This dissertation includes three essays on hedging the interest rate and credit risks of Mortgage-Backed Securities (MBS).Essay one addresses the problem of how to efficiently estimate interest rate sensitivity parameters of MBS. To do this in Monte Carlo simulation, we derive perturbation...

We review multi-echelon inventory models for repairable items. Such models have been widely applied to the management of critical spare parts for military equipment for around three decades, but the application to manufacturing and service industries seems to be much less documented. We feel...

This paper proves the existence of a general equilibrium in a financial model with transaction costs. The general equilibrium is shown to exist in a model with convex trading technology, in which the agents include consumers, production firms, brokers and dealers. When the trading technology is...