create a website

Mortgage Rate Insurance and the Canadian Mortgage Market. (1984). Capozza, Dennis ; Gau, George W..
In: Canadian Public Policy.
RePEc:cpp:issued:v:10:y:1984:i:3:p:296-304.

Full description at Econpapers || Download paper

Cited: 3

Citations received by this document

Cites: 17

References cited by this document

Cocites: 30

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence .
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

    Full description at Econpapers || Download paper

  2. Mortgage Rate Insurance in Canada. (1986). Sharp, Keith P..
    In: Canadian Public Policy.
    RePEc:cpp:issued:v:12:y:1986:i:3:p:432-437.

    Full description at Econpapers || Download paper

  3. Mortgage Rate Insurance and the Canadian Mortgage Market: Some Further Reflections. (1985). Pesando, James ; Turnbull, Stuart M..
    In: Canadian Public Policy.
    RePEc:cpp:issued:v:11:y:1985:i:1:p:115-117.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Bierwag, GO. (1977) `Immunization, Duration and Term Structure of Interest Rates, Journal of Financial and Quantitative Analysis, December, 12:725-742.

  2. Black, F. and M. Scholes (1973) `The Pricing of Options and Corporate Liabilities, Journal of Political Economy, May-June, 91:637-654.

  3. Brennan, M.J. and E.S. Schwartz (1982) `Alternative Methods of Valuing Debt Options, Faculty of Commerce and Business Administration Working Paper, University of British Columbia.
    Paper not yet in RePEc: Add citation now
  4. Brennan, M.J. and R. Solanki (1981) `Optimal Portfolio Insurance, Journal of Financial and Quantitative Analysis, September, 16: 279-300.

  5. Capozza, D.R. and G.W. Gau (1983a)Optimal Mortgage Instrument Designs. In North American Housing Markets into the TwentyFirst Century, (eds.) G.W. Gau and M.A.
    Paper not yet in RePEc: Add citation now
  6. Carr, J.L. and L.B. Smith (1983) `Inflation, Uncertainity and Future Mortgage Instrum ents. In North American Housing Markets into the Twenty-First Century, (eds.) G.W.
    Paper not yet in RePEc: Add citation now
  7. Edelstein, R. and K.M. Guttentag (1977) `Interest Rate Change Insurance and Related Proposals to Meet the Needs of Home Buyers and Home Mortgage Lenders in an Inflationary Environment. In Capital Markets and the Housing Sector: Perspectives on Financial Reform, (eds.) R.M. Buckley, J.A. Tucillo, and K.E. Villani. (Cambridge, Mass.: Ballinger Publishing Company).
    Paper not yet in RePEc: Add citation now
  8. Fama, E.F. and G.W. Schwert (1977) `Asset Returns and Inflation, Journal of Financial Mortgage Rate Insurance 303 Economics, Novem ber, 4:115-146.

  9. Findlay, M.C. And D.R. Capozza (1977) `The Variable-Rate Mortgage and Risk in the Mortgage Market: An Option Theory Perspective, Journal of Money Credit, and Banking, May, 9:356-364.

  10. Gau and M.A. Goldberg (Cambridge, Mass.: Ballinger Publishing Company). Dougherly, A. and R. Van Order (1982) `Inflation, Housing Costs, and the Consumer Price Index, American Economic Review, March, 72:154-164.

  11. Gau, G.W. (1981) `An Examination of Alternatives to the Rollover Mortgage, Discussion Paper, Canada Mortgage and Housing Corporation.
    Paper not yet in RePEc: Add citation now
  12. Goldberg (Cambridge, Mass.: Ballinger Publishing Company). (1983b) `The Pricing and Implementation of Mortgage Rate Insurance, Urban Land Economics Working Paper, University of British Columbia.
    Paper not yet in RePEc: Add citation now
  13. Hakansson, N.H. (1970) `Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions, Econometrica, September, 587-607.

