DCUBS

Biographical Details:

Mark Cummins is a Lecturer in Finance at the Dublin City University Business School and Programme Chair of the MSc in Sustainable Energy Finance. He holds a PhD in Quantitative Finance, with specialism in the application of integral transforms and the fast Fourier transform (FFT) for derivatives valuation and risk management.

Mark has previous industry experience working as a Quantitative Analyst within the Global Risk function for BP Oil International Ltd., based in Canary Wharf, London. As part of the Risk Quantitative Analysis team, his primary responsibilities included derivatives and price curve model validation and development, with a global remit across BP's oil, gas, power, commodities and carbon emissions activities.

In addition to numerical finance research, Mark has a keen interest in a broad range of energy modelling, derivatives, risk management and trading topics. He also has a growing interest in the area of sustainable energy finance, with particular focus on the carbon markets. Linked to Mark's industry experience, he holds additional interests in the areas of model risk and model validation. Working papers are available on SSRN. LinkedIn profile and full CV is available here.

Research Interests:

Integral Transforms and the Fast Fourier Transform in Numerical Finance; Energy Modelling, Derivatives, Risk Management and Trading; Sustainable Energy Finance; Model Risk and Model Validation.

Selected Peer Reviewed Journals

• Forthcoming: Cummins, M. 2013. Multiple comparisons problem: Recent advances applied to energy and emissions. Applied Economic Letters,
• Forthcoming: Murphy, F., Li, N., Murphy B., Cummins, M. 2013. The link between jet fuel prices, carbon credits and airline firm value. Journal Of Energy Markets,
• Cummins, M., Bucca, A. 2012. Quantitative spread trading in the crude oil and products markets. Quantitative Finance, 12, 12, pp1857-1875.
• Cummins, M. 2011. Optimal statistical arbitrage: A model specification analysis on ISEQ equity data. Irish Accounting Review, 17, 2, pp21-40.
• Cummins, M., Bucca, A., Murphy, B. 2010. Model specification analysis in the methanol markets. Journal Of Energy Markets, 3, 4, pp87-108.

Selected Books

• Forthcoming: Roncoroni, A, Fusai, G, Cummins, M. Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Wiley Finance, 2013.
• Cummins, M., Murphy, F., Miller, J.J.H. Topics in Numerical Methods for Finance, Springer Proceedings in Mathematics, 2012.

Selected Chapters

• Forthcoming: Cartea, A., Cheeseman, J., Cummins, M. 2013. "Gas Markets" in Roncoroni, A., Fusai, G. and Cummins, M., eds., Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Chichester: Wiley Finance.
• Forthcoming: Cummins, M. 2013. "Econometric Analysis of Energy and Emissions Markets: Multiple Hypothesis Testing Techniques" in Roncoroni, A., Fusai, G. and Cummins, M., eds., Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Chichester: Wiley Finance.
• Charpin, J., Cummins, M. 2012. "Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-Factor Stochastic Volatility and Jumps" in Cummins, M., Murphy, F. and Miller, J.J.H., eds., Topics in Numerical Methods for Finance, Springer Proceedings in Mathematics, New York: Springer, 115-138.
• Cummins, M., Murphy, B. 2008. "An Efficient Numerical Method for Pricing Interest Rate Swaptions" in Appleby, J.A.D., Edelman, D.C., and Miller, J.J.H., eds., Numerical Methods for Finance , Boca Raton: Chapman & Hall / CRC, Taylor Francis Group, 113-147.

• Shaw, F., Murphy, F., O'Brien, F., Cummins, M., The Forecasting Efficacy of the Nelson Siegel Model on European Corporate Credit Default Swaps, Frontiers of Empirical Finance and Macroeconomics Symposium, 24-NOV-11 - 24-NOV-11, University of Limerick
• Li, N., Murphy, B., Murphy, F., Moloney, G., Cummins, M., Imputing a Market-Consistent Jet Fuel Forward Curve for Aircraft Leasing Risk Management, ESE Energy and Finance Conference, 05-OCT-11 - 06-OCT-11, Erasmus Universiteit Rotterdam
• Murphy, F., Li, N., Murphy, B., Cummins, M., The Link between Jet Fuel Prices, Certified Emission Reduction Credits and Airline Firm Value, ESE Energy and Finance Conference, 05-OCT-11 - 06-OCT-11, Erasmus Universiteit Rotterdam
• Cummins, M., O'Shea, P., Lyons, K., A Unified Analysis of Emissions and Energy Market Interactions across the EU, 9th INFINITI Conference on International Finance, 13-JUN-11 - 14-JUN-11, Trinity College Dublin
• Cummins, M., Murphy, B., Fast Fourier Transform Pricing of Two-Colour Rainbow Options, 3rd International Conference on Numerical Methods for Finance, 08-JUN-11 - 10-JUN-11, University of Limerick
• Cummins, M., Charpin, J., Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-factor Stochastic Volatility and Jumps, 3rd International Conference on Numerical Methods for Finance, 08-JUN-11 - 10-JUN-11, University of Limerick
• Cummins, M., Murphy, B., An Efficient Numerical Method for Pricing Interest Rate Swaptions, 1st International Conference on Numerical Methods for Finance, 07-JUN-11 - 09-JUN-11, Dublin
• Bucca, A., Cummins, M., Trading e Controllo del Rischio: Synthetic Floating Storage (Trading and Risk Control: Synthetic Floating Storage), Trading e Controllo del Rischio: Synthetic Floating Storage (Trading and Risk Control: Synthetic Floating Storage), 30-JUN-10 - 30-JUN-10, Milan
• Cummins, M., Bucca, A., Synthetic Floating Storage: Application of Statistical Arbitrage, 23rd Irish Accounting and Finance Annual Conference, 06-MAY-10 - 07-MAY-10, University of Ulster
• Murphy, B., Frain, J., Cummins, M., Hedge Fund Performance Attribution Analysis using a Robust Stable-Likelihood Estimator, 23rd Annual Conference of the Irish Economic Association, 24-APR-09 - 26-APR-09, Cork
• Murphy, B., Frain, J., Cummins, M., Evaluating the Trading Styles of Hedge Fund Arbitrageurs, 2nd International Conference on Numerical Methods for Finance, 04-JUN-08 - 06-JUN-08, National College of Ireland
• Cummins, M., Murphy, B., Stochastic Volatility and Jump Effects: Evidence from the S&P 500 Index Options Market, 20th Irish Accounting and Finance Annual Conference, 10-MAY-07 - 11-MAY-07, Institute of Technology Tralee
• Cummins, M., Murphy, B., Testing Alternative Affine Jump-Diffusion Models in the S&P 500 Index Options Market, 10th Conference of the Swiss Society for Financial Market Research, 30-MAR-07 - 30-MAR-07, Zϋrich
• Cummins, M., Pricing Swaptions using the Fast Fourier Transform: Theory and Application, 4th INFINITI Conference on International Finance, 12-JUN-06 - 13-JUN-06, Trinity College Dublin
• Cummins, M., Two-Colour Rainbow Option Pricing using the Fast Fourier Transform, 18th Irish Accounting and Finance Association Annual Conference, 14-APR-05 - 15-APR-05, University of Limerick
• Murphy, B, O'Brien, F., Cummins, M., Distributional Anomalies Implicit in the Prices of FTSE 100 Index Options: An Empirical Investigation of the Leverage Effect and Crashphobia Phenomenon, 17th Irish Economics Association Annual Conference, 01-APR-03 - 03-APR-03, University of Limerick