Jessica McGillivray

University of Calgary

Jessica is in her final year of her PhD in mathematical finance at the Department of Mathematics and Statistics in the University of Calgary, Calgary, Canada. She received her B.Sc. in applied mathematics and her M.Sc. in mathematical finance at the same institution. Her research areas of interest are primarily asset modelling, energy markets, renewables, stochastic volatility models, and machine learning. Jessica is ambitious and open-minded, excited to explore and grow in more areas of mathematical finance in both industry and academia. She has given numerous seminars about her research locally as well as internationally. Jessica has won several awards for her teaching and academic performance.

Articles by Jessica McGillivray

Original research

The variance-Hawkes process and its application to energy markets

The authors put forward a new model using as a Hawkes process as a subordinator in a standard Brownian motion which is applies to TWI crude oil and NYMEX natural gas futures.

09 Jul 2026

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