Description: Proposes alternatives for estimating the long term interest returns in Indexed Universal Life products. Defends expected return of 20%-45% on hedge budgets.

Description: Derives appropriate hedge ratios for CPPI strategies, taking into account discrete hedge times and market dislocations (gap risk).

Description: The article discusses that drawbacks of the HJM Heath-Jarrow-Morton class of stochastic interest models and suggests the use of the Longstaff-Schwartz string model. It describes the use and benefits of the Lonstaff-Schwartz string model.

Description: In this article about interest rate models, the author develops an empirical description of the term “interest rate regime,” and looks at the relationship between changes in yield curves and moving to a new interest rate regime.

Description: Explains the method used to calculate Liquidity Cost Score and Price Impact Score. Describes the rationale for and applications of these methods.

Description: As stochastic modeling has evolved, it has divided down two paths—real-world and risk-neutral. This article discusses this division and shows how these paths may be re-united through the use of deflators.

Description: Applies the economic concept of negative externality (where firms profit but create unacceptable social costs) to systemic of financial institutions. Identifies alternatives to the traditional (Pigou) response of taxing the firm.

Description: This article focuses on one fundamental modeling assumption — the choice of a benchmark rate or risk-free rate. The author looks at this bond market assumption as a case study of how one needs to monitor fundamental market changes for their impact on assumptions.

Description: Proposes a benchmark consisting of TIPs and deferred income annuities for retirement asset allocation decisions.

Description: Abstract of Research Project on Interest Rate Risk