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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
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The securitization markets handbook : structures and dynamics of mortgage- and asset-backed securities
Stone, Charles A.; Zissu, Anne; Zissu, Anne-Marie - 2012 - 2. ed.
Persistent link: https://www.econbiz.de/10009660262
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An innovative form of credit enhancement for securitized reverse mortgages : finding paths of cross-over points isolated from changes in interest and inflation rates
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: Journal of risk finance : the convergence of financial … 14 (2013) 4, pp. 414-431
Persistent link: https://www.econbiz.de/10009788823
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When do securitized reverse mortgages become liabilities
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: The journal of structured finance 19 (2013) 1, pp. 57-64
Persistent link: https://www.econbiz.de/10010339903
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New findings on older people's life expectancies confirm Gompertz Law : the impact on the value of securitized life settlements
Gavrilov, Leonid A.; Gavrilova, Natalia S.; Stone, … - In: The journal of structured finance 20 (2014/15) 2, pp. 66-73
Persistent link: https://www.econbiz.de/10010405038
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Can ARMs' mortgage servicing portfolios be delta-hedged under gamma constraints?
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: Journal / The Capco Institute : journal of financial … 28 (2010), pp. 77-85
Persistent link: https://www.econbiz.de/10008937131
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Securitization of financial asset/liability products with longevity risk
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: Journal / The Capco Institute : journal of financial … 30 (2010), pp. 89-91
Persistent link: https://www.econbiz.de/10008938816
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The return on a pool of senior life settlements
Stone, Charles A.; Zissu, Anne-Marie - In: The journal of structured finance 13 (2007/08) 2, pp. 62-69
Persistent link: https://www.econbiz.de/10003761682
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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
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The securitization markets handbook : structures and dynamics of mortgage- and asset-backed securities
Stone, Charles A.; Zissu, Anne - 2005 - 1. ed.
Persistent link: https://www.econbiz.de/10002174963