Purpose – The purpose of this paper is to present an innovative model that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to be δ ‐ and γ ‐hedged against small changes in interest rates. Re‐balancing a portfolio on a...

Purpose – The aim of this paper is to develop the optimal delta hedge for a portfolio of mortgage servicing rights (MSR) under the constraint of a zero‐gamma in order to avoid costs related to the rebalancing of such portfolio. Design/methodology/approach – The paper develops the optimal...

Evidence reported by Geczy, Minton and Schrand (1997) showed that foreign exchange risk had a significant influence on the use of currency derivatives but that interest cover and financial leverage did not. In this study, we suggest that the reason why foreign exchange risk was significant but...

Knowledge is one of the fundamental cognitive objects in the brain among those of data, information, and intelligence. Knowledge can be classified into two main categories, i.e., conceptual knowledge for knowing to-be and behavioral knowledge for knowing to-do, particularly the former. This...

Contemporary societies face complex problems that challenge the sustainability of their social and economic systems. Such problems may require joint efforts from the public and private sectors as well as from the society at large in order to find innovative solutions. In addition, the open...

In recent decades there has been much interest and activity in the application of mathematical ideas for controlling inventory. However most of this has been related to the control of stock products whose demand is smooth and continuous. When demand is lumpy these methods are inefficient in...