Purpose – Interest only strips are created by stripping the interest portion of cash flows generated in mortgage‐backed securities or simply by servicing portfolios of mortgages. A number of financial institutions have significant amounts of mortgage‐servicing rights (MSR) which need to be...

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 – One of the main risks to investors in securitized reverse mortgages is that the value of the reverse mortgage exceeds that of the property. The purpose of this paper is to develop a model that determines paths of constant cross‐over points across any pairs of interest and inflation...

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...

It is possible in France to finance the purchase of a property with a viager in lieu of obtaining a traditional mortgage loan, where the purchase price of the property, or balance of the price if a down payment is made (the bouquet), is converted into an annuity that the buyer agrees to pay for...

In a world where the objectives of managers differ from the objectives of shareholders, the analysis of management response to a tender offer must consider the possibility that management's response is a function of their equity interest in the company.

In the paper “Predicting the Outcome of Tender Offers: An Endogeneity Problem”, we argue that previous econometric models designed to predict the outcome of tender offers have been estimated incorrectly. We illustrate that the source of the estimation error comes from variables which are...

This paper proposes an alternative method of estimating a model that predicts the outcome of a tender offer. We argue that previous econometric models designed to predict the outcome of a tender offer have been estimated incorrectly. Explanatory variables which are endogenous have been treated...