Monday, October 02, 2006

Another day at work

Hi guys

Another day at work, another day trying to change the world!

The picture below is a good exampleof interesting things I'm doing at Aon (my new company). There we tried to find an investment that would reduce the pension Scheme risk (or volatility of teh funding level for those interetsed). Looks like we managed to model something nice, on the left side pure UK equity return, on the right a combination of cash and call options...



What stands out is the reduced volatility (ie narrower range of possible returns out of 1,000 simulations) with teh cash + call option! All the credit to my colleague James and my boss Chris the Clever Squirrell!!

OK ciao, let me know what you think!

1 Comments:

Blogger Richard B said...

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4:39 pm  

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