Narrow search
Showing 1 - 10 of 72
Cover Image
Delta hedging a two-fixed-income-securities portfolio under gamma and vega constraints : the example of mortgage servicing rights
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: Journal / The Capco Institute : journal of financial … 25 (2009), pp. 8-11
Persistent link: https://www.econbiz.de/10003904876
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Reverse engineering of prepayment functions and the potential applications for MSRs and IOs valuation
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: The journal of structured finance 22 (2016) 3, pp. 45-54
Persistent link: https://www.econbiz.de/10011615283
Cover Image
Beer annuities : hold the interest and principal
Ortiz, Carlos E.; Stone, Charles A.; Zissu, Anne-Marie - In: The journal of derivatives : the official publication … 24 (2017) 4, pp. 108-114
Persistent link: https://www.econbiz.de/10011687432
Cover Image
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