<t>MarkHadley,Thanks for your input. It actually sounds a lot like advice I've gotten from some Milliman cosultants which, based upon your location, wouldn't surprise me if you were with that particular organization. In terms of your comments regarding the "outer loop", I agree that LeRoux does a go...

<t>MJ,Yes! That is precisely how I saw the problem. In fact, that is how I've implemented it relative to equities. But the real hurdle I'm facing is that, given that in an ideal world I would would want risk-neutral model B calibrated at each time step to real-world model A, practically I'm not sure...

<t>Thanks Mars for providing the link to the paper. MJ, I think wires might be getting crossed, which may be due to my not understanding what I'm actually saying. If that's true, then I'd want to know, because that likely means that I'm chasing the wrong rabbit down a hole. So let me try to explain ...

<t>MJ,To answer your question about interest vol, I think I may have been unclear. But from what I understand, when including stochastic interest rates in the calibration of long-dated equity options, failing to take account of the volatility of interest rates when calibrating a stochastic volatilit...

<t>I can't get into the complete specifics about what our product is because that information hasn't been publicly released. However, it's an retirement guarantee that attaches to a 401(K) plan here in the US. Basically it's a guaranteed minimum withdrawal benefit (GMWB) with step-up provisions link...

Anyone have advice?Thanks,J

<t>I'm a little late to the party, but I'm actually working on a similar project. I'm not hedging VA's, but retirement income guarantees attached to DC plans. We're trying to implement a full "Stochastic on Stochastic" framework to dynamically model hedging effectiveness. I've already implemented th...