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 d- and ?-hedged against small changes in interest rates. Re-balancing a portfolio on a periodic basis...

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 – 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 – 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...