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Hedging individual mortgage risk

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  • Zivney, Terry L.
  • Luft, Carl F.

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Suggested Citation

  • Zivney, Terry L. & Luft, Carl F., 1999. "Hedging individual mortgage risk," Financial Services Review, Elsevier, vol. 8(2), pages 101-115.
    • Handle: RePEc:eee:finser:v:8:y:1999:i:2:p:101-115
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    References listed on IDEAS

    as
    1. Carl F. Luft & Bruce D. Fielitz, 1986. "An Empirical Test Of The Commodity Option Pricing Model Using Ginnie Mae Call Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(2), pages 137-151, June.
    2. Templeton, William K. & Main, Robert S. & Orris, J. B., 1996. "A simulation approach to the choice between fixed and adjustable rate mortgages," Financial Services Review, Elsevier, vol. 5(2), pages 101-117.
    3. Julia D. Fernald & Frank M. Keane & Patricia C. Mosser, 1994. "Mortgage security hedging and the yield curve," Quarterly Review, Federal Reserve Bank of New York, vol. 19(Sum), pages 92-100.
    4. Maris, Brian A & White, Harry L, 1989. "Valuing and Hedging Fixed Rate Mortgage Commitments," The Journal of Real Estate Finance and Economics, Springer, vol. 2(3), pages 223-232, September.
    5. Austin Murphy & Douglas Gordon, 1990. "An empirical note on hedging mortgages with puts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(1), pages 75-78, February.
    6. Berkovitch, Elazar & Greenbaum, Stuart I., 1991. "The Loan Commitment as an Optimal Financing Contract," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(1), pages 83-95, March.
    7. Raymond Chiang & Thomas F. Gosnell & Andrea J. Heuson, 1997. "Evaluating the Interest-Rate Risk of Adjustable-Rate Mortgage Loans," Journal of Real Estate Research, American Real Estate Society, vol. 13(1), pages 77-94.
    8. Julia D. Fernald & Frank M. Keane & Patricia C. Mosser, 1994. "Mortgage security hedging and the yield curve," Research Paper 9411, Federal Reserve Bank of New York.
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