Grant: Discovery Grants Program - Individual

This NSERC discovery grant proposes several inter-related projects, each suitable for a graduate student or postdoctoral trainee, continuing my research work at the intersection of financial mathematics, operational research, and mathematical modelling. This research program arises from the well-known ""Real Options"" observation that many real decisions are made i) under uncertainty and ii) in ways which allow all or part of the decision to be postponed or modified. Many financial decisions arising in the fund management and energy industries as well as certain non-financial decisions encountered by military and health-care practitioners share this form. In applied areas much mathematical modelling is often required in order to identify the option-like features of a problem. Each project described in this proposal relates either to: 1) the development of mathematical and computational tools for valuing and best using these options or 2) the mathematical modelling of a particular application area designed to expose such options for analysis either with the special techniques developed here or by more standard techniques. Green energy systems comprising hydro-electric, wind power, and ethanol production will be analyzed and optimized, realistic investment portfolios will be optimized and characterized, and problems drawn from military operational research and radiation therapy will be considered. Application areas will always be studied in conjunction with field experts, where possible those with relevant experience as practitioners.