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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
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The asset and liability sides of senior life settlements
Stone, Charles A.; Zissu, Anne-Marie - In: The journal of structured finance 16 (2011) 4, pp. 69-76
Persistent link: https://www.econbiz.de/10008901900
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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 effect of probabilistic and stochastic valuations versus a deterministic valuation of securitized senior life settlements on the level of liquidity facility
Stone, Charles A.; Zissu, Anne-Marie - In: The journal of structured finance 18 (2012) 1, pp. 137-143
Persistent link: https://www.econbiz.de/10009553630
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The return on a pool of senior life settlements
Stone, Charles A.; Zissu, Anne-Marie - In: The journal of structured finance 13 (2007/08) 2, pp. 62-69
Persistent link: https://www.econbiz.de/10003761682
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Using life extension-duration and life extension-convexity to value senior life settlement contracts
Stone, Charles A.; Zissu, Anne-Marie - In: The journal of alternative investments 11 (2008/09) 2, pp. 94-108
Persistent link: https://www.econbiz.de/10003778602
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Delta hedging IO securities backed by senior life settlements
Stone, Charles A.; Zissu, Anne-Marie - In: The journal of structured finance 15 (2009) 2, pp. 93-100
Persistent link: https://www.econbiz.de/10003873227
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Using life extension-duration and life extension-convexity to value senior life settlement contracts
Stone, Charles A.; Zissu, Anne-Marie - In: Life markets : trading mortality and longevity risk …, (pp. 109-134). 2009
Persistent link: https://www.econbiz.de/10003884741
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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