This dissertation is an empirical study of alternative strategies for hedging the interest rate risk of GNMAs. Four hedging strategies are considered: (1) the short sale of Treasury note futures, (2) the short sale of Treasury bond futures, (3) the simultaneous short sale of Treasury bond futures and Eurodollar certificate of deposit futures, and (4) the purchase of put options on Treasury bond futures. Each of these strategies is evaluated in simulations constructed with daily price series for seven different GNMA coupons covering the period from January 1985 to March 1987. Hedge ratios were computed using modified Macaulay duration and six different models of GNMA price sensitivity.
"Penumbral Zone Residua of Past Impressions is intended for a large string orchestra, the ideal balance consisting of 24 violins, 18 violas, 18 'cellos, and 12 basses, each divided into 6 sections. It is in one continuous movement, but with several strongly constrasting sections. The beginning and ending sections change meter often, keeping a common eighth-note pulse, except where otherwise indicated. In two passages, mm. 352--389 and 398--445, I have called for the use of two contrasting meters, related by a ratio of 3:2, to be used simultaneously."