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BA (Yeshiva); MA & PhD (York)
Associate Professor of Finance
Area(s):
Finance
E-mail:
milevsky@yorku.ca
Telephone:
(416) 736-2100 ext 66014
Fax:
(416) 736-5487
Office:
Room N204F, SSB
Personal Website:
www.yorku.ca/milevsky/
RESEARCH
Areas of Expertise
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Mathematical financial economics; exotic option pricing; income taxation and its effect on the pricing, hedging and trading of derivative securities; quantitative personal financial planning, in particular, investment strategies for retiring individuals; alternative paradigms for risk quantification and measurement of long term financial market investment returns; insurance derivatives. |
Current Research Projects
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(1) Variable Annuities and Segregated Mutual Funds: Pricing, Hedging and Valuation. (2) Immediate Annuities and Asset Allocation Models. (3) Dollar-Cost Averaging and Exotic Options. (4) Arbitrage in the Insurance and Annuity Market. (5) Real Options in Personal Finance and Insurance |
TEACHING
1995 - Present
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Schulich School of Business |
Teaching Area/s
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Finance |
Courses Taught
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Personal Finance; Futures and Options; Derivative Securities |
Previous Appointments
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Teaching Assistant at the York University Department of Mathematics and Statistics (1992-1995) |
Professional and Teaching Awards
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F.R.F. Best Ph.D. Dissertation in Finance (1996)
A.A.I.I. Award for Best paper in Investments Theory (1996)
S.F.A. Award for Best Paper in Derivatives (1998 & 1996)
S.S.B. Research Award (1997)
A.F.S. Award for Best Paper in Personal Finance (1993, 1994 & 1995) |
Executive Education
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(1) Probability Theory and Modern Finance (with T. Salisbury) at the Schulich School of Business and the Fields Institute. (2) Ongoing financial education and seminars for Manulife, CIBC-WG, Bank of Montreal, ScotiaMcleod, Merrill Lynch, Investors Group, Trimark. |
WORK EXPERIENCE
- Actuarial Intern at TIAA-CREF (1989)
PROFESSIONAL LEADERSHIP
- Director, The IFID Centre
- Co-Editor, Journal of Pension Finance and Economics
REPRESENTATIVE PUBLICATIONS
"The Erosion Effects of Income Taxes and Inflation on GIC Investment Returns" (with A. Mawani and J. Landzberg), to appear, Canadian Tax Journal
"Ruin Minimizing Annuitization Strategies" (with K. Moore and V. Young), to appear, Mathematical Finance
"The Implied Longevity Yield", to appear, Journal of Risk and Insurance
"Human Capital, Life Insurance and Asset Allocation (with R. Ibbotson, P. Chen and K. Zhu), to appear, Financial Analysts Journal
"Advanced Life Delayed Annuities (ALDA)", to appear, North American Actuarial Journal
"Ruined Moments in Your Life", (with H. Huang and J. Wang), Insurance: Mathematics and Economics, 2004
"Florida's Pension Election: From DB to DC and Back", (with D. Promislow), Journal of Risk and Insurance, 2004
"Space-Time Diversification: Which Dimension is Better?", Journal of Risk, 2002.
"Mortality Derivatives and the Option to Annuitize", (with D. Promislow), Insurance: Mathematics and Economics, 2001
"Mortality Swaps and Tax Arbitrage" (with N. Charupat), Journal of Risk and Insurance, 2001
"Self-Annuitization and Ruin in Retirement", (with C. Robinson) North American Actuarial Journal, 2000.
“Asian Options, The Sum of Lognormals and the Reciprocal Gamma Distribution”, (with S. E. Posner), Journal of Financial and Quantitative Analysis, 1998
“Optimal Asset Allocation Towards the End of the Life Cycle: To Annuitize or Not to Annuitize?”, Journal of Risk and Insurance, 1998
“A Closed-Form Approximation for Valuing Basket Options”, (with S. E. Posner), The Journal of Derivatives, 1998
CURRICULUM VITAE
Name
Moshe Arye Milevsky
Rank
Assistant Professor, Finance
Status
Tenure Track
Education
1996 Ph.D. York University, Ontario, Business Finance
1992 M.A. York University, Ontario, Mathematics and Statistics
1990 B.A. Yeshiva University, NY., Mathematics and Physics
Employment History
1995 - Present Assistant Professor of Finance, Schulich School of Business, York University
1994 - 1995 Session Instructor of Finance, Schulich School of Business, York University
1992 - 1995 Mathematics and Statistics Teaching Assistant, Faculty of Arts, York University
1992 - Present Principal at Quantingale M.C. - Consulting Firm.
1990 Actuarial intern at TIAA-CREF in New York
Honours
1993 Recipient of the Academy of Financial Services Best Paper Award in Personal Finance
1994 Recipient of the Academy of Financial Services Best Paper Award in Personal Finance
1995 Recipient of the Eastern Finance Association’s Outstanding Doctoral Paper Award
1995 Recipient of the Academy of Financial Services Best Paper Award in Personal Finance
1996 Co-Recipient of the Financial Research Foundation’s Harvey Rorke Memorial Prize for best Finance Ph.D. Dissertation in Canada
1996 Recipient of the Southern Finance Association’s Competitive Paper Award in the Field of Investments
Graduate Courses Taught
FINE6050: Personal Finance (M.B.A.)
FINE6800: Futures and Options (M.B.A.)
FINE7020: Financial Economics (Ph.D.)
FINE6000: Derivative Securities (M.B.A.)
FINE4050: Personal Finance (B.B.A.)
FINE4800: Futures and Options (B.B.A.)
