News Releases
TORONTO, February 7, 2011 – Zhenyu Cui, a Ph.D. student in the Department of Statistics and Actuarial Science at the University of Waterloo, and James Marshall, a Ph.D. student in the Department of Applied Mathematics at the University of Western Ontario are this year's recipients of the annual BMO Capital Markets Advanced Research Scholarship.
The scholarship program, now in its third year, was launched to advance research in capital markets. Academics and Ph.D. level candidates in mathematics, finance or similar areas were invited to submit research proposals on specific topics, including advanced pricing theory; advanced risk management techniques; advanced trading strategies relating to derivative markets; and market microstructure and trade execution.
Mr. Cui and Mr. Marshall will each receive a $10,000 honorarium for their research. Mr. Cui's research was entitled “Exact Simulation of Option Prices in General Stochastic Volatility Models,” and deals with improved algorithms for pricing and hedging of various derivatives, including options on realized variance. Mr. Marshall's work, entitled “Monte Carlo Methods for Swing Options” focuses on the development of MC algorithms for swing options that extend the stochastic tree and stochastic mesh methods for valuing American-style options.
“We again had many excellent submissions this year and felt that because their work was complementary, both candidates deserved recognition. As such, Messrs. Cui and Marshall will share the $20,000 scholarship,” said Patrick Cronin, Executive Managing Director and Head of Financial Products and Debt Products, BMO Capital Markets. “This scholarship award highlights BMO's commitment to education and the importance of supporting advanced research at Canada's universities.”
Mr. Cui is currently a 1st year Ph.D. student in the department of Statistics and Actuarial Science at The University of Waterloo. He graduated with B.Sc. in Actuarial Science with 1st class honours from the University of Hong Kong in 2005. He continued his education and graduated with a M.A. in Quantitative Finance from the University of Waterloo in 2010.
Mr. Marshall is a second year Ph.D. student in the Scientific Computing Program in the department of Applied Mathematics at the University of Western Ontario. He graduated with a B.Sc. in Mathematics and Physics from the University of New Brunswick in 2005 and received his M.Sc. in Applied Mathematics in 2007 from the University of Western Ontario.
About the BMO Capital Markets Advanced Research Scholarship
The scholarship program, now in its third year, was launched to advance research in capital markets. Academics and Ph.D. level candidates in mathematics, finance or similar areas were invited to submit research proposals on specific topics, including advanced pricing theory; advanced risk management techniques; advanced trading strategies relating to derivative markets; and market microstructure and trade execution. The award committee was made up of five quantitative analysts for BMO Capital Markets, who all hold Ph.D. degrees. To learn more about the Advanced Research Scholarship program and how to apply, visit http://www.bmocm.com/aboutus/scholarship/default.aspx.
About BMO Capital Markets Support for Education
The Advanced Research Scholarship is part of BMO Capital Markets commitment to helping provide access to education. The firm also champions Equity Through Education�, an annual charitable initiative launched in 2005 which directs the equivalent of one day's institutional equity trading commissions to a series of charitable organizations that provide educational opportunities to deserving students. Since its inception, Equity Through Education has raised a total of CAD$9.6 million (US$8.9 million) dollars, assisting more than 2,000 individuals across North America who have directly benefited through scholarships, bursaries and other educational programs.
About BMO Capital Markets
BMO Capital Markets is a leading, full-service North American financial services provider, with over 2,200 employees operating in 14 North American offices and 27 worldwide, offering corporate, institutional and government clients access to a complete range of investment and corporate banking products and services. BMO Capital Markets is a member of BMO Financial Group (NYSE, TSX: BMO), one of the largest diversified financial services providers in North America with US $359 billion total assets and more than 36,000 employees as at October 31, 2009.
- 30 -
For news media inquiries, please contact:
Toronto, 416-867-3996
Internet: www.bmocm.com
From left-to-right: Dmitri Rubisov, Director, Financial Products, BMO Capital Markets, Advanced Research Scholarship recipients James Marshall and Zhenyu Cui, and Patrick Cronin, Executive Managing Director & Head of Financial Products, BMO Capital Markets.