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Mark Cummins

Dr

Contact Details


Q132

T: Ext. 8827
E: mark.cummins@dcu.ie
Researcher Photo

Biography

Mark Cummins is Professor of Finance at the Dublin City University Business School and Deputy Director of the Irish Institute of Digital Business. He holds a PhD in Quantitative Finance, with specialism in the application of integral transforms and the fast Fourier transform (FFT) for derivatives valuation and risk management.

Professor Cummins has research interests in an array of areas: computational finance; energy and commodity finance; model risk management; behavioural finance; FinTech; and cybersecurity and data breaches. He is keenly interested in the intersection between financial markets and technology, and has been leading, with colleagues, the development of FinTech research capacity within the DCU Business School.

Professor Cummins has produced an extensive collection of research studies focused on modelling issues, spanning model development, model testing, model selection and model risk, overlaid with a particular interest in statistically robust correction techniques for the multiple comparisons bias inherent in multiple hypothesis test settings.

To date, Professor Cummins has over 40 publication outputs. He has published in leading international finance journals such as: Journal of Banking and FinanceJournal of Financial Markets; Journal of Empirical Finance; Journal of International Financial Markets, Institutions and Money; International Review of Financial Analysis; Quantitative Finance; and European Journal of Finance. He has additionally published in highly ranked international field journals such as: Energy Economics; Applied Energy; Energy Policy; Resources Policy; and Land Use Policy

Underscoring his research expertise, Professor Cummins is co-author of the Wiley Finance title Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management (with Andrea Roncoroni and Gianluca Fusai), and  co-editor of the Palgrave title Disrupting Finance: Fintech and Strategy in the 21st Century (with Theo Lynn, John Mooney, and Pierangelo Rosati).


The core strength of Professor Cummins is his ability to build capacity in a chosen domain. In the area of sustainable energy finance, he led the development of a new MSc in Sustainable Energy Finance offering for the DCU Business School, along with a spin off Springboard programme, the Graduate Certificate in Management (Sustainable Energy Finance), targeted at unemployed professionals seeking to skill up in the area of sustainable energy finance. He then proceeded to develop an associated seminar series to faciltate industry networking for graduates of the programmes. He additionally delivered multiple publications in the sustainable energy finance domain, completed a dedicated doctoral candidate with a focus on sentiment effects in emissions markets, and secured Irish Research Council funding under the New Horizons Interdisciplinary Award Scheme (to the value of ~€220,000) to support a research project investigating a real options analysis approach to appraising CO2 recycling technology investment.

More recently, Professor Cummins is developing capacity in the area of FinTech as part of the overall digital business objectives of the DCU Business School. He has been working with colleagues in DCU in the area of FinTech, with publications and ongoing research spanning, amongst others, peer-to-peer business lending, the token economy, open banking, artificial intelligence, and the corporate and market impact of cybersecurity breaches. In terms of outreach, a successful quarterly symposium series entitled ‘Capital Markets and FinTech’ is now moving into its third year.

Professor Cummins has previous industry experience working as a Quantitative Analyst (Model Validation) within the Global Risk Function for BP Oil International Ltd., based in Canary Wharf, London. As part of the Risk Quantitative Analysis team, his primary responsibilities included derivatives and price curve model validation and development, with a global remit across BP's oil, gas, power, commodities and emissions activities. Leveraging this energy market experience, he has achieved an international research reputation, evidenced through: an invitation to join a European consortium seeking H2020 funding for a European Training Network in the area of mathematical modelling and scientific computing for future energy markets; an appointment as Associate Contributor at the Energy and Commodity Finance Centre at ESSEC Business School; an appointment as Associate Editor (Energy Finance and Energy Markets) at Finance Research Letters; and a series of invitations to speak at international conferences and workshops on the topic of model risk.


Selected working papers are available on SSRN. LinkedIn profile is available here

Research Interests

Integral Transforms and the Fast Fourier Transform in Numerical Finance; Energy Modelling, Derivatives, Risk Management and Trading; Sustainable Energy Finance; Model Risk Management and Model Validation.

