Description: Decomposes guaranteed minimum maturity benefit option into a basket of components, and values each component with both a Black-Scholes model and a regime-switching GARCH model. Performs sensitivity analysis on dynamic lapse assumption.

Description: The article makes reference to how the intervention by government agencies and institutions into the financial marketplace are creating distortions. This artificial tampering into market mechanisms will likely result in major financial dislocations down the road as natural economic forces (coined by the term "invisible hand") eventually are allowed to come into play.

Description: The article reviews recent investment performance of stable value compared to other low risk alternatives, discusses current criticisms of the option, and concludes that they are not well founded. Criticism reflects a lack of openness to the full range of stable value contracts available and manager bias against traditional GICs, not a real lack of wrap capacity. Stable value continues to be the pareto superior low risk option.

Description: Discussion of significant anomalies in option pricing due to the independent identically distributed assumption of the Black Scholes formula.

Description: The impact of Fed’s QE program on the financial markets has been enormous and profound. The tapering and the eventual removal of the stimulus will be equally enormous and profound, and may be disruptive. To adapt to the potential regime change in near future, some investment strategies have been proposed: (1) shorten duration to focus on the short end of the yield curve and create laddered portfolios; (2) reduce allocation to high yield bonds; (3) rotate out interest rate sensitive sectors such as utilities; and (4) use interest rate derivatives to hedge the interest rate uncertainties lying ahead. On the other hand, contrarians who see the QE program continuing may stay the course and consider (1) adding duration, (2) gaining exposure to high yield bonds, and (3) increasing allocation to utilities and telecoms.

Description: Introduction to option pricing using Black-Scholes. Discussion on the limitations of Black-Scholes and of its alternatives such as Heston. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.

Description: This articles describes the multi-pillar system of 1 pay as you go and 2 individual capital accounts to fund public pension plans which exists in Eastern Europe and Central Asia.

Description: The winners of the Investment Section's 2016 Asset Allocation Contest are announced, along with a recap of the contest and market performance.

Description: Provides an example of using numerical methods to estimate the credit risk spread curve from sparse historical data. Applies Baysian and Normal models. Uses Gibbs sampling and Rejection sampling methods for multivariate estimates. Critically evaluates these techniques.

Description: Highlights a new research paper on determining discount rates for pension plans, by John Turner. The paper breaks new ground on deciding on the appropriate discount rate for untradeable benefit obligations, with a comprehensive summary of the field.