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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An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs

By Sepp Artur  

Quantitative Finance, Vol. 12, Iss. 7, 2012-07 ,pp. : 1119-1141

Routledge Ltd

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A primer on tail risk hedging

By McRandal Ryan   Rozanov Andrew  

Journal of Securities Operations & Custody, Vol. 5, Iss. 1, 2012-08 ,pp. : 29-36

Henry Stewart Publications

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On the performance of delta hedging strategies in exponential Lévy models

By DENKL STEPHAN  

Quantitative Finance, Vol. 13, Iss. 8, 2013-08 ,pp. : 1173-1184

Routledge Ltd

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