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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.





Members



Graduate Student
Elijah Jesus Puaben

Undergraduate Students
Levi Gruspe