Welcome to the personal page of Behzad Alimoradian

Conference talks:

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• OICA WACA conference, April 2020. A risk model for asset-liability management of stable value funds guarantees

• 24th Congress on Insurance: Mathematics and Economics , June 2021. An Asset-Liability Model for Stable Value Fund Guarantees with a Crediting Rate Formula

• ASTIN AFIR/ERM Colloquia 2022, An Asset-Liability Model for Stable Value Fund Wraps (Guaranteed Retirement Plans)

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Papers

Derivatives under market impact, disentangling cost and information, Apr 2022

Option pricing under uncertain market parameters, Sep 2007.

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Packages and Softwares built:

Momentum derivatives strategy: A software for backtesting and selection of vanilla Equity strategies

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Working papers ( coming soon)

• An asset-liability model for stable value value wraps

• It’s all about information or option pricing under the market impact.

• Realized Volatility Smile

• A holistic model for drop and select fixed-income funds

 

Conference organization:

Moderator of expert panel DAO conference, April 2022

Member of the organization committee of OICA WACA conference, April 2020.