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FDRecent Working Papers
PP Peer-Reviewed
Academic Publications
Applied
Mathematical Finance
·
"A
theoretical investigation of randomized asset allocation strategies"
(with S. Posner), Applied Mathematical Finance, Vol. 5(2), June 1998,
pg. 117-130. PDF
Financial
Services Review
·
"Variable
Annuities versus Mutual Funds: A Monte Carlo Analysis of the Options", Financial
Services Review, Vol. 10, 2001, pg. 145-161 PDF
·
"International
equity diversification and shortfall risk" (with K. Ho and C. Robinson),
Financial Services Review, Vol. 8 (1), 1999, pg.
11-25 PDF
·
"The
Optimal Choice of Indexed-Linked GICs: Some Canadian Evidence" (with S.
Kim), Financial Services Review, Vol. 6(4), 1997, pg.
271-284. PDF
·
"Asset
Allocation, Life Expectancy and Shortfall" (with K. Ho and C. Robinson),
Financial Services Review, Vol. 3(2), 1994, pg. 109-126. PDF
Insurance
Mathematics and Economics
·
"Optimal
Asset Allocation in Life Annuities: A Note" (with N. Charupat), Insurance
Mathematics and Economics, Vol. 30, 2002, pg. 199-209 PDF
·
"Mortality
Derivatives and the Option to Annuitize", (with S.D. Promislow), Insurance
Mathematics and Economics, December 2001, Vol. 29, pg. 299-318 PDF
·
"Martingales,
scale functions and stochastic life annuities: a note" Insurance
Mathematics and Economics, Vol. 24(1-2), March 1999, pg.
149-154 PDF
·
"The
present value of a stochastic perpetuity and the Gamma distribution", Insurance
Mathematics and Economics, Vol. 20(3), October 1997, pg.
243-250. PDF
International Journal of
Theoretical and Applied Finance (IJTAF)
·
"A
Continuous-Time Reexamination of Dollar Cost Averaging" (with S.
Posner), International Journal of Theoretical and Applied Finance (IJTAF),
TO APPEAR
Multinational Finance
Journal
·
"Tax
Effects in Canadian Equity Option Markets" (with E. Prisman), Multinational
Finance Journal, Vol. 1(2), June 1997, pg. 101-122 PDF
North
American Actuarial Journal
·
"Optimal
Annuitization Policies: Analysis of the Options", North American
Actuarial Journal, Vol. 5(1), January 2001, pg.
57-69 PDF
- "Self-Annuitization
and Ruin in Retirement" (with C. Robinson), North American Actuarial
Journal, Vol. 4(4), October 2000, pg. 112-129 PDF
Review of Quantitative
Finance and Accounting
- "Time Diversification,
Safety-First and Risk", Review of Quantitative Finance and
Accounting, Vol. 12(3), May 1999, pg.
271-281 PDF
- "Asset Allocation Via
The Conditional First Exit Time or How To Avoid Outliving your
Money" (with K. Ho and C. Robinson), Review of Quantitative
Finance and Accounting, Vol. 9(1), July 1997, pg.
53-70. PDF
The
Journal of Derivatives
- "A Closed-Form
Approximation for Valuing Basket Options", (with S. Posner), The
Journal of Derivatives, Vol. 5(4), Summer 1998, pg. 54-61. PDF
The
Journal of Financial and Quantitative Analysis
- "Asian Options, The
Sum of Lognormals and the Reciprocal Gamma Distribution", (with S.
Posner), The Journal of Financial and Quantitative Analysis, Vol.
33(3), September 1998, pg. 409-422. PDF
The Journal
of Financial Engineering
- "Valuing Exotic
Options by Approximating the SPD with Higher Moments" (with S.
