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Interest Rate Risk Hedging For Due-On-Sale Mortgages With Early Termination

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  • Gary Anderson
  • Raymond Chiang

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  • Gary Anderson & Raymond Chiang, 1987. "Interest Rate Risk Hedging For Due-On-Sale Mortgages With Early Termination," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 133-142, June.
    • Handle: RePEc:bla:jfnres:v:10:y:1987:i:2:p:133-142
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1987.tb00485.x
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    References listed on IDEAS

    as
    1. George W. Gau & Michael A. Goldberg, 1983. "Interest Rate Risk, Residential Mortgages and Financial Futures Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 11(4), pages 445-461, December.
    2. Burton G. Malkiel, 1962. "Expectations, Bond Prices, and the Term Structure of Interest Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 76(2), pages 197-218.
    3. Robert W. Kolb & Raymond Chiang, 1982. "Duration, Immunization, And Hedging With Interest Rate Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(2), pages 161-170, June.
    4. Ingersoll, Jonathan E. & Skelton, Jeffrey & Weil, Roman L., 1978. "Duration Forty Years Later," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(4), pages 627-650, November.
    5. G. D. Koppenhaver, 1984. "Selective Hedging Of Bank Assets With Treasury Bill Futures Contracts," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 105-119, June.
    6. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    7. Carl Alan Batlin, 1983. "Interest rate risk, prepayment risk, and the futures market hedging strategies of financial intermediaries," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(2), pages 177-184, June.
    8. Walter L. Eckardt Jr., 1984. "Equivalent delivery procedures for gnma futures contracts and options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(1), pages 75-85, March.
    9. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
    10. Joanne Hill & Joseph Liro & Thomas Schneeweis, 1983. "Hedging performance of GNMA futures under rising and falling interest rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(4), pages 403-413, December.
    11. Patricia Knain Little, 1986. "Financial Futures And Immunization," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 1-12, March.
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