Books

  Year Publication
2019 Disrupting Finance - Fintech and Strategy in the 21st Century.
Lynn,Theo;Mooney,John;Rosati,Pierangelo;Cummins,Mark (2019) Disrupting Finance - Fintech and Strategy in the 21st Century. London: Palgrave. [DOI] [Details]
2015 Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management.
Roncoroni, A, Fusai, G, Cummins, M (2015) Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management. : Wiley Finance. [Details]
2012 Topics in Numerical Methods for Finance.
Cummins, M., Murphy, F., Miller, J.J.H. (2012) Topics in Numerical Methods for Finance. : Springer Proceedings in Mathematics. [Details]

Book Chapters

  Year Publication
2019 'Addressing Information Asymmetries in Online Peer-to-Peer Lending'
Cummins, M.; Lynn, T.; Mac An Bhaird, C.; Rosati,P. (2019) 'Addressing Information Asymmetries in Online Peer-to-Peer Lending' In: Disrupting Finance - Fintech and Strategy in the 21st Century. London: Palgrave. [Details]
2016 'Quantitative Spread Trading in the Crude Oil and Products Markets'
Cummins, M., Bucca, A. (2016) 'Quantitative Spread Trading in the Crude Oil and Products Markets' In: Commodities, eds., Dempster, M.A.H. and Tang, K. UK: Taylor and Francis. [Details]
2015 'Natural Gas Markets and Products in Roncoroni, A., Fusai, G. and Cummins, M., eds., Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Chichester: Wiley Finance'
Cummins, M. and Murphy, B. (2015) 'Natural Gas Markets and Products in Roncoroni, A., Fusai, G. and Cummins, M., eds., Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Chichester: Wiley Finance' In: [Details]
2015 'Econometric Analysis of Energy and Emissions Markets: Multiple Hypothesis Testing Techniques in Roncoroni, A., Fusai, G. and Cummins, M., eds., Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Chichester: Wiley Finance'
Cummins, M. (2015) 'Econometric Analysis of Energy and Emissions Markets: Multiple Hypothesis Testing Techniques in Roncoroni, A., Fusai, G. and Cummins, M., eds., Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Chichester: Wiley Finance' In: [Details]
2015 'Electricity Markets and Products in Roncoroni, A., Fusai, G. and Cummins, M., eds., Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Chichester: Wiley Finance'
Fiorenzani, S., Murphy, B. and Cummins, M. (2015) 'Electricity Markets and Products in Roncoroni, A., Fusai, G. and Cummins, M., eds., Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Chichester: Wiley Finance' In: [Details]
2015 'Estimating Commodity Term Structure Volatilities in Roncoroni, A., Fusai, G. and Cummins, M., eds., Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Chichester: Wiley Finance'
Roncoroni, A.,Id Brik, R., and Cummins, M. (2015) 'Estimating Commodity Term Structure Volatilities in Roncoroni, A., Fusai, G. and Cummins, M., eds., Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Chichester: Wiley Finance' In: [Details]
2012 'Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-Factor Stochastic Volatility and Jumps'
Charpin, J., Cummins, M. (2012) 'Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-Factor Stochastic Volatility and Jumps' In: Topics in Numerical Methods for Finance. New York: Springer Proceedings in Mathematics. [Details]
2008 'An Efficient Numerical Method for Pricing Interest Rate Swaptions'
Cummins, M.,Murphy, B. (2008) 'An Efficient Numerical Method for Pricing Interest Rate Swaptions' In: Numerical Methods for Finance. Chapman & Hall / CRC, Taylor Francis Group. [Details]