  14. In accordance with Canadian Immigrations requirements, this advertisement is directed to Canadian citizens and permanent residents. Apply by December 15, 1984 to Head, Department of Economics, Queens University, Kingston, Ontario, K7L 3N6.
    Paper not yet in RePEc: Add citation now
  15. Kaufman, G.G. (1975) `The Case for Mortgage Rate Insurance, Journal of Money, Credit and Banking, November, 7:515-519.
    Paper not yet in RePEc: Add citation now
  16. Rate Insurance: Overview, Risk Management, and Pricing, Canada Mortgage and Housing Corporation. Grove, MA. (1974) `On `Duration ` and the Optimal Maturity Structure of the Balance Sheet, Bell Journal of Economics and Management Science, Autumn, 5:696-709.

  17. Samuelson, P.A. (1969) `Lifetime Portfolio Selection By Dynamic Stochastic Programming, Review of Economics and StatitIcs, August, 23 9-246.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Towards an immunization perfect model?. (2021). Trigo, Eduardo ; Moreno, Rafael ; de la Pea, Joseba Iaki ; Iturricastillo, Ivan ; Roman, Francisco.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1181-1196.

    Full description at Econpapers || Download paper

  2. Immunizing a Marked-to-Model Obligation with Marked-to-Market Financial Instruments. (2021). Lapshin, Victor.
    In: HSE Working papers.
    RePEc:hig:wpaper:84/fe/2021.

    Full description at Econpapers || Download paper

  3. Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits. (2021). Bravo, Jorge ; Oliveira, Luis ; Simes, Claudia.
    In: Risks.
    RePEc:gam:jrisks:v:9:y:2021:i:4:p:60-:d:524060.

    Full description at Econpapers || Download paper

  4. The First Difference Property of the Present Value Operator. (2017). Buser, Stephen A ; Jensen, Bjarne Astrup.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:07:y:2017:i:04:n:s2010139217500124.

    Full description at Econpapers || Download paper

  5. The performance of deterministic and stochastic interest rate risk measures:. (2014). Oliveira, Luis ; Malcato, Luis ; Nunes, Joo Vidal .
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:13:y:2014:i:3:p:141-165.

    Full description at Econpapers || Download paper

  6. Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model. (2014). Almeida, Caio ; Lund, Bruno.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:34:y:2014:i:2:a:18432.

    Full description at Econpapers || Download paper

  7. On the mortality/longevity risk hedging with mortality immunization. (2013). Lin, Tzuling ; Tsai, Cary Chi-Liang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:3:p:580-596.

    Full description at Econpapers || Download paper

  8. Actuarial applications of the linear hazard transform in mortality immunization. (2013). Chung, San-Lin ; Tsai, Cary Chi-Liang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:1:p:48-63.

    Full description at Econpapers || Download paper

  9. Creating a synthetic after-tax zero-coupon bond using US Treasury STRIP bonds: implications for the true after-tax spot rate. (2011). Daves, Phillip ; Ehrhardt, Michael .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:10:p:695-705.

    Full description at Econpapers || Download paper

  10. MODELS OF FINANCIAL IMMUNIZATION: BEHAVIOR ON THE SPANISH PUBLIC DEBT MARKET. (2008). Ruiz-Herrán, Vicente ; Herran, Vicente Ruiz ; Miguel Angel Perez Martínez, ; Miguel Angel Pena Cerezo, .
    In: Global Journal of Business Research.
    RePEc:ibf:gjbres:v:2:y:2008:i:1:p:101-109.

    Full description at Econpapers || Download paper

  11. Term Structure Models with Parallel and Proportional Shifts. (2007). Bjork, Tomas ; Armerin, Fredrik ; Jensen, Bjarne Astrup.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:14:y:2007:i:3:p:243-260.

    Full description at Econpapers || Download paper

  12. Valor en Riesgo en carteras de renta fija: una comparación entre modelos empíricos de la estructura temporal. (2006). Muela, Sonia ; Abad, Pilar.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0604.

    Full description at Econpapers || Download paper

  13. A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration. (2006). Diebold, Francis ; Ji, Lei ; Li, Canlin.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:06-017.

    Full description at Econpapers || Download paper

  14. Immunization using a stochastic-process independent multi-factor model: The Portuguese experience. (2006). silva, carlos ; Bravo, Jorge.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:1:p:133-156.

