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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

A causality-effect between bid premium and outcome of tender offer

Zissu, Anne-Marie - In: Economics letters 4 (1989), pp. 349-351

Persistent link: https://www.econbiz.de/10001065362

Choosing a discount point contract rate combination

Stone, Charles A. - In: The journal of real estate finance and economics 3 (1990) 3, pp. 283-293

Persistent link: https://www.econbiz.de/10001106023

Life settlement value profiles across different death rate distributions

Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: The journal of structured finance 24 (2018) 3, pp. 100-110

Persistent link: https://www.econbiz.de/10011951107

The risks of a securitized portfolio of senior life settlement contracts

Stone, Charles A.; Zissu, Anne-Marie - In: Life markets : trading mortality and longevity risk …, (pp. 163-177). 2009

Persistent link: https://www.econbiz.de/10003884745

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

The asset and liability sides of senior life settlements

Stone, Charles A.; Zissu, Anne-Marie - In: The journal of structured finance 16 (2011) 4, pp. 69-76

Persistent link: https://www.econbiz.de/10008901900

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

Using life extension-duration and life extension-convexity to value senior life settlement contracts

Stone, Charles A.; Zissu, Anne-Marie - In: The journal of alternative investments 11 (2008/09) 2, pp. 94-108

Persistent link: https://www.econbiz.de/10003778602