Peer Reviewed Journals

  Year Publication
2019 'Using extracted forward rate term structure information to forecast foreign exchange rates'
Kearney, F., Cummins, M., Murphy, F. (2019) 'Using extracted forward rate term structure information to forecast foreign exchange rates'. Journal of Empirical Finance, 53 :1-14 [DOI] [Details]
2019 'Social Media and Stock Price Reaction to Data Breach Announcements: Evidence from US Listed Companies'
Rosati, P. ;Deeney, P.; Cummins, M.; Van der Werff, L.; Lynn,T. (2019) 'Social Media and Stock Price Reaction to Data Breach Announcements: Evidence from US Listed Companies'. Research in International Business and Finance, 47 :458-469 [DOI] [Details]
2018 'Gas Storage Valuation under Multifactor Lévy Processes'
Cummins, M., Kiely, G., Murphy, B. (2018) 'Gas Storage Valuation under Multifactor Lévy Processes'. Journal of Banking and Finance, 95 :167-184 [DOI] [Details]
2018 'A high-frequency analysis of price resolution and pricing barriers in equities on the adoption of a new currency'
Alexakis, C;Cummins, M;Dowling, M;Pappas, V (2018) 'A high-frequency analysis of price resolution and pricing barriers in equities on the adoption of a new currency'. Applied Economics, 50 :3949-3965 [DOI] [Details]
2018 'The value of director reputation: Evidence from outside director appointments'
Gogolin F.;Cummins M.;Dowling M. (2018) 'The value of director reputation: Evidence from outside director appointments'. Finance Research Letters, 27 :266-272 [DOI] [Details]
2018 'Forecasting implied volatility in foreign exchange markets: A robust functional linear model approach'
Kearney, F., Cummins, M., Murphy, F. (2018) 'Forecasting implied volatility in foreign exchange markets: A robust functional linear model approach'. European Journal of Finance, 24 (1):1-18 [Details]
2017 'Gas storage valuation under Levy processes using the fast Fourier transform'
Cummins, M;Kiely, G;Murphy, B (2017) 'Gas storage valuation under Levy processes using the fast Fourier transform'. Journal Of Energy Markets, 10 :43-86 [DOI] [Details]
2017 'The effect of data breach announcements beyond the stock price: Empirical evidence on market activity'
Rosati, P;Cummins, M;Deeney, P;Gogolin, F;van der Werff, L;Lynn, T (2017) 'The effect of data breach announcements beyond the stock price: Empirical evidence on market activity'. International Review of Financial Analysis, 49 :146-154 [DOI] [Details]
2017 'Individual values and household finances'
Gogolin, F;Dowling, M;Cummins, M (2017) 'Individual values and household finances'. Applied Economics, 49 :3560-3578 [DOI] [Details]
2017 'Psychological price barriers in frontier equities'
Berk, AS;Cummins, M;Dowling, M;Lucey, BM (2017) 'Psychological price barriers in frontier equities'. Journal of International Financial Markets, Institutions and Money, 49 :1-14 [DOI] [Details]
2017 'Determining risk model confidence sets'
Cummins, M;Dowling, M;Esposito, F (2017) 'Determining risk model confidence sets'. Finance Research Letters, 22 :169-174 [DOI] [Details]
2016 'Multiple Hypothesis Testing of Market Risk Forecasting Models'
Esposito, FP;Cummins, M (2016) 'Multiple Hypothesis Testing of Market Risk Forecasting Models'. Journal of Forecasting, 35 :381-399 [DOI] [Details]
2016 'Oil market modelling: A comparative analysis of fundamental and latent factor approaches'
Cummins M.;Dowling M.;Kearney F. (2016) 'Oil market modelling: A comparative analysis of fundamental and latent factor approaches'. International Review of Financial Analysis, 46 :211-218 [DOI] [Details]
2016 'Psychological Barriers in Oil Futures Markets'
Dowling, M., Cummins, M., Lucey, B. (2016) 'Psychological Barriers in Oil Futures Markets'. ENERGY ECONOMICS, 53 :293-304 [DOI] [Details]
2016 'Influences from the European Parliament on EU emissions prices'
Deeney, P., Cummins, M., Dowling, M., Smeaton, A.F. (2016) 'Influences from the European Parliament on EU emissions prices'. ENERGY POLICY, 88 :561-572 [DOI] [Details]
