Description: A primer on Credit Default Swaps

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 2001 article discusses the requirement to assess hedge effectiveness in the Financial Accounting Standards Board’s new statement on derivatives accounting, FAS 133, Accounting for Derivative Instruments and Hedging Activities, as critical for qualifying for “special” hedge accounting. The article provides analysis of different approaches and the potential difficulties encountered. This article is reprinted with permission from Derivatives Week.

Description: This article explains the 2009 changes to the Global Credit Default Swap contract and North American conventions. It is reprinted with permission from The Markit Magazine.

Description: Article, Swaps and the Swaps Yield Curve by Joseph G. Haubrich, reprinted with permission. From Risks and Rewards, February 2004, Issue No. 44. This article was originally published in Economic Commentary in December 2001. Reprinted with permission.

Description: Describes the construction of the CBOE's VIX index. Shows mathematically how the variance of investment returns is reflected in the price of the index. Provides a rational explanation of technical factors that lead the index to perform inconsistently with market sentiment. Highly relevant for any hedger seeking to use the VIX index.

Description: Competition for space in distribution channels has resulted in a proliferation of exotic options embedded in variable annuity products. This article discusses how this has created a need which can be addressed, in part, by hedging variable annuity guarantees with long-dated equity derivatives.

Description: Discusses taxation of derivatives, as changed for some types under Dodd-Frank and not changed for others.

Description: As equity markets decline and become more volatile, the likelihood of significant guaranteed benefit claims increases, while increases from mortality and expense fees declines. The article illustrates how to use a derivative contract, a properly structured total return swap, to turn a company's uncertain M&E revenue patterns into predictable revenue.

Description: Introduction to option pricing, with special attention to issues in applying these tools to price equity-linked insurance products. Clear, accessible explanation of key results of mathematical finance including risk-neutral valuation.