Anne MacKay

Research interests

• Propose a computational framework based on imaginary-time Hamiltonian evolution to price a lookback option and a financial guarantee embedded in segregated funds.
• Propose a novel method for calibrating a classification or regression tree by formulating the combinatorial optimization problem in QUBO (Quadratic Unconstrained Binary Optimization) form.
• Explore the analytical properties of the optimal exercise boundary arising in an optimal stopping problem with a discontinuous payoff function related to segregated funds.
• Identify fairness conditions in the design of tontines for groups with heterogeneous disability risk.