2015 'Behavioral Influences in Non-Ferrous Metals Prices'
Cummins, M., Dowling, M., Lucey, B. (2015) 'Behavioral Influences in Non-Ferrous Metals Prices'. RESOURCES POLICY, 45 :9-22 [DOI] [Details]
2015 'Offshore wind investment under uncertainty (Part II)'
Savage, J., Cummins, M., Charpin, J. (2015) 'Offshore wind investment under uncertainty (Part II)'. ARGO: NEW FRONTIERS IN PRACTICAL RISK MANAGEMENT :7-13 [Details]
2015 'Analyst recommendations and volatility in a rising, falling, and crisis market'
Corbet, S., Dowling, M., Cummins, M. (2015) 'Analyst recommendations and volatility in a rising, falling, and crisis market'. FINANCE RESEARCH LETTERS, 15 :187-194 [Details]
2015 'Offshore wind investment under uncertainty (Part I)'
Savage, J., Cummins, M., Charpin, J. (2015) 'Offshore wind investment under uncertainty (Part I)'. ARGO: NEW FRONTIERS IN PRACTICAL RISK MANAGEMENT :57-66 [Details]
2015 'An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets'
Kearney, F., Murphy, F., Cummins, M. (2015) 'An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets'. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 33 :199-216 [DOI] [Details]
2015 'Sentiment in Oil Markets'
Deeney, P., Cummins, M., Dowling, M., Bermingham, A. (2015) 'Sentiment in Oil Markets'. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 39 :179-185 [DOI] [Details]
2014 'Price Discovery Analysis of Green Equity Indices using Robust Asymmetric Vector Autoregression'
Cummins, M., Garry, O., Kearney, C. (2014) 'Price Discovery Analysis of Green Equity Indices using Robust Asymmetric Vector Autoregression'. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 35 :261-267 [Details]
2014 'Outperformance in exchange traded fund pricing deviations: Generalised control of data snooping bias'
Kearney, F., Cummins, M., Murphy, F. (2014) 'Outperformance in exchange traded fund pricing deviations: Generalised control of data snooping bias'. JOURNAL OF FINANCIAL MARKETS (PRINT), 19 :86-109 [DOI] [Details]
2013 'Trading Oil Spreads: Statistical Arbitrage'
Cummins, M., Bucca, A. (2013) 'Trading Oil Spreads: Statistical Arbitrage'. ARGO: NEW FRONTIERS IN PRACTICAL RISK MANAGEMENT :61-65 [Details]
2013 'Forestry in the Republic of Ireland: Government Policy, Grant Incentives and Carbon Sequestration Value'
O'Donnell, A., Cummins, M., Byrne, K. (2013) 'Forestry in the Republic of Ireland: Government Policy, Grant Incentives and Carbon Sequestration Value'. LAND USE POLICY, 35 :16-23 [Details]
2013 'The link between jet fuel prices, carbon credits and airline firm value'
Murphy, F., Li, N., Murphy B., Cummins, M. (2013) 'The link between jet fuel prices, carbon credits and airline firm value'. JOURNAL OF ENERGY MARKETS, 6 :83-97 [Details]
2013 'EU ETS Market Interactions: The Case for Multiple Hypothesis Testing Approaches'
Cummins, M. (2013) 'EU ETS Market Interactions: The Case for Multiple Hypothesis Testing Approaches'. APPLIED ENERGY, 111 :701-709 [Details]
2013 'Multiple comparisons problem: Recent advances applied to energy and emissions'
Cummins, M. (2013) 'Multiple comparisons problem: Recent advances applied to energy and emissions'. APPLIED ECONOMIC LETTERS, 20 :903-909 [Details]
2012 'Quantitative spread trading in the crude oil and products markets'
Cummins, M., Bucca, A. (2012) 'Quantitative spread trading in the crude oil and products markets'. QUANTITATIVE FINANCE, 12 :1857-1875 [Details]
2011 'Optimal statistical arbitrage: A model specification analysis on ISEQ equity data'
Cummins, M (2011) 'Optimal statistical arbitrage: A model specification analysis on ISEQ equity data'. IRISH ACCOUNTING REVIEW, 17 :21-40 [Details]
2010 'Model specification analysis in the methanol markets'
Cummins, M., Bucca, A., Murphy, B. (2010) 'Model specification analysis in the methanol markets'. JOURNAL OF ENERGY MARKETS, 3 :87-108 [Details]

