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Matthew Thompson

Associate Professor

Overview

Matthew Thompson's research is in real options theory and applications in energy markets. Matthew’s work has gained significant national and international recognition from the operations research community (winner of the best student paper award of the Canadian Operational Research Society and finalist in the prestigious George B. Dantzig Dissertation Award of INFORMS). 

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Academic Area

  • Management Analytics

Interest Topics

Faculty Details

Profile

Full Bio

Matthew Thompson's research is in real options theory and applications in energy markets.

Matthew’s work has gained significant national and international recognition from the operations research community (winner of the best student paper award of the Canadian Operational Research Society and finalist in the prestigious George B. Dantzig Dissertation Award of INFORMS).

His work has appeared in Operations Research and Naval Research Logistics. Matt spent time as a risk management consultant for a power generation firm, and was the Associate Director of Financial Engineering at a major Canadian Investment Bank, where he developed mathematical models for the pricing, hedging and trading of financial derivatives.

Academic Degrees

Ph.D., Applied Mathematics
University of Western Ontario (2003)

MSc., Mathematics
University of Guelph (1999)

HBA., Mathematics
Lakehead University (1997)

Academic Experience

Smith School of Business, Queen's University
Assistant Professor, Management Science (2004 - Present)

Publications

Publications Published or Accepted for Publication

Thompson, M., ”Natural Gas Storage Valuation, Optimization, Market and Credit Risk Management”, Journal of Commodity Markets

Thompson, M., Sept 2014 “Counterparty Credit Risk Pricing and Measurement of Swaption Portfolios” The Journal of Computational Finance 18(1) pp 34-64.

Thompson, M. and Barr, D., December 2014 “Cut-Off Grade: A Real Options Analysis” Resources Policy 42 pp 83-92

Thompson, M., July-August 2013 “Optimal Economic Dispatch and Risk Management of Thermal Power Plants in Deregulated Markets” Operations Research 61(4) pp 791809.

Almassi, A., McCabe, B., Thompson, M., June 2013 “A Real Options Based Approach for Valuation of Government Guarantees in Public-Private-Partnerships” The Journal of Infrastructure Systems 19 (2).

Thompson,M., Davison,M., Rasmussen,H., 2009 “Natural Gas Storage Valuation and Optimization: A Real Options Approach”. Naval Research Logistics 56(30), pp 220238.

Thompson,M., Davison,M., Rasmussen,H., 2004 “Real Options Valuation and Optimal Operation of Electrical Power Plants in Competitive Markets”. Operations Research. 52(4),pp 546-562.

Publications in Progress

Thompson, M., Shiu, E., Levin, Y and Nediak, M. ”Optimal-Efficient Operations Management in the Presence of Liquid Financial Forward Markets”, Under Second Review Management Science.

Teaching

Graduate Student Supervision

  • Ming-Yu Hu MSc. 2016 Smith School of Business
  • Xiaoying Liang. 2016 Smith School of Business
  • Eric Shiu MSc. 2015 Smith School of Business
  • Gordon Gibson MSc. 2013 Queen’s School of Business
  • Andrew Harris MSc. 2012 Queen’s School of Business
  • Ali Naji Almassi Phd. 2010 Department of Civil Engineering, University of Toronto. I was a co-supervisor along with Professor Brenda McCabe and I was granted a temporary status only Assistant Professorship at University of Toronto from Sept 2010 until June 2011.
  • Babak Lotfaliei MSc. 2008. Queen’s School of Business
  • Ali Naji Almassi MSc. 2007. Queen’s School of Business

Graduate Theses Reviewed

  • Drew Barr, MSc 2012, Robert M. Buchan Department of Mining, Queen’s University.
  • Nabeel Butt, PHd. 2012, Department of Applied Mathematics, University of Western Ontario.

Courses Taught

MMA 823 Analytics for Financial Services

Service

Smith School of Business Committee Membership

  • Appointments Committee 2015-2016
  • Under Graduate Curriculum Committee 2014-2015
  • Research Committee 2014-2015
  • Ethics Committee 2011-2012 and 2012-2014
  • Renewal Tenure and Promotion Committee 2010-2011
  • Renewal Tenure and Promotion Committee 2007-2008
  • Faculty Board Appeals and Building Committees 2006-2007
  • Faculty Board Appeals 2005-2006
  • Research Committee and Library Committee 2004-2005

Journal Referee Service

  • European Journal of Operations Research Feb 2015
  • Journal of Economic Dynamics and Control April 2015
  • NSERC Discovery Grant Reviewer Jan 2013
  • Management Science Aug 2012
  •  Operations Research May 2012
  • Informs Journal of Simulation May 2012
  • Operations Research May 2012
  • Management Science Aug 2011
  • European Journal of Finance March 2011