    Full description at Econpapers || Download paper

  15. Term Structure Models with Parallel and Proportional Shifts. (2005). Bjork, Tomas ; Armerin, Frederik ; Jensen, Bjarne Astrup.
    In: Working Papers.
    RePEc:hhs:cbsfin:2005_005.

    Full description at Econpapers || Download paper

  16. Immunization Using a Parametric Model of the Term Structure. (2005). Bravo, Jorge ; Jorge Miguel Ventura Bravo, ; Carlos Manuel Pereira da Silva, .
    In: Economics Working Papers.
    RePEc:evo:wpecon:19_2005.

    Full description at Econpapers || Download paper

  17. Immunization of Bond Portfolios: Some New Results. (2002). de la Grandville, Olivier.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp40.

    Full description at Econpapers || Download paper

  18. Dispersion measures as immunization risk measures. (2002). Lopez, Susana ; Ibanez, Alfredo ; Balbas, Alejandro.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:6:p:1229-1244.

    Full description at Econpapers || Download paper

  19. Embedded options and interest rate risk for insurance companies, banks and other financial institutions. (2000). Lee, Jae Ha, ; Stock, Duane R..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:40:y:2000:i:2:p:169-187.

    Full description at Econpapers || Download paper

  20. Impact of Correlation of Asset Value and Interest Rates upon Duration and Convexity of Risky Debt. (2000). Lesseig, Vance P. ; Stock, Duane.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:49:y:2000:i:3:p:289-301.

    Full description at Econpapers || Download paper

  21. Bond immunization for additive interest rate shocks. (1998). Copper, Mark ; Barber, Joel .
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:22:y:1998:i:2:p:77-84.

    Full description at Econpapers || Download paper

  22. A minimax risk strategy for portfolio immunization. (1998). Copper, Mark L. ; Barber, Joel R..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:23:y:1998:i:2:p:173-177.

    Full description at Econpapers || Download paper

  23. Una luce nuova su una vecchia storia: La “scindibilitá” di Cantelli-insolera e la struttura a termine dei tassi dinteresse. (1990). Cacciafesta, Fabrizio.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:13:y:1990:i:1:p:65-72.

    Full description at Econpapers || Download paper

  24. Defined Benefit versus Defined Contribution Pension Plans: What are the Real Trade-offs?. (1988). Bodie, Zvi ; Merton, Robert C. ; Marcus, Alan J..
    In: NBER Chapters.
    RePEc:nbr:nberch:6047.

    Full description at Econpapers || Download paper

  25. Defined Benefit versus Defined Contribution Pension Plans: What are the Real Tradeoffs?. (1985). merton, robert ; Marcus, Alan ; Bodie, Zvi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1719.

    Full description at Econpapers || Download paper

  26. A SIMPLE FORMULA FOR DURATION. (1985). Lane, William R. ; Greenleaf, Robert W. ; Joules, Reginald G. ; Caks, John .
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:8:y:1985:i:3:p:245-249.

    Full description at Econpapers || Download paper

  27. Mortgage Rate Insurance and the Canadian Mortgage Market. (1984). Capozza, Dennis ; Gau, George W..
    In: Canadian Public Policy.
    RePEc:cpp:issued:v:10:y:1984:i:3:p:296-304.

    Full description at Econpapers || Download paper

  28. INCORPORATION OF TAX CONSIDERATIONS INTO THE COMPUTATION OF DURATION. (1983). Huffman, Lucy T. ; Hessel, Christopher A..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:6:y:1983:i:3:p:213-215.

    Full description at Econpapers || Download paper

  29. OPTIMAL LIQUIDITY POLICY: A STOCHASTIC PROCESS APPROACH. (1982). Emery, Gary W..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:5:y:1982:i:3:p:273-283.

    Full description at Econpapers || Download paper

  30. DURATION, PLANNING PERIOD, AND TESTS OF THE CAPITAL ASSET PRICING MODEL. (1980). Kaufman, George G..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:3:y:1980:i:1:p:1-9.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-22 09:26:04 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.