Commodity Pricing Models
A Presentation by
2015 Financial Engineer of the Year
Friday, April 28th
3:45 PM - Registration
4:00 PM - Presentation
5:15 PM - Reception
Dr. Eduardo Schwartz will present a brief overview of commodity pricing models with special emphasis on his work over the last three decades. Dr. Schwartz will then introduce his recent research on these models, which aims to address the challenges that practitioners have encountered in the application of traditional models. He will discuss the results of two of his papers in particular, one published last year and the other a working paper.
An expert in various dimensions of asset and securities pricing, Dr. Schwartz’s research is rooted in mathematical modeling of uncertainty and an interest in the stochastic evolution of prices and rates. At various times, he has focused on pricing Internet companies, interest rate models, asset allocation issues, evaluating natural resource investments, the stochastic behavior of commodity prices and valuing patent-protected R&D projects. His collected works include more than 100 articles in finance and economic journals, two monographs, and a large number of monograph chapters, conference proceedings and special reports.
Dr. Schwartz is among the first researchers to develop the real options method of pricing investments under uncertainty. He is co-editor, with Lenos Trigeorgis of the University of Cyprus, on the book Real Options and Investment Under Uncertainty (MIT, 2001), a compilation of recent papers and classic research in the field.
He is the winner of a number of awards for both teaching excellence and for the quality of his published work. He has served as associate editor for more than a dozen journals, including the Journal of Finance, Journal of Financial Economics and Journal of Financial and Quantitative Analysis. He is a former president of the Western Finance Association and the American Finance Association. He is a fellow of the American Finance Association and the Financial Management Association International. He is also a research associate of the National Bureau of Economic Research.
Dr. Schwartz was awarded a Doctor Honoris Causa by the University of Alicante in Spain and by the Copenhagen Business School. He also received the 2000 Graham and Dodd Award for his paper, “Rational Pricing of Internet Companies,” published in the Financial Analysts Journal. He has also been a consultant to governmental agencies, banks, investment banks and industrial corporations. Dr. Schwartz earned a Ph.D in finance and a M.Sc. in Business Administration from the University of British Columbia and a B.Eng. in industrial engineering from the University of Chile.