Armstrong, Margaret

Position:

Research assosciate at CERNA, MINES ParisTech, 

Professor at Escola de Matematica Aplicada

Research interests:

Real Options; Commodity prices & markets; Multivariate stochastic processes, copulas and credit risk.

Contact 

Emailmargaret.armstrong@ensmp.fr 

Short CV

After completing a Master's degree in mathematical statistics at the University of Queensland in Australia, I moved to France to do a doctorate in geostatistics, i.e. stochastic modelling in the earth sciences.

In October 2001, Alain Galli & I joined the Cerna and formed the Finance group. My current research is focused on three topics:

  • Real option evaluation of projects, especially mines, oil & gas reservoirs & power stations
  • Commodity price models & markets, especially oil & gas & electricity
  • Multivariate stochastic processes, Archimedean copulas & credit risk.

Teaching Activities

My teaching activities at the Ecole des Mines include:

  • the Quantitative Finance option (major) with Alain Galli,
  • the one-week seminar on Project Finance (non-recourse funding) with Alain Galli,
  • the course "Introduction to Market Finance", with Pierre-Noel Giraud and Alain Galli.

Publications

Ouvrages

Armstrong Margaret, Galli Alain, Le Loc'h Gaëlle, Geffroy François, Eschard Rémi, "Plurigaussian Simulations in Geosciences", Berlin, Springer Verlag, 2003.

Armstrong Margaret, Bettini Claudio, Champigny Normand, Galli Alain and Remacre Armando (eds.), "Geostatistics Rio 2000", Proceedings of the Geostatistics Sessions of the 31st International Geological Congress, Rio de Janeiro, Brazil, 6-17 August 2000, Serie Quantitative geology and geostatistics, volume 12, Dordrecht, Holland, Kluwer Academic Publishers, 2002.

Armstrong Margaret, "Basic linear geostatistics", Berlin , Springer Verlag, 1998.

Armstrong Margaret and Jacques Carignan, "Géostatistique linéaire : application au domaine minier", Paris, Presses de l'Ecole des Mines de Paris, 1997.

Armstrong Margaret and P. Dowd, Eds., "Geostatistical Simulations", Proceedings of the Geostatistical Simulation Workshop, Fontainebleau, France, 27-28 May 1993, Serie Quantitative Geology and Geostatistics, volume 7, Dordrecht, Holland, Kluwer Academic Publishers, 1994.

Armstrong Margaret, Ed., "Geostatistics", Proceedings of the 3rd International Geostatistics Congress, Avignon, France, September 5-9, 1988, Serie Quantitative Geology and Geostatistics, volume 4, Dordrecht, Holland, Kluwer Academic Publishers, 1989.

Matheron G. and Armstrong Margaret, Eds., "Geostatistical Case Studies", Serie Quantitative geology and geostatistics, volume 2, Dordrecht, Holland, D. Reidel Publ. Co., 1987.

Participations à ouvrages collectifs

Totouom-Tangho D. & M. Armstrong "Pricing Forward Starting CDOs using Dynamic Copula Processes" in G. N. Gregoriou & P. Ali (eds) Credit Derivatives Handbook: Global Perspectives, Innovations & Market Drivers, pp 259-288 2008

Skvortsova T., Beucher H., Armstrong Margaret, Forkes J., Thwaites A. and Turner R. , "Simulating the Geometry of a Granite-hosted Uranium Orebody", in Armstrong, Bettini, Champigny, Galli and Remacre (eds.), "Rio2000, Proceedings of the Geostats Sessions of the 31IGC", Dordrecht, Holland, Kluwer Academic Publishers, 2002.

Stangler R.L., Strieder A.J., Koppe J.C., Costa J.F. and Armstrong Margaret, "Geostatistical Framework for Modelling Clay Deposits: Nova Veneza Case Study in Southern Brazil", in Armstrong, Bettini, Champigny, Galli and Remacre (eds.), "Rio2000, Proceedings of the Geostats Sessions of the 31IGC", Dordrecht, Holland, Kluwer Academic Publishers, 2002.

Skvortsova T., Armstrong Margaret, Beucher H., Forkes J., Thwaites A. and Turner R. , "Applying plurigaussian simulations to a granite hosted ore-body", in W.J. Kleingeld (ed.), "Geostat2000 - Proceedings of the International Geostatistics Congress", Cape Town, April 2000.

Roth C., Armstrong Margaret, Galli Alain, Le Loc'h G., "Using plurigaussian simulations to reproduce lithofacies with contrasting anisotropies", in Institution of Mining Metallurgy (eds.), "Proceedings of XXVII International APCOM Symposium", London, 1998.

