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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

The securitization markets handbook : structures and dynamics of mortgage- and asset-backed securities

Stone, Charles A.; Zissu, Anne - 2005 - 1. ed.

Persistent link: https://www.econbiz.de/10002174963

The securitization markets handbook : structures and dynamics of mortgage- and asset-backed securities

Stone, Charles A.; Zissu, Anne; Zissu, Anne-Marie - 2012 - 2. ed.

Persistent link: https://www.econbiz.de/10009660262

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

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

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

The securitization markets handbook : structures and dynamics of mortgage- and asset-backed securities

Stone, Charles A.; Zissu, Anne - 2012 - 2nd ed (Online-Ausg.)

A comprehensive guide to the continuously evolving world of securitization The Second Edition of The Securitization Markets Handbook is a valuable resource for both experienced money managers trying to put a securitization strategy into place as well as newcomers looking to acquire a broad and...

Persistent link: https://www.econbiz.de/10012661711