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Delta hedging a portfolio of servicing rights under gamma and vega constraints with optimal fixed income securities

Zissu, Anne; Ortiz, Carlos; Stone, Charles - In: Journal of Risk Finance 11 (2010) August, pp. 377-400

rate risk and prepayment risk, and therefore eliminates the need of periodic rebalancing of a portfolio of MSR, which is …

Persistent link: https://www.econbiz.de/10010611057

Delta hedging a portfolio of servicing rights under gamma and vega constraints with optimal fixed income securities

Zissu, Anne; Ortiz, Carlos; Stone, Charles - In: The Journal of Risk Finance 11 (2010) 4, pp. 377-400

against interest rate risk and prepayment risk, and therefore eliminates the need of periodic rebalancing of a portfolio of …

Persistent link: https://www.econbiz.de/10014901549

Public housing policy

Kim Hin Ho, David; Chi Man Hui, Eddie - In: Property Management 26 (2008) 3, pp. 152-170

Purpose – The purpose of this paper is to investigate the merits of a full privatization policy of the HDB concessionary rate mortgage loans. It is believed that price competition among domestic banks will be infused and sustained, resulting in improved efficiency for the banking sector and...

Persistent link: https://www.econbiz.de/10014971694

Delta hedging of mortgage-servicing portfolios under gamma constraints

Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne - In: Journal of Risk Finance 9 (2008) August, pp. 379-390

amount of portfolio rebalancing and therefore reduces the cost of MSR portfolio hedging. Practical implications – The paper …

Persistent link: https://www.econbiz.de/10004966327

Delta hedging of mortgage‐servicing portfolios under gamma constraints

Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne - In: The Journal of Risk Finance 9 (2008) 4, pp. 379-390

amount of portfolio rebalancing and therefore reduces the cost of MSR portfolio hedging. Practical implications – The paper …

Persistent link: https://www.econbiz.de/10014901477

Oil, foreign exchange swaps and interest rates in the GCC countries

Al-Maskati, Nawaf - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 8, pp. 2388-2406

Persistent link: https://www.econbiz.de/10013190369

Simultaneous preferences for hedging and doubling down : focal prospects, background positions, and nonconsequentialist conceptualizations of uncertainty

Markle, Alex B.; Rottenstreich, Yuval - In: Management science : journal of the Institute for … 64 (2018) 12, pp. 5846-5959

Persistent link: https://www.econbiz.de/10011964688

Betting your favorite to win : costly reluctance to hedge desired outcomes

Morewedge, Carey K.; Tang, Simone; Larrick, Richard P. - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 997-1014

Persistent link: https://www.econbiz.de/10011847091

Hedging salmon price risk

Bloznelis, Daumantas - In: Aquaculture economics & management : official journal … 22 (2018) 2, pp. 168-191

Persistent link: https://www.econbiz.de/10011997160

Power law bond price and yield approximation

Barber, Joel R. - In: The journal of risk finance : JRF 23 (2022) 1, pp. 14-31

Persistent link: https://www.econbiz.de/10012797857

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