Conference Contributions

  Year Publication
2015 13th IFINITI Conference on International Finance,
Kearney, F, Cummins, M, Murphy, F (2015) Using extracted forward rate term structure information to forecast foreign exchange rates. 13th IFINITI Conference on International Finance, Ljubljana, Slovenia , 08-JUN-15 - 09-JUN-15 [Details]
2014 The 53rd Meeting of the Euro Working Group on Commodities and Financial Modelling,
Deeney, P, Cummins, M, Dowling, M, Bermingham, A (2014) Sentiment in the EU Emissions Trading Scheme. The 53rd Meeting of the Euro Working Group on Commodities and Financial Modelling, Chania, Crete , 22-MAY-14 - 24-MAY-14 [Details]
2014 12th IFINITI Conference on International Finance,
Kearney, F, Cummins, M, Murphy, F (2014) Forecasting implied volatility in foreign exchange markets: A robust functional linear model approach. 12th IFINITI Conference on International Finance, Prato, Italy , 09-JUN-14 - 10-JUN-14 [Details]
2014 12th INFINITI Conference on International Conference,
Gogolin, F, Dowling, M, Cummins, M (2014) Do you trust sentiment?. 12th INFINITI Conference on International Conference, Prato, Italy , 09-JUN-14 - 10-JUN-14 [Details]
2013 51st Meeting of the European Working Group for Commodities and Financial Modelling,
Lucey, B., Dowling, M., Cummins, M. (2013) Price Clustering or Psychological Barriers in Energy Futures?. 51st Meeting of the European Working Group for Commodities and Financial Modelling, London , 16-MAY-13 - 18-MAY-13 [Details]
2013 62nd Annual Meeting of the Midwest Finance Association,
Lucey, B., Dowling, M., Cummins, M. (2013) Price Clustering or Psychological Barriers in Energy Futures?. 62nd Annual Meeting of the Midwest Finance Association, Chicago , 13-MAR-13 - 16-MAR-13 [Details]
2013 11th INFINITI Conference on International Finance,
Deeney, P., Cummins, M., Dowling, M., Bermingham, A. (2013) NRGi: Building an Energy Sentiment Index. 11th INFINITI Conference on International Finance, Aix-en-Provence, France , 10-JUN-13 - 11-JUN-13 [Details]
2013 51st Meeting of the European Working Group for Commodities and Financial Modelling,
Cummins, M. (2013) EU ETS Market Interactions: The Case for Multiple Hypothesis Testing Approaches. 51st Meeting of the European Working Group for Commodities and Financial Modelling, London , 16-MAY-13 - 18-MAY-13 [Details]
2013 11th INFINITI Conference on International Finance,
Kearney, F., Cummins, M., Murphy, F. (2013) Outperformance in exchange traded fund pricing deviations: Generalised control of data snooping bias. 11th INFINITI Conference on International Finance, Aix-en-Provence, France , 10-JUN-13 - 11-JUN-13 [Details]
2013 51st Meeting of the European Working Group for Commodities and Financial Modelling,
Deeney, P., Cummins, M., Dowling, M., Bermingham, A. (2013) NRGi: Building an Energy Sentiment Index. 51st Meeting of the European Working Group for Commodities and Financial Modelling, London , 16-MAY-13 - 18-MAY-13 [Details]
2013 11th INFINITI Conference on International Finance,
Lucey, B., Dowling, M., Cummins, M. (2013) Price Clustering or Psychological Barriers in Energy Futures?. 11th INFINITI Conference on International Finance, Aix-en-Provence, France , 10-JUN-13 - 11-JUN-13 [Details]
2013 11th INFINITI Conference on International Finance,
Gogolin, F., Dowling, M., Cummins, M. (2013) Socio-economic influences and investor sentiment. 11th INFINITI Conference on International Finance, Aix-en-Provence, France , 10-JUN-13 - 11-JUN-13 [Details]
2011 3rd International Conference on Numerical Methods for Finance,
Cummins, M., Charpin, J. (2011) Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-factor Stochastic Volatility and Jumps. [Conference Organising Committee Member], 3rd International Conference on Numerical Methods for Finance, University of Limerick , 08-JUN-11 - 10-JUN-11 [Details]
2011 9th INFINITI Conference on International Finance,
Cummins, M., O'Shea, P., Lyons, K. (2011) A Unified Analysis of Emissions and Energy Market Interactions across the EU. [Conference Organising Committee Member], 9th INFINITI Conference on International Finance, Trinity College Dublin , 13-JUN-11 - 14-JUN-11 [Details]
2011 Frontiers of Empirical Finance and Macroeconomics Symposium,
Shaw, F., Murphy, F., O'Brien, F., Cummins, M. (2011) The Forecasting Efficacy of the Nelson Siegel Model on European Corporate Credit Default Swaps. [Conference Organising Committee Member], Frontiers of Empirical Finance and Macroeconomics Symposium, University of Limerick , 24-NOV-11 - 24-NOV-11 [Details]
2011 3rd International Conference on Numerical Methods for Finance,
