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)
