Bernard Murphy is Director of the MSc in Computational Finance programme in the University of Limerick. He holds a PhD in Quantitative Finance from the FORC (Financial Options Research Centre) at Warwick Business School.
Bernard has research interests in the areas of computational finance; energy and commodity finance; model risk management; hedge fund performance attribution analysis. He has published in leading international finance journals and was a contributing author to the Wiley Finance title Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management (Editors Andrea Roncoroni, Gianluca Fusai and Mark Cummins).
Bernard has a particular interest in advocating a learning-by-doing approach to Finance education, and is well known for his leadership role in creating the first campus-based trading floor in an Irish University in the University of Limerick.
Bernard has previous industry experience working as a Senior Quantitative Analyst within the Financial Engineering Group in BP, and has worked as an engineer in the oil and gas exploration industry in the UK North Sea and internationally.
Bernard is an experienced PhD supervisor and has successfully supervised to date three PhD supervisees.
This paper presents the modeling benefits of using Lévy processes and the fast Fourier transform (FFT) in the valuation of gas storage assets and, from a practitioner’s perspective, in creating market-consistent valuations and hedging portfolios.