Purpose – The aim of this paper is to develop the optimal delta hedge for a portfolio of mortgage servicing rights (MSR) under the constraint of a zero‐gamma in order to avoid costs related to the rebalancing of such portfolio. Design/methodology/approach – The paper develops the optimal...

Purpose – The aim of this paper is to develop the optimal delta hedge for a portfolio of mortgage servicing rights (MSR) under the constraint of a zero-gamma in order to avoid costs related to the rebalancing of such portfolio. Design/methodology/approach – The paper develops the optimal...

Purpose – The aim of this paper is to develop the optimal delta hedge for a portfolio of mortgage servicing rights (MSR) under the constraint of a zero-gamma in order to avoid costs related to the rebalancing of such portfolio. Design/methodology/approach – The paper develops the optimal...

Purpose – The purpose of this paper is to present an innovative model that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to be δ ‐ and γ ‐hedged against small changes in interest rates. Re‐balancing a portfolio on a...

Purpose – The purpose of this paper is to present an innovative model that helps create a portfolio of m-fixed-income securities, each with the optimal weight, in order for the portfolio to be d- and ?-hedged against small changes in interest rates. Re-balancing a portfolio on a periodic basis...