There exists a paucity of academic literature on stable value (SV) funds, although a growing volume of industry and practitioner literature has provided an in-depth look at how the funds are managed and the guarantees secured. To date, no rigorous analysis has been published on the performance...

The standard put-call parity result does not include equalities based on buy-and-hold strategies for options on the minimum or maximum of two risky assets and for quantity-adjusting options. This article generalizes put-call parity to these contracts. International put-call parity relations and...

Quantity-adjusting option and forward contracts deliver a payoff on a variable quantity of underlying. This article explains the use, pricing, and hedging of such contracts. The pricing of product options is also derived. Product options include quantity-adjusting options as a special case and...

This paper examines intra-day trading data from the inter-dealer broker market for U.S. Treasury securities and finds that there is a price pressure effect in the off-the-run Treasury market. As is well known, securities that would appear to be very close substitutes, i.e., on-the-run and...

Estimates of how much credit risk shortens the effective duration of corporate bonds based on observable data and easily estimated bond pricing parameters.Basis risk is the risk attributable to uncertain movements in the spread between yields associated with a particular financial instrument or...

A primer on reinsurance terms and concepts, covering the purposes of reinsurance, the nature of reinsurance contracts, the economics of risk transfer, the characteristics of reinsurance risk, and the market for, and regulation of, reinsurance.Reinsurance is a mechanism the insurance industry...

In this study, we show how to measure the size of tax benefit arising from the purchase of fixed annuities - both deferred and immediate. We demonstrate how the size of tax benefit available from tax deferral depends on five factors: (1) the length of time the annuity is held during the...

The primary purpose of this article is to provide courts with an important new tool for applying the correct probability distribution to a given legal question. In areas as diverse as criminal prosecutions and civil lawsuits alleging securities fraud, courts must assess the relevance and...

We focus on the decumulation decision that faces an individual upon entering retirement, and seek a rational set of choices for an individual who receives a lump-sum settlement from retirement savings programs, together with accumulated private savings and Social Security credits. In the spirit...

The choice of financial structure is appropriately viewed as a complex, multidimensional decision by insurer management. Specific attention is given to traditional theories regarding capital structure, including the tradeoff between the tax benefits and increasing probability of incurring the...