FINANCIAL MATHEMATICS ACTIVITES

September  2, 2014

The Fields Institute
Seminar on Financial Mathematics

Wednesday, May 26, 1999

SCHEDULE

4:30 - 5:10 p.m.
"Asymmetric Smiles, Leverage Effects and Structural Parameters"
René Garcia, Université de Montréal

 

5:20 - 6:00 p.m.
"Value at Risk: Application to Electricity"
Eleanor J. Morrison, Portfolio Manager, Powerex

6:05 - 6:20 p.m.
The launch of the Finance Theme of MITACS


ABSTRACTS OF THE TALKS

Value at Risk: Application to Electricity
Eleanor J. Morrison, Portfolio Manager, Powerex

Electricity is not like other commodities, bonds, or equities. There are several unique characteristics that make price determination difficult. These characteristics include; nature of generation, non-storability, and changes in demand depending on time of day, week, or year. Models used for other products do not capture the complex nature of electricity markets. This presentation will describe the application of Value at Risk to electricity and will discuss the difficulties of using existing models for VaR analysis. Modeling challenges include; non-lognormal nature of electricity, lack of historical data, illiquidity in forward products traded, and development of forward curves. Present industry VaR methods will be compared to more complex models recently developed for electricity markets.

PROGRAM

The regular seminar will be followed by a brief ceremony to celebrate the launch of the three MITACS Network Projects in Mathematical Finance. The evening will end with a Wine and Cheese Gala.

The program has been organized in order to introduce all participants of the Seminar Series to the recently launched MITACS Network which has received $14.4 million in funding for the first four years. MITACS is built around the three Canadian research institutes in the mathematical sciences and supports 21 research projects across the country divided among five themes including Finance and Trading. The Fields Institute serves as one of the administrative centres for the Network with responsibility for seven of the twenty-one MITACS Projects. MITACS includes three research projects in Finance and Trading attached to the CRM, Fields and PIMS, respectively.

In order to provide members of the Fields Seminar Series an introduction to the range of research activities taking place across the country the two speakers are members of the research teams in Quebec and Western Canada, respectively.


SPEAKERS

René Garcia has a doctorate in economics from Princeton University. He is associate professor in the Department of Economics at the University of Montreal, the director of the Finance group in CIRANO and the theme leader of the Finance and Trading Sector in MITACS.

In the financial field, René Garcia is developing dynamic capital asset pricing models and addresses issues related to portfolio management and derivative pricing; in econometrics, he is studying time series and non-linear models related to financial markets. His current research involves projects associated with the pricing of options (both theoretical and empirical), the study of the risk premium on shares, and the application of nonparametric techniques functions with shape constraints to the pricing of derivative securities.

Eleanor J. Morrison works on the trade floor at Powerex as part of a team that maximizes the value of BC Hydro generation and storage assets. In addition to making decisions about buying and selling power for the BC Hydro system, she works on short term and long term deal structuring for Powerex. Ms. Morrison recently managed the implementation of a risk management and power scheduling software system. Ms. Morrison has a B.A.Sc. in Chemical Engineering from the University of Waterloo and a Masters in Business Administration from the University of British Columbia.

ORGANIZERS

Phelim Boyle (Finance, University of Waterloo), Michel Crouhy (Canadian Imperial Bank of Commerce), Donald A. Dawson (Fields Institute), Ron Dembo (President, Algorithmics Inc.), Thomas McCurdy (Management, University of Toronto), Eli Prisman (Finance, York University), and Stuart Turnbull (Economics, Queen's University)