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Bernard Murphy

Research Interests

Quantitative & Empirical Finance
Energy Finance and Energy Derivative Markets
Aviation Finance

Professional Activities

Award

  • 2005 - Centre for Teaching & Learning Award of Eur 10,000
  • 2000 - Visiting Scholar UTS Sydney (Quantitative Finance Group)

Education

  • 2000 FORC, Warwick Business School - PhD
  • 1994 University College Dublin - M.A.
  • 1988 Boston University - Master of Business Administration
  • 1980 UCD - Bachelor of Engineering

Consultancy

  • 1998 Sungard - Development of proprietary energy trading and risk-management trading software models (Monis/Sungard)
  • Intuition Publishing Limited - Development of Interest Rate Derivatives Trading Simulator (Intuition, Bank of America)
  • ESB / Electric Ireland "Future Trading Programme" - Member of International Panel of Expert Advisors to Electric Ireland Future Trading Programme
  • Goodbody Stockbrokers - Diploma in Wealth Management

Employment

  • 1992 ESB International - Energy Economic Analyst
  • 1990 Marathon Oil UK - Project Economist
  • 1980 Dowell Schlumberger; BJ Hughes - Oilfield Services Engineer

Disclosure

  • A User Interface for Inverse Indexed Aviation Leases (EI IP-2010-0062)

Committee

  • Strategic Task Force - Income Generation Committee,
  • KBS Doctoral Programme Applications Committee,
  • KBS Post-Graduate Course Directors Committee,
  • BSc Energy Course Board,
  • MSc Computational Finance Course Board,
  • MSc Financial Services Course Board,
  • BSc Financial Mathematics,

Other

  • Participant in 2012 Research & Knowledge Transfer Programme

Publications

Book Chapters

2015

Natural Gas Markets and Products
Cummins, C; Murphy, B
(2015) Natural Gas Markets and Products
In Handbook of Multi-Commodity Markets and Products; UK : Wiley Finance Series pp. 135-180

2015

Electricity Markets and Products
Fiorenzani, S; Murphy, B; Cummins, M
(2015) Electricity Markets and Products
In Handbook of Multi-Commodity Markets and Products; UK : Wiley Finance Series pp. 181-222

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 in Finance; USA : Chapman & Hall/CRC Financial Mathematics Series

Peer Reviewed Journals

2015

Electricity Markets and Products
Fiorenzani, S,Murphy, B,Cummins, M,Roncoroni, A,Fusai, G,Cummins, M
(2015) Electricity Markets and Products
In Handbook Of Multi-Commodity Markets And Products: Structuring, Trading And Risk Management; pp. 181-222

2015

Natural Gas Markets and Products
Murphy, B,Roncoroni, A,Fusai, G,Cummins, M
(2015) Natural Gas Markets and Products
In Handbook Of Multi-Commodity Markets And Products: Structuring, Trading And Risk Management; pp. 135-180

2013

The link between jet fuel prices, carbon credits and airline firm value
Murphy, F., Li, N., Murphy, B. M., and Cummins, M.
(2013) The link between jet fuel prices, carbon credits and airline firm value
In Journal of Energy Markets; London : pp. 83-97

2011

Model specification analysis in the methanol markets (Risk Journals : The Journal of Energy Markets)
Cummins, M., Bucca, A., Murphy, B.
(2011) Model specification analysis in the methanol markets (Risk Journals : The Journal of Energy Markets)
In Risk;

2010

Implied Risks from the Credit Curve – Evidence from European Credit Derivatives
Murphy, F; Murphy, B
(2010) Implied Risks from the Credit Curve – Evidence from European Credit Derivatives
In Journal of Business & Policy Research; pp. 69-79

2010

The Drivers of European Credit Spread Changes
Murphy, F; Murphy, B
(2010) The Drivers of European Credit Spread Changes
In International Review of Business Research Papers; pp. 83-93

2010

A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets
Murphy F., Murphy B.
(2010) A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets
In Journal Of Economics And Finance; pp. 1-20
DOI: 10.1007/s12197-010-9122-2

2008

An Efficient Numerical Method for Pricing Interest Rate Swaptions
Cummins, M,Murphy, B,Appleby, JAD,Edelman, DC,Miller, JJH
(2008) An Efficient Numerical Method for Pricing Interest Rate Swaptions
In Numerical Methods For Finance; pp. 113-147

2001

Jumps versus Stochastic Volatility in Electricity Spot Price Behaviour (Energy Power & Risk Management)
Murphy, B
(2001) Jumps versus Stochastic Volatility in Electricity Spot Price Behaviour (Energy Power & Risk Management)
In Risk;

