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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

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...

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-Marie; Ortiz, Carlos; Stone, Charles A. - In: Journal of risk finance : the convergence of financial … 11 (2010) 4, pp. 377-400

Persistent link: https://www.econbiz.de/10008656310

Delta hedging a multi-fixed-income-securities portfolio under gamma and vega constraints

Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: Journal of risk finance : the convergence of financial … 10 (2009) 2, pp. 169-178

Persistent link: https://www.econbiz.de/10009523749

Delta hedging IO securities backed by senior life settlements

Stone, Charles A.; Zissu, Anne-Marie - In: The journal of structured finance 15 (2009) 2, pp. 93-100

Persistent link: https://www.econbiz.de/10003873227

Fixed income securities with a zero Macaulay duration : senior life settlements

Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: Applied financial economics letters 4 (2008) 1/3, pp. 205-207

Persistent link: https://www.econbiz.de/10003725360

Economic growth consequences of structural stagnation : a two-sector model of productive diversification

Ortiz, Carlos Humberto - In: Lecturas de economía 78 (2013), pp. 73-113

Persistent link: https://www.econbiz.de/10011523623

Integración tecnológica y crecimiento económico : evidencia empírica

Ortiz, Carlos Humberto - In: Ensayos sobre política económica (1994), pp. 73-95

Persistent link: https://www.econbiz.de/10001187023

Expansión de necesidades básicas y crecimiento económico

Ortiz, Carlos Humberto - In: El trimestre económico 62 (1995) 2, pp. 159-170

Persistent link: https://www.econbiz.de/10001189806

A Smithian analysis of the Colombian economic growth

Ortiz, Carlos Humberto; Jiménez, Diana Marcela - In: Ensayos sobre política económica 34 (2016) 79, pp. 66-77

Persistent link: https://www.econbiz.de/10011647266

Economic structure, international income differentials and long-run growth

Ortiz, Carlos Humberto - In: Revista de análisis económico 17 (2002) 1, pp. 45-70

Persistent link: https://www.econbiz.de/10001802294

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