Delta hedging a portfolio of servicing rights under gamma and vega constraints with optimal fixed income securities

By Zissu Anne   Ortiz Carlos   Stone Charles  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 11, Iss. 4, 2010-01 ,pp. : 377-400

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Delta hedging of mortgage-servicing portfolios under gamma constraints

By Ortiz Carlos E.   Stone Charles A.   Zissu Anne  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 9, Iss. 4, 2008-08 ,pp. : 379-390

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Delta-hedging vega risk?

By Crépey Stéphane  

Quantitative Finance, Vol. 4, Iss. 5, 2004-10 ,pp. : 559-579

Routledge Ltd

Access to resources Recommend Favorite

Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints

By Bajeux-Besnainou Isabelle   Portait Roland   Tergny Guillaume  

Quantitative Finance, Vol. 13, Iss. 10, 2013-10 ,pp. : 1599-1612

Routledge Ltd

Access to resources Recommend Favorite

Considerations when investing in and pricing emerging market fixed income securities

By Costandinides Christos   Sinclair Leon  

Journal of Securities Operations & Custody, Vol. 6, Iss. 1, 2013-09 ,pp. : 31-41

Henry Stewart Publications

Access to resources Recommend Favorite