Mathematical and Computational Finance

Welcome to the SCL Mathematical and Computational Finance Research Interest Group Page!

This is one of the research interest groups under SCL that focuses on the quantitative modeling of financial markets and mathematical tools and theories, such as probability, statistics, partial differential equations, optimization and simulation. By applying these methods to economics questions, the risks and opportunities presented by securities, companies, currencies or competition can be more easily assessed.

Research Project

Currently, there are one active research project by the group, which is the following:

1. A Seasonal Regime-Switching Spot Price Model for the Philippine Electricity Market

Sebastian Ibañez and Adrian Roy Valdez, PhD

This study presents a mathematical model that captures the unique spot price dynamics of the Philippine Wholesale Electricity Spot Market (WESM). A three-state regime-switching model is constructed and employed a seasonal clustering algorithm to construct a "seasonal" model that captures the potential periodic patterns in the frequency of spikes. Two important regulations are also examined, the primary and secondary price caps, and add their effects to our price simulations. Finally, a comparison of forecasting performance is made between the original model, its seasonal variant, and a simpler model consisting of 24 AR(1) processes.

Faculty

Graduate Students

Maywadee Soytong, MSc
Elijah Jesus Puaben

Undergraduate Students

For queries, comments, and suggestions on matters with regards to the group, please email Dr. Adrian Roy Valdez at alvaldez@up.edu.ph.

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