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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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Delta hedging a portfolio of servicing rights under gamma and vega constraints with optimal fixed income securities
Zissu, Anne-Marie; Ortiz, Carlos; Stone, Charles A. - In: Journal of risk finance : the convergence of financial … 11 (2010) 4, pp. 377-400
Persistent link: https://www.econbiz.de/10008656310
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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
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The risks of a securitized portfolio of senior life settlement contracts
Stone, Charles A.; Zissu, Anne-Marie - In: Life markets : trading mortality and longevity risk …, (pp. 163-177). 2009
Persistent link: https://www.econbiz.de/10003884745