Posner), The Journal of Financial Engineering, Vol. 7(2), June
1998, pg. 109-125 PDF
The Journal
of Risk and Insurance
- "The Titanic Option:
Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities
and Mutual Funds" (with S. Posner), The Journal of Risk and
Insurance, Vol. 68(1), March 2001, pg. 55-79 PDF
- "Mortality Swaps and
Tax Arbitrage in the Canadian Insurance and Annuity Markets" (with
N. Charupat), The Journal of Risk and Insurance, Vol.
68(2), June 2001, pg. 124-147 PDF
- "Optimal Asset
Allocation Towards the End of the Life Cycle: To Annuitize or Not to
Annuitize?", The Journal of Risk and Insurance, Vol. 65(3),
September 1998, pg. 401-426 PDF
The
Quarterly Review of Economics and Finance
- "Hedging and Pricing
with Tax Law Uncertainty: Managing under an Arkansas Best
Doctrine", (with E. Prisman), The Quarterly Review of Economics
and Finance, Vol. 39(1), Spring 1999, pg.
149-170. PDF
PP
Peer-Reviewed
Practitioner Publications
Canadian
Investment Review
- "Risk-Adjusted
Retirement" (with K. Ho and C. Robinson), Canadian Investment
Review, Vol. 9(1), Spring 1996, pg. 19-27. PDF
- "How to Avoid
Outliving Your Money" (with K. Ho and C. Robinson), Canadian
Investment Review, Vol. 7(3), Fall 1994, pg. 35-38. Reprinted
in The Advisor's Guide to Financial Research, published by Rogers Media
Inc, 1999.
Derivatives
Quarterly
- "Another Moment for
the Average Option", (with S. Posner), Derivatives Quarterly,
Vol. 5(4), Summer 1999, pg. 47-53. PDF
RISK Magazine
- "Optional Taxes"
(with Eliezer Prisman), RISK Magazine, Vol. 10(9),
September 1997, pg. 133-137. PDF
The Journal
of Retirement Planning
- "Spending Your
Retirement in Monte Carlo", The Journal of Retirement Planning,
January/February, 2001, pg. 21-29. PDF
P PRefereed
Conference and Seminar Proceedings
- "Asian Options, The
Sum of Lognormals and the Reciprocal Gamma Distribution", (with S.
Posner), Courant Institute (NYU) Lecture Notes in Mathematical Finance,
edited by M. Avellaneda, World Scientific Publishing, 1999.
- "Hedging and Pricing
with Tax Law Uncertainty: Managing Under an Arkansas Best
Doctrine", (with E. Prisman), Research Symposium Proceedings of the
Chicago Board of Trade. Chicago, December 1997.
- "Is Your Standard of
Living Sustainable During Retirement? Ruin Probabilities, Asian Options
and Life Annuities", (with C. Robinson), Proceedings of the Society
of Actuaries Retirement Needs Framework Conference, Orlando, FL,
December 1998.
- "International
Diversification and Shortfall Risk", (with C. Robinson and K. Ho),
Finance Proceedings of the Administrative Sciences Association of
Canada, Vol. 18(1), St. Johns NFLD, May 1997.
- "A Tax-Adjusted
Algorithm for Pricing Derivative Securities Using The Symbolic
Computational Language MAPLE" (with E. Prisman), Proceedings of the
Conference on Computational Intelligence for Financial Engineering, New
York City, March 1997.
- "Is Random
Time-Diversification a Substitute for Static Space-Diversification?"
(with S. Posner), Proceedings of the Conference on Mathematical Finance,
Aarhus University, Denmark, June 1996.
- "Is There a
Tax-Induced January Effect In the Canadian Equity Options Market?"
(with E. Prisman), Proceedings of the Fifth Annual Derivative Securities
Conference, Johnson Graduate School of Management, Cornell University,
April 1995.
- "Asset Allocation via
the Conditional First Exit Time or How To Avoid Outliving your
Money" (with K. Ho and C. Robinson), Proceedings of the 4th Annual
Actuarial Approach for Financial Risks International Colloquium, Vol. 1,
pg. 329-348.
PPBooks
- Money Logic:
Financial Strategies for the Smart Investor (with M. Posner), Stoddart
Publishing, 1999, Canada.
- The Probability of Fortune:
Financial Strategies with the Best Odds (with M. Posner), Stoddart
Publishing, 2000, U.S.
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