CANCELLED!!! - QCF Finance Seminar
Sorry about the last minute notice, but the QCF seminar and meeting with students on 4/4 will be cancelled due to an unexpected
event. We will try to re-schedule. We apologize for the inconvenience.
We will host a seminar in the area of Quantitative and Computational
Finance by two visitors (speakers' bio attached) from Bank of America
at 11am on April 4, 2002 (Thurs) in IC 217. They will also meet with interested students from 1:30pm to 2:30pm in IC 107 for discussion and questions.
David Mooney Managing Director, Global Head of Commodity Derivatives Bank of America, New York, NY Mr. Mooney joined the firm in 1997. He overseas a worldwide team of over 50 associates with sales and trading operations in six locations-New York, London, Singapore, Chicago, Charlotte and Houston. David has worked in the energy markets since 1989, initially as a trader for Citibank, later as a broker of natural gas, before rejoining Citibank and then Bank of America in 1997.
Martin Jermakyan Principal, Strategy group at Bank of America Commodity Trading Dr. Jermakyan has received his doctorate in mathematics from Moscow University. Since then, he has been on various teaching and research capacities of UCLA and University of Michigan mathematics departments, and the Business School and the Department of Industrial and Operations Engineering of the University of Michigan. Dr. Jermakyan has extensive consulting experience working closely with financial and power trading firms. In the past, he has held VP of Research position at Altra Risk Management Services. Currently he holds Principal, heading the Strategies Group at Bank of Americas Commodity Trading Desk, reporting to David Mooney.
The complexities and challenges associated with the energy and power market are spectacular both from the points of views of their comprehension and their quantitative modeling. Contrary to financial markets, frequently, the risks associated with energy and power products can not be hedged. This suggests assumption of the relevant risks by the counterparties, and therefore requires the incorporation of adequate risk-premiums in the derivative products associated with energy and power. This phenomenon gives rise to questions on the adequacy of risk-neutral pricing methodology more so in power markets then in oil and gas. Additionally, lately we have seen the breaking down of the risk-neutral methodologies even in energy markets, especially in gas market. How should the quantitative models be adjusted to these observations? Additionally, some of the classic challenges associated with financial derivatives pricing, in general, are present in energy and power markets on a magnified scale. Addressing the needs of energy and power markets requires the marriage of strong quantitative and derivatives background with strong understanding of the relevant physical processes.