Cummins, M., Murphy, B. (2011) Fast Fourier Transform Pricing of Two-Colour Rainbow Options. [Conference Organising Committee Member], 3rd International Conference on Numerical Methods for Finance, University of Limerick , 08-JUN-11 - 10-JUN-11 [Details]
2011 ESE Energy and Finance Conference,
Murphy, F., Li, N., Murphy, B., Cummins, M. (2011) The Link between Jet Fuel Prices, Certified Emission Reduction Credits and Airline Firm Value. [Conference Organising Committee Member], ESE Energy and Finance Conference, Erasmus Universiteit Rotterdam , 05-OCT-11 - 06-OCT-11 [Details]
2011 1st International Conference on Numerical Methods for Finance,
Cummins, M., Murphy, B. (2011) An Efficient Numerical Method for Pricing Interest Rate Swaptions. [Conference Organising Committee Member], 1st International Conference on Numerical Methods for Finance, Dublin , 07-JUN-11 - 09-JUN-11 [Details]
2011 ESE Energy and Finance Conference,
Li, N., Murphy, B., Murphy, F., Moloney, G., Cummins, M. (2011) Imputing a Market-Consistent Jet Fuel Forward Curve for Aircraft Leasing Risk Management. [Conference Organising Committee Member], ESE Energy and Finance Conference, Erasmus Universiteit Rotterdam , 05-OCT-11 - 06-OCT-11 [Details]
2010 23rd Irish Accounting and Finance Annual Conference,
Cummins, M., Bucca, A. (2010) Synthetic Floating Storage: Application of Statistical Arbitrage. [Conference Organising Committee Member], 23rd Irish Accounting and Finance Annual Conference, University of Ulster , 06-MAY-10 - 07-MAY-10 [Details]
2010 Trading e Controllo del Rischio: Synthetic Floating Storage (Trading and Risk Control: Synthetic Floating Storage),
Bucca, A., Cummins, M. (2010) Trading e Controllo del Rischio: Synthetic Floating Storage (Trading and Risk Control: Synthetic Floating Storage). [Conference Organising Committee Member], Trading e Controllo del Rischio: Synthetic Floating Storage (Trading and Risk Control: Synthetic Floating Storage), Milan , 30-JUN-10 - 30-JUN-10 [Details]
2009 23rd Annual Conference of the Irish Economic Association,
Murphy, B., Frain, J., Cummins, M. (2009) Hedge Fund Performance Attribution Analysis using a Robust Stable-Likelihood Estimator. [Conference Organising Committee Member], 23rd Annual Conference of the Irish Economic Association, Cork , 24-APR-09 - 26-APR-09 [Details]
2008 2nd International Conference on Numerical Methods for Finance,
Murphy, B., Frain, J., Cummins, M. (2008) Evaluating the Trading Styles of Hedge Fund Arbitrageurs. [Conference Organising Committee Member], 2nd International Conference on Numerical Methods for Finance, National College of Ireland , 04-JUN-08 - 06-JUN-08 [Details]
2007 20th Irish Accounting and Finance Annual Conference,
Cummins, M., Murphy, B. (2007) Stochastic Volatility and Jump Effects: Evidence from the S&P 500 Index Options Market. [Conference Organising Committee Member], 20th Irish Accounting and Finance Annual Conference, Institute of Technology Tralee , 10-MAY-07 - 11-MAY-07 [Details]
2007 10th Conference of the Swiss Society for Financial Market Research,
Cummins, M., Murphy, B. (2007) Testing Alternative Affine Jump-Diffusion Models in the S&P 500 Index Options Market. [Conference Organising Committee Member], 10th Conference of the Swiss Society for Financial Market Research, Zϋrich , 30-MAR-07 - 30-MAR-07 [Details]
2006 4th INFINITI Conference on International Finance,
Cummins, M. (2006) Pricing Swaptions using the Fast Fourier Transform: Theory and Application. [Conference Organising Committee Member], 4th INFINITI Conference on International Finance, Trinity College Dublin , 12-JUN-06 - 13-JUN-06 [Details]
2005 18th Irish Accounting and Finance Association Annual Conference,
Cummins, M. (2005) Two-Colour Rainbow Option Pricing using the Fast Fourier Transform. [Conference Organising Committee Member], 18th Irish Accounting and Finance Association Annual Conference, University of Limerick , 14-APR-05 - 15-APR-05 [Details]
2003 17th Irish Economics Association Annual Conference,
Murphy, B, O'Brien, F., Cummins, M. (2003) Distributional Anomalies Implicit in the Prices of FTSE 100 Index Options: An Empirical Investigation of the Leverage Effect and Crashphobia Phenomenon. [Conference Organising Committee Member], 17th Irish Economics Association Annual Conference, University of Limerick , 01-APR-03 - 03-APR-03 [Details]

Book Review

  Year Publication
2016 Model Risk in Financial Markets. QUANTITATIVE FINANCE, forthcoming.
Cummins, M., McCullagh, O., Murhpy, B. (2016) Model Risk in Financial Markets. QUANTITATIVE FINANCE, forthcoming. Book Review [Details]

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