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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
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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: 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
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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
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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
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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
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Using financial derivatives to hedge against market risks in IT outsourcing projects : a quantitative decision model
Buhl, Hans Ulrich; Fridgen, Gilbert; König, Christian - In: Journal of decision systems 22 (2013) 4, pp. 249-264
Persistent link: https://www.econbiz.de/10010239884
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Production and risk management in a multi-period duopoly under demand uncertainty
Pelster, Matthias - In: International journal of trade and global markets 6 (2013) 4, pp. 384-405
Persistent link: https://www.econbiz.de/10010199103
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How to hedge if the payment date is uncertain?
Korn, Olaf; Merz, Alexander - 2016 - [revised]
This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice …. It derives a variance-minimizing hedging strategy for two settings, the first employing linear contracts with different … advantages with increasing hedge horizons and strongly dependent time and price risk, while linear instruments can suffice for …
Persistent link: https://www.econbiz.de/10011506271
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Hedging executive compensation risk through investment banks
Dye, Ronald A.; Sridhar, Sri S. - In: The accounting review : a publication of the American … 91 (2016) 4, pp. 1109-1138
Persistent link: https://www.econbiz.de/10011520915
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747