do securitized reverse mortgages become liabilities
Ortiz, Carlos E.
;
Stone, Charles A.
;
Zissu, Anne-Marie
- In:
The journal of structured finance
19
(
2013
)
1
,
pp. 57-64
Persistent link: https://www.econbiz.de/10010339903
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