Professor
Bryan Routledge (Ph.D. ,University of British Columbia, 1996): My research
applies computational methods to a variety of financial
models. For example,
I have used genetic algorithms and other adaptive processes to
model learning
about gathering and using financial information. I am also
interested in equilibrium
models for commodities like oil, natural gas, and electricity. The
research
project (which is joint with Duane Seppi and Chester Spatt) seeks to link
important physical characteristics like storage and refinement to
prices through
a simple micro-economic equilibrium. The research helps
characterizes properties
of derivative prices like intertemporal features (e.g., backwardation) and
cross-commodity relations (e.g., "Spark Spread"). Modeling the
physical constraints
requires solving dynamic programming problems
computationally. Current research
(with Stanley Zin) is investigating the role of ambiguity or
uncertainty in
derivative pricing. Uncertainty, or the inability to characterize
the stochastic
environment with a single probability measure, has important implications
for market liquidity and the "flight to quality" that is often
observed during
a financial crisis. Finally, my teaching includes a class on
Venture Capital
and Private Equity. In the class we apply Monte Carlo simulation
methods to
help in the valuation of start-up companies.
