Event

The Department of Mathematics & Statistics in collaboration with CARISCIENCE hosts the 2nd instalment of a series of lectures by Professor Sebastian Jaimungal, of the Department of Statistics and Mathematical Finance Program, University of Toronto entitled “Valuing Guaranteed Withdrawal Benefits” from 5:30pm to 7:00pm at the Noor Hassanali Lecture Theatre, Faculty of Law.

Guaranteed withdrawal benefits (GWBs) are long term contracts which provide investors with equity participation while guaranteeing them a secured income stream. Due to the long investment horizons involved, stochastic volatility and stochastic interest rates are important factors to include in their valuation. Moreover, investors are typically allowed to participate in a mixed fund composed of both equity and fixed-income securities. In this session, Professor Jaimungal will develop an efficient method for valuing these path-dependent products through re-writing the problem and use of clever probability measure changes. He will illustrate the various effects of the parameters on the valuation through numerical experiments and discuss their financial implications.

For a full profile of Professor Jaimungal, click here.