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Trade & Finance

Original Research Projects


  • This project made advances in a number of new areas: strategies and valuation in energy markets, hedge fund management strategies, valuation of mutual funds, financial valuation of insurance policies, as well as introducing new probabilistic market models. Out of this project have arisen two spin-off companies. Sigma Analysis and Management Limited provides investment products for Commodity Trading Advisors and Hedge Funds, and the Individual Finance and Insurance Decisions Centre, a nonprofit corporation, disseminates and conducts applied research in financial risk management. This project completed in June 2002.

  • The objective of this project was to integrate actuarial mortality risk into all aspects of portfolio asset allocation and financial derivative pricing theory. The over-arching goal was to model mortality risk as a variable in a financial economy, and to then value, price and hedge contingent-claims that are dependent on these risks. Through an analysis of the Florida Pension Plan, which allows participants the option to switch between Defined Contribution and Defined Benefit plans, we illustrated that the cost of giving this option is less than others had predicted. These results will impact hedging strategies of insurance companies. We also obtained results concerning the proper allocation of assets for life annuity investments in order to achieve certain goals. This project completed in March 2003.