![](3D"2007-11-21_files/image002.jpg")
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Canadian Operational Research Society
Calgary Section
http://www.corscalgary.org/<=
/span>
PROFESSIONAL DEVELOPMENT SEMINAR
When: Noon to 1:30 PM, Wednesday, November 21, 200=
7
Room 217
TransCanada Tower
450 - 1 Street SW
(See attached map)
SPEAKER
Des J. Mc Manus, Ph.D.
Manager, Quantitative Risk Analytics
TransAlta
=
TOPIC
=
Beyond
Black-Scholes: Approaches to Energy Option Pricing
Abstract:
Basic
definitions of call and put options will be reviewed. The standard
Black-Scholes equation will be presented. A number of solution approaches
will be formulated: replicating portfolio, binomial tree, risk-neutral and<=
br>
Monte Carlo approaches. A variety of extensions to standard options that
occur in the energy sector will be discussed: spread options, spark spread<=
br>
options, curtailment options, unit contingent deals, physical tolling
deals, and gas storage.
About the Speaker:
=
Des J=
. Mc Manus
has been Manager, Quantitative Risk Analytics, for TransAlta since May 2005=
.
He re=
ceived a
Ph.D. in Theoretical Physics from the University of Alberta under Prof. Wer=
ner
Israel, FRS in 1991 and an M.Sc. Business (Specializing in Finance) from the
University of British Columbia in 1997.&nb=
sp;
His undergraduate and a first M.Sc. in Mathematical Science were awa=
rded
by University College in Dublin, Ireland.
He ha=
s held a
variety of positions of increasing responsibility at TransAlta since May 20=
02.
Previous to his TransAlta career he held several positions with the Bank of
Canada (Calgary) rising to Principal Researcher, Financial Markets, and a
Postdoctoral Fellowship at Dalhousie University in Halifax.
His publications include Bank of Ca=
nada
working papers and conference papers on interest rate models, information
content of futures options, and foreign exchange intervention, and numerous
publications in prestigious international physics journals.
RECENT VOLUNTEER ACTIVITIES<=
/p>
·
Treasurer, Calgary Blizza=
rds
Soccer Club (current)
·
Assistant Coach for
girls’ premier division soccer team (2006)
·
Biathlon director on Foot=
hills
Nordic Ski Club board (2006)
·
Biathlon timing and resul=
ts
processing (Alberta Winter Games, numerous Provincial and NA events)=
There is no charge for atten=
ding the
meeting. The room is available
until 1:30 PM for those interested in staying afterwards to mingle and meet
other OR practitioners.
Sketch of Location for C=
ORS
Meetings at TransCanada
Tower in Conference Rooms
214 and 217
![](3D"2007-11-21_files/image004.jpg")
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o:p>
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