Can ARMs' mortgage servicing portfolios be delta-hedged under gamma constraints?
Year of publication: |
2010
|
---|---|
Authors: | Ortiz, Carlos ; Stone, Charles ; Zissu, Anne |
Published in: |
Journal of Financial Transformation. - Capco Institute. - Vol. 28.2010, p. 79-85
|
Publisher: |
Capco Institute |
Subject: | Adjustable rate mortgages | servicing | delta hedging | prepayment |
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