Research Funding
1994 - 1995 Social Science and Humanities Research Council Doctoral Fellowship
1994 - 1995 Ontario Graduate Scholarship
1994 - 1996 International Board of Certified Financial Planners
1995 - 1996 Canadian Investment Review’s Academic Sponsorship Program
1995 - 1996 SSHRC Travel and Small Grants
1995 - 1997 Schulich School of Business Faculty Research Grant
1996 - 1998 Teachers Insurance and Annuity Association - College Retirement Equities Fund Research Grant
Publications
Books
Chapters in Books
Co-author of chapter 19; “Probabilistic Financial Planning”, in the textbook Personal Financial Planning, Second Edition, by Kwok Ho and Chris Robinson, published by Captus Press 1996.
Refereed Full Journal Papers
“Valuing Exotic Options by Approximating the SPD with Higher Moments” (with S. E. Posner), The Journal of Financial Engineering, Vol. 7(2), June 1998
“The Present Value of a Stochastic Perpetuity and the Gamma Distribution”, Insurance: Mathematics and Economics , Vol. 20(3), October 1997
“Optional Taxes” (with E. Prisman), RISK Magazine, Vol. 10(9), September 1997
“Tax Effects in Canadian Equity Option Markets”, (with E. Prisman), Multinational Finance Journal, Vol. 1(2), June 1997
Moshe Arye Milevsky and Eliezer Z. Prisman, “Hedging and Pricing with Tax Law Uncertainty: Managing Under an Arkansas Best Doctrine”, The Quarterly Review of Economics and Finance, forthcoming.
Moshe Arye Milevsky, “The Present Value of a Stochastic Perpetuity and the Gamma Distribution”, Insurance: Mathematics and Economics, forthcoming.
Moshe Arye Milevsky, Kwok Ho and Chris Robinson, “Asset Allocation via the Conditional First Exit Time or How To Avoid Outliving your Money”, Review of Quantitative Finance and Accounting, Vol. 9(1), July 1997, forthcoming.
Kwok Ho, Moshe Arye Milevsky and Chris Robinson, “Asset Allocation, Life Expectancy and Shortfall”, Financial Services Review, Vol. 3(2), pg. 109-126, 1994.
Refereed Conference Proceedings
Moshe Arye Milevsky and Eliezer Z. Prisman, “A Tax-Adjusted Algorithm for Pricing Derivative Securities Using The Symbolic Computational Language MAPLE”, Proceedings, Conference on Computational Intelligence for Financial Engineering, New York City, March 1997.
Moshe Arye Milevsky and Steven E. Posner, “Is Random Time-Diversification a Substitute for Static Space-Diversification?”, Proceedings, Conference on Mathematical Finance, Aarhus University, Denmark, June 1996.
Moshe Arye Milevsky and Eliezer Z. Prisman, “Is There a Tax-Induced January Effect In the Canadian Equity Options Market?”, Proceedings, Fifth Annual Derivative Securities Conference, Johnson Graduate School of Management, Cornell University, April 1995.
Other Conference Proceedings
Kwok Ho, Moshe Arye Milevsky and Chris Robinson, “Risk-Adjusted Retirement”, Canadian Investment Review, Spring 1996, pg. 19-27.
Kwok Ho, Moshe Arye Milevsky and Chris Robinson, “How to Avoid Outliving Your Money”, Canadian Investment Review, Fall 1994, pg. 35-38.
Conference and Seminar Presentations:
University of Waterloo Finance Department, Waterloo ON, March 1997, Presented: “Optimal Asset Allocation Towards the End of the Life Cycle: To Annuitize or Not to Annuitize?”.
Conference on Computational Intelligence for Financial Engineering, New York City NY, March 1997, Presented: “A Tax-Adjusted Algorithm for Pricing Derivative Securities Using The Symbolic Computational Language MAPLE”, (with E.Z. Prisman).
Southern Finance Association, Key West FL, November 1996, “Is Random Time-Diversification a Substitute for Static Space-Diversification?”, (with S. Posner).
Academy of Financial Services, New Orleans LA, October 1996, “Optimal Asset Allocation Towards the End of the Life Cycle: To Annuitize or Not to Annuitize?”.
Financial Management Association, New Orleans, October 1996, “Hedging and Pricing with Tax Uncertainty Under an Arkansas Best Doctrine”, (with E. Z. Prisman)
Conference on Mathematical Finance, Aarhus Denmark, June 1996, “Is Random Time-Diversification a Substitute for Static Space-Diversification?”, (with S. Posner).
Academy of Financial Services, New York City NY, November 1995, “Targeting Retirement”, (with K. Ho and C. Robinson).
American Risk and Insurance Association, Seattle WA, August 1995, “Time Diversification, Safety-First and Risk”.
Northern Finance Association, London ON, September 1995, “Tax Effects in Canadian Equity Option Markets”, (with E. Z. Prisman)
Eastern Finance Association, Hilton Head, SC, April 1995, “An Empirical Examination of the Geometric Brownian Motion Hypothesis via the Space Time Duality of a Stochastic Process”.
Academy of Financial Services, St. Louis MO, October 1994, “Asset Allocation via the Conditional First Exit Time or How To Avoid Outliving Your Money”, (with K. Ho and C. Robinson).
International Colloquium on Actuarial Approach for Financial Risk, Orlando FL, April 1994, “Asset Allocation via the Conditional First Exit Time or How To Avoid Outliving Your Money”, (with K. Ho and C. Robinson).
Midwest Finance Association, Chicago IL, March 1994, “Continuous Time Safety-First as a Paradigm for Portfolio Construction by Banks Under Regulation”.
Academy of Financial Services, Toronto ON, November 1993, “Asset Allocation, Life Expectancy and Shortfall”, (with K. Ho and C.Robinson).
Northern Finance Association, Halifax NS, September 1993, “Asset Allocation, Life Expectancy and Shortfall”, (with K. Ho and C.Robinson). |
RESEARCH