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Rodrigo Dufeu

FRM
Director, Strategy Research
Chicago, IL, US
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Article

Introducing InnovatIV™: A forward-looking volatility control index methodology anchored in option-implied risk

06 March 2026 - by Rodrigo Dufeu, Ram Kelkar, Reggie Xu
To address the shortcomings of volatility control index product design for index-linked annuities, we introduce a forward-looking methodology anchored in option-implied risk.