Delta hedging of mortgage‐servicing portfolios under gamma...

Delta hedging of mortgage‐servicing portfolios under gamma constraints

Ortiz, Carlos E., Stone, Charles A., Zissu, Anne
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Volume:
9
Language:
english
Journal:
The Journal of Risk Finance
DOI:
10.1108/15265940810895034
Date:
August, 2008
File:
PDF, 344 KB
english, 2008
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