Other Journals

2010

Implied Risks from the Credit Curve - Evidence from European Credit Derivatives
Murphy, F., Murphy, B.
(2010) Implied Risks from the Credit Curve - Evidence from European Credit Derivatives
In Journal of Business & Policy Research;

2010

The Drivers of European Credit Spread Changes
Murphy, B., Murphy, B.
(2010) The Drivers of European Credit Spread Changes
In International Review of Business Research Papers;

Conference Publications

2011

Energy & Finance Conference
Murphy F; Na, L; Murphy, B; Moloney, G; Cummins, M
(2011) Energy & Finance Conference
Rotterdam

2010

12th International Business Research Conference
Murphy, F; Murphy B
(2010) 12th International Business Research Conference
Dubai

2010

12th International Business Research Conference
Murphy, F; Murphy, B
(2010) 12th International Business Research Conference
Dubai

2009

23rd Annual Conference of the Irish Economic Association
Murphy, B., J. Frain, and M. Cummins
(2009) 23rd Annual Conference of the Irish Economic Association

2009

Irish Economics Association Conference
Murphy.B; Murphy.F
(2009) Irish Economics Association Conference

2009

Irish Economics Association Conference
Murphy.B; Frain.J; Cummins.M
(2009) Irish Economics Association Conference

2009

INFINITI Conference on International Finance
Murphy.B; Murphy.F
(2009) INFINITI Conference on International Finance

2009

The 23rd Annual Conference of the Irish Economic Association
Murphy, F; Murphy, B
(2009) The 23rd Annual Conference of the Irish Economic Association
Cork

2008

11th Conference of the Swiss Society for Financial Market Research
Cummins.M; Murphy.B
(2008) 11th Conference of the Swiss Society for Financial Market Research

2008

International Conference on Numerical Methods for Finance
Murphy.B; Cummins.M; Frain.J
(2008) International Conference on Numerical Methods for Finance

2008

American Mid-West Finance Association
Murphy.B; Cummins.M
(2008) American Mid-West Finance Association

2008

Financial Mathematics Seminar Series
Murphy.B
(2008) Financial Mathematics Seminar Series

2006

International Numerical Methdods in Finance Conference
Cummins.C; Murphy.B
(2006) International Numerical Methdods in Finance Conference
John Appleby, Dublin City University David Edelman, University College Dublin John Miller, INCA(Ed.)

2006

Centre for Financial Markets Research Seminar Series
Cummins.M; Murphy.B
(2006) Centre for Financial Markets Research Seminar Series

2003

Irish Economics Association Conference
Murphy.B
(2003) Irish Economics Association Conference

2003

17th Irish Economic Association Conference
Murphy, B., O Brien, F. and Cummins, M.
(2003) 17th Irish Economic Association Conference
*(Ed.) pp. *-*

2003

17th Irish Economics Association Annual Conference
Murphy, B., F. O'Brien, and M. Cummins
(2003) 17th Irish Economics Association Annual Conference
*(Ed.) pp. *-*

1999

Irish Accounting & Finance Conference
Murphy.B
(1999) Irish Accounting & Finance Conference

Conference Contributions

2017

Commodity and Energy Markets 2017
Greg Kiely, Mark Cummins and Bernard Murphy
(2017) Commodity and Energy Markets 2017
University of Oxford

2016

ECOMFIN2016: ENERGY & COMMODITY FINANCE CONFERENCE
Cummins, M., Kiely, G. and Murphy, B.
(2016) ECOMFIN2016: ENERGY & COMMODITY FINANCE CONFERENCE
ESSEC Business School Paris

2016

ECOMFIN2016: ENERGY & COMMODITY FINANCE CONFERENCE
Cummins, M., Kiely, G. and Murphy, B.
(2016) ECOMFIN2016: ENERGY & COMMODITY FINANCE CONFERENCE
ESSEC Business School Paris, 2016.



Other Publications

2012

An application of the local volatility & SABR stochastic volatility models to the skew-consistent pricing of vanilla and exotic options embedded in structured aviation leases and jet fuel hedges
Murphy, B., Moloney. G.
(2012) An application of the local volatility & SABR stochastic volatility models to the skew-consistent pricing of vanilla and exotic options embedded in structured aviation leases and jet fuel hedges

2011

A Comparative Analysis of Decision Support Tools and Stochastic Models used in Gas Storage Valuation and Derivatives Trading Strategies
Murphy, B., Cummins, M.
(2011) A Comparative Analysis of Decision Support Tools and Stochastic Models used in Gas Storage Valuation and Derivatives Trading Strategies

2002

On the Time-Series and Implicit Distributional Characteristics of Energy Derivative Prices in Incomplete Markets
Murphy, B
(2002) On the Time-Series and Implicit Distributional Characteristics of Energy Derivative Prices in Incomplete Markets
University of Warwick : University of Warwick