« mortgagebankers | Main | TBMA Mortgage Prepayment Projection Tables »

Hedging beyond duration and convexity

Hedging beyond duration and convexity.

By considering a representation using a Fourier-like harmonic,
empirical evidence that such a series provides our hedging
strategy on a mortgage-backed security (MBS) with the first
four principal components of yield curve.

Simulation Conference, 2002.
Proceedings of the Winter, 2002 - informs cs

J Chen, M Fu's nifty PDF.

Posted by on August 6, 2006 7:06 PM |

Post a comment

(If you haven't left a comment here before, you may need to be approved by the site owner before your comment will appear. Until then, it won't appear on the entry. Thanks for waiting.)