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

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Delta hedging a multi-fixed-income-securities portfolio under gamma and vega constraints

By Ortiz Carlos E.   Stone Charles A.   Zissu Anne  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 10, Iss. 2, 2009-02 ,pp. : 169-178

Emerald Group Publishing Ltd

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Delta-hedging vega risk?

By Crépey Stéphane  

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

Routledge Ltd

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Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation

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Finance and Stochastics, Vol. 17, Iss. 1, 2013-01 ,pp. : 31-72

Springer Publishing Company

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On the performance of delta hedging strategies in exponential Lévy models

By DENKL STEPHAN  

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