Berckmans A. and Armstrong Margaret, "Geostatistics applied to the Monte Carlo analysis of mining projects", in E.Y. Baafi, N.A. Schofield (eds.), "Geostatistics Wollongong'96", Volume 2, Dordrecht, Holland, Kluwer Academic Publishers, 1997.

Galli Alain and Armstrong Margaret , "Option pricing: estimation versus simulation for Brennan & Schwartz natural resource model", in E.Y. Baafi, N.A. Schofield (eds.), "Geostatistics Wollongong'96", Volume 2, Dordrecht, Holland, Kluwer Academic Publishers, 1997.

Berckmans A., Armstrong Margaret, "Vizualizing QTz curves for the lognormal distribution", in R.V. Ramani (ed.), "26th Proceedings of the Application of Computers and Operations Research in the Mineral Industry", APCOM'96, USA, Society for Mining, Metallurgy, and Exploration, 1996.

Roth C., Armstrong Margaret, "Confidence intervals for local estimation: application to the Witwatersrand basin", in R.V. Ramani (ed.), "26th Proceedings of the Application of Computers and Operations Research in the Mineral Industry", APCOM'96, USA, Society for Mining, Metallurgy, and Exploration, 1996.

Allard D., Armstrong Margaret, Kleingeld W.J., "The break up of recoverable reserves at high cut-offs", in The Australasian Institute of Mining and Metallurgy (ed.), "25th Proceedings of the Application of Computers and Operations Research in the Mineral Industry", Publications Series no 4/95, The Australasian Institute of Mining and Metallurgy, 1995.

Articles (revues académiques à comité de lecture)

Armstrong, Margaret, & Alain Galli, "The Impact of Virtual Power Plants on the Day-Ahead Market in France", Journal of Energy Markets, Vol 3 (1) Spring pp53-71 2010

Prange,M., W.J. Bailey, B. Couet, H. Djikpesse, M. Armstrong, A. Galli & D. Wilkinson, "Valuing Future Information under Uncertainty using Polynomial Chaos", Decision Analysis, Vol 5 N°3, pp140-156 2008

Totouom-Tangho, D. & M. Armstrong, "Dynamic Copula Processes: A new Way of Modelling CDO Tranches",  Advances Econometrics: Econometrics of Risk Management, Vol 22, pp85-102 2008 doi:10.1016/S0731-9053(08)22004-9

Maribu K.M., A. Galli & M. Armstrong, "Valuation of Spark-Spread Options with Mean Reversion and Stochastic Volatility", International Journal of Electronic Business Management, Vol 5, N° 3 pp173-181 2007

Armstrong Margaret, Bailey William and Couët Benoit, "The Option Value of Acquiring Information in an Oilfield Production Enhancement Project", Journal of Applied Corporate Finance, vol. 17, no 2, 2005.

Armstrong Margaret, Galli Alain, Bailey W. and Couët B., "Incorporating Technical Uncertainty in Real Option Valuation of Oil Projects", Journal of Petroleum Sciences and Engineering, vol. 44, nos 1-2, October 2004.

Berckmans A. and Armstrong Margaret, "Geostatistics applied to the financial analysis of mining projects", Journal of Mathematical Geology, Volume 31, no 4, 1999.

Galli Alain, Armstrong Margaret and Jehl B., "Comparison of Three Methods for Evaluating Oil Projects", Journal of Petroleum Technology, October 1999.

Armstrong Margaret, Berckmans A., "QTz curves for two skew distributions", Transactions Section A Ð Mining Technology, Volume 105, Institution of Mining and Mettalurgy, 1996.

Articles (revues spécialisées)

Galli Alain and Armstrong Margaret , "Option pricing: a new approach to valuing mining projects", CIM Bulletin 90, 1009, 1997.

Communications

Armstrong, Margaret, Abdoul Aziz Ndiaye & Alain Galli, "Scenario Reduction in Mining", To be Presented at the IAMG Conference Budapest, August 2010 Abstract

Armstrong, Margaret, & Alain Galli, "Do VPP contracts mitigate market power in France?", To be Presented at the 33rd IAEE International Conference Rio de Janeiro, 6-9 June 2010 Appendix2

Galli Alain & Margaret Armstrong, "CO2 EUAs: Modelling Spot & future Prices", To be Presented at the 33rd IAEE International Conference Rio de Janeiro, 6-9 June 2010Abstract

Armstrong, Margaret "Modelling the impact of VPP option contracts on the day-ahead market in France", Invited conference at IFN Research Institute of Industrial Economics, Stockholm, 12 May 2010

Armstrong, M., & A. Galli, (2009) "The Rapid Evolution of the French Electricity Market from 2002 to 2008", Presented at the IAEE 32nd International Conference San Francisco, 21-24 June 2009

Galli,A., S. Belkas & M. Armstrong (2009) Evaluating an NGCC: Technical versus Real Options, Presented at the IAEE 32nd International Conference San Francisco, 21-24 June 2009

Armstrong, M., A. Galli & A.A. Ndiaye (2009) A Case Study on the Impact of Hedging Against Foreign Exchange Risk and Energy Price Risk, presented at the Project Evaluation Conference organised by the AusIMM in Melbourne, 21-22 April 2009

Armstrong, M., A. Galli, A.A. Ndiaye & D. Lautier (2009) A Reality Check on Hedging Practices in the Mining Industry, presented at the Project Evaluation Conference organised by the AusIMM in Melbourne, 21-22 April 2009

Armstrong, M. & A. Galli (2009) "The Evolution of the French Electricity Market from 2001 to 2008", Invited conference at Winter Energy Seminar Series: “Price and Decision Support Modelling in Electricity Markets”, Dept of Industrial Economics & Technology Management, NTNU Trondheim, 12-13 February 2009

Galli,A., S. Belkas & M. Armstrong (2009) Evaluating an NGCC, Invited conference at Winter Energy Seminar Series: “Price and Decision Support Modelling in Electricity Markets”, Dept of Industrial Economics & Technology Management, NTNU Trondheim, 12-13 February 2009

Galli,A., S. Belkas & M. Armstrong (2008) Evaluating an NGCC: Technical versus Real Options, Invited conference at Real Options in energy Economics, 27-28 October 2008 at the Center for European Economic Research (ZEW), University of Mannheim

Armstrong, M. , A. Kapoor & A. Galli, (2008) "Are buyers overbidding for French VPP? ", Presented at the IAEE 31st International Conference Istanbul, 18-20 June 2008

Armstrong Margaret and Galli Alain, "Empirical Analysis of the Aggregate Offers to Buy or Sell Electricity on the French Day-Ahead Market from 2002 to 2005", International Association for Energy Economics (IAEE) 9th European Conference, Florence, 10-12 June 2007.

Nicholas G. D., Coward S. J., Armstrong Margaret and Galli Alain, "Integrated Mine Evaluation - Implications for Mine Management", International Mine Management Conference, an initiative of The Australian Institute of Mining and Metallurgy in conjunction with the Canadian Institute of Mining, Metallurgy and Petroleum, the South African Institute of Mining and Metallurgy and the Minerals Council of Australia, Melbourne, Australia, 16-18 October 2006.

 Prange M., Armstrong Margaret, Bailey W., Couët B., Djikpesse H., Wilkinson D. and Galli Alain, "Better Valuation of Future Information under Uncertainty", Annual Technical Conference and Exhibition, Society of Petroleum Engineers, San-Antonio, USA, 24-27 September 2006.

Totouom Tangho Daniel and Armstrong Margaret, "Dynamic Copula Processes: A new way of modelling CDO tranches", 5th Annual Advances in Econometrics Conference (to be published in "Advances in Econometrics: Econometrics of Risk Management", Volume 22, 2007) , Baton Rouge, Louisiane, November 3-5 2006.

Armstrong Margaret and Mrabet Sarra, "Analysing the hourly day-ahead prices on APX, EEX and TSO", ETE Workshop on Market Modelling of the Central Western European Electricity Market, Leuven, Belgium, 15-16 september 2005.

Galli Alain, Armstrong Margaret and Marco Antonio G. Dias, "The Value of Information: A Bayesian Real Option Approach", SPE Annual Technical Conference and Exhibition, SPE 90418, Houston, USA, 26-29 September 2004.

Galli Alain, Armstrong Margaret, Gomes de Souza O. and Youki Yokota H., "Valuing Expert Knowledge in Quantitative Models that Incorporates Uncertainty", EAGE 66th Conference and Exhibition, Paris, 7-10 June 2004.

Galli Alain, Armstrong Margaret, Ricardo Cunha Mattos Portella, Olinto Gomes de Souza and Honorio Kouki Yokota, "Stochastic-Aided Design and Bayesian Updating: New Tolls to Use Expert Knowledge in Quantitative Models That Incorporate Uncertainty", SPE Annual Technical Conference and Exhibition, SPE 90414, Houston, USA, 26-29 September 2004.

Armstrong Margaret, