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Longevity hedge effectiveness : a decomposition. (2013)
Journal Article
Cairns, A., Dowd, K., Blake, D., & Coughlan, G. (2013). Longevity hedge effectiveness : a decomposition. Quantitative Finance, 14(2), 217-235. https://doi.org/10.1080/14697688.2012.748986

We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely... Read More about Longevity hedge effectiveness : a decomposition..

Option Pricing Under Non-Normality: A Comparative Analysis. (2013)
Journal Article
Mozumder, S., Sorwar, G., & Dowd, K. (2013). Option Pricing Under Non-Normality: A Comparative Analysis. Review of Quantitative Finance and Accounting, 40(2), 273-292. https://doi.org/10.1007/s11156-011-0271-y

This paper carries out a comparative analysis of the calibration and performance of a variety of options pricing models. These include Black and Scholes (J Polit Econ 81:637–659, 1973), the Gram–Charlier (GC) approach of Backus et al. (1997), the sto... Read More about Option Pricing Under Non-Normality: A Comparative Analysis..