Modelling Trading and Risk in the Market

Modelling trading and risk in the market: Project Highlights

 

2011

Group members published more than 30 papers on mathematical finance and risk management.

More than 10 students graduated from our group into first rate private and public sector employment.

James Marshall (Western) received the BMO Capital Markets Advanced Research Scholarship.

2010

Co-founded by Reesor, the Committee-to-Establish--the (U.S.) National Institute of Finance (CE-NIF) was the driving force behind the Office of Financial Research, a data, analytic and research resource for policymakers and regulators, included in the recently passed Dodd-Frank Act focusing on financial regulatory reform.

In June 2010, Matheus Grasselli and Tom Hurd, as chief organizers, brought to completion a full 6 month thematic program, entitled "Quantitative Finance: Foundations and Applications" at the Fields Institute. After five years planning, this exciting program brought together for this period the world's mathematical finance research community for a series of four workshops, five Industrial-Academic Forums, plus three distinguished lecture series, four advanced graduate courses, and several seminar series.

Tom Hurd was the co-organizer in chief of the 6th World Congress of the Bachelier Finance Society which was held in Toronto June 22-26, 2010. This is the most important international conference in the mathematical finance calendar, and it brought together approximately 500 researchers and practitioners to hear over 300 talks.

Rogemar Mamon was the winner of the North American Actuarial Journal Annual Prize for the Best Paper published in 2008 for the article "pricing of credit default swaps under a Markov-modulated Merton's structural model" co-authored with C. Erlwein and T. Siu). The award carries a cash prize of $500USD and wall plaque for each co-author from the Society of Actuaries. Date of award: 06 April 2010. URL of annual prize announcement

Matheus Grasselli is visiting Ecole Polytechnique and Universite d'Evry and will deliver the Bachelier Doctoral Lectures for the Fall of 2010.

Metzler and Ware are co-editing a CAMQ (Canadian Applied Mathematics Quarterly) Special Issue on Mathematical Finance, based on proceedings of the Financial Mathematics Session at the CAIMS 2009 Annual Meeting.

2009

Group members published more than 35 refereed papers on mathematical finance.

McMaster node colleagues Matheus Grasselli and Tom Hurd are busy co-organizing the upcoming 2009 Fields Thematic Program on Mathematical Finance with the capstone event being the 2010 Bachelier Sixth World Congress on Financial Mathematics.

Adam Metzler from Western and Traian Pirvu from McMaster joined our team.

2008

Group members published more than 30 refereed papers on mathematical finance.

More than 10 M.Sc. and Ph.D. students from the class of 2008 are now working in risk management for Canada's banking and finance system, the world's most stable.

Marcos Escobar and his team from Ryerson University joined the Modelling trading and risk in the market project.

2007

Modelling Trading and Risk in the Market Investigator Luis Seco has been awarded NSERC's prestigious Synergy Award. This award is given to university-industry partnerships which are judged to be exemplary, and to represent a model for the Canadian research community. Professor Seco received his award, which includes a unique synergy sculpture and a research grant, for the work of the research team he leads at Uof T with Algorithmics Inc. This University-Industry partnership resulted in the creation of algorithms and software for modelling and managing financial risk. For more information please see: http://www.nserc.gc.ca/news/2007/p071029.htm.

Michel Couillard (student) was honoured with the MITACS Outstanding Service to the Student Network award -- this is is the second MTRM student to be so honoured, the first was Lindsay Anderson in 2004.

The Canadian Mathematical Society (CMS) has selected Modelling Trading and Risk in the Market project member Martin Barlow as the recipient of the 2008 Jeffery-Williams Prize".

2006

During the summer of 2006 group members had the chance to meet one another at many conferences and workshops, including the annual meetings of the Statistical Society of Canada,  The Canadian Math Society,  the joint MITACS/Canadian Applied and Industrial Math Society, and a BIRS workshop organized by Ali Lazrak,  an associate member of our UBC node.

Matt Davison took over the group leadership role in July, after 2 solid years of service by Tony Ware.

In July it was announced that Matt Davison was awarded a Canada Research Chair in Quantitative Finance.

2005

Two new investigators joined our project this year.  We welcome Ulrich Horst, an expert in Market Microstructure models,  and Mark Reesor,  an expert in public sector debt management, to our project.

At the MITACS meeting in May 2005,  Lindsay Anderson, formerly a doctoral student from the Western node,  was honoured with the MITACS Outstanding Service to the Student Network award.    This was awarded to Dr. Anderson for her role chairing the MITACS student advisory committee during 2002-2004. 

The current chair of the MITACS student advisory committee, Michel Couillard is also from the Western node of the Modelling Trading and Risk in the Market project.

In June 2005 Dr. Anderson was honoured again as a recipient of the Canadian Applied Math Society’s Cecil Graham doctoral dissertation award.

The Western node, with scientific assistance from McMaster’s Grasselli,  ran a well attended workshop on Credit Risk modeling on November 5 2005.  

The following weekend we had a very successful group meeting in Hamilton.  This was hosted by our McMaster node.

2004

The Interest Rate and Credit Risk modeling subproject at McMaster has obtained a concrete representation of the Cox-Ingersoll-Ross model as a Wiener chaos expansion. A large scale calibration of reduced form credit models to multi firm bond data has been partially completed. Very recent work on credit derivatives (CDOs) has been stimulated through the partnership with RBC Insurance. A family of multi firm affine credit models has been created within which computations of these complex instruments are extremely efficient.

A new Monte Carlo based algorithm has been proposed within the Pricing and Hedging subproject. It makes use of exponential risk preferences and implements a dynamic strategy for hedging contingent claims in arbitrary Markov markets and computes their indifference prices. The algorithm has been tested in stochastic volatility markets, where a new class of reciprocal affine models was also introduced.

(November) Luis Seco (University of Toronto) joins our project.

(November) Project meeting held at the Banff International Research Station.

(July) Tony Ware takes over the leadership of the project, following on from Ulrich Haussmann and a six-month interregnum from Tom Hurd.

2003

An ongoing project of the UWO Energy finance group has been to characterize the optimal control of power plants in deregulated markets. This was the doctoral topic of Dr. Matt Thompson, who successfully defended his thesis in March 2003. He was awarded the Canadian Operational Research Society thesis prize for his efforts, and a paper central to his thesis has been accepted by Operations Research.