The market for structured products has grown dramatically in the past decade. Their diversity
and complexity have led to the development of many different valuation approaches, and it …

The academic and practitioner literature now includes numerous studies of the substantial
issue date mispricing of structured products but there is no large scale study of the ex-post …

Exposure to the CBOE Volatility Index (VIX) has been available since 2004 in the form of
futures and since 2006 in the form of options, but recently new exchange-traded products have …

While great strides have been made in the development of novel neural imaging technologies
in the past two decades, these techniques still either measure coarsely or require …

Exchange-traded funds (ETFs) offer retail investors a superficially simple way to obtain
exposure to a wide variety of underlying assets and investment strategies. These products have …

This paper examines the properties and valuation of market-linked certificates of deposit (structured
CDs). Structured CDs are similar to structured products–debt securities with payoffs …

We analyze and value dual directional structured products – or simply dual directionals (DDs)
– which have been issued in large amounts since the beginning of 2012. DDs evolved out …

Recently, a new type of variable annuity has been marketed to investors which is based on
structured product-like investments instead of the mutual fund-like investments found in …

We value a large sample of tenant-in-common (TIC) investments covering approximately 20%
of the TIC industry from 2004 to 2009. Based on the sponsor's projections, we find that the …

As a result of the Securities and Exchange Commission’s relaxation of its prohibition against
the marketing of private placements, investors will soon be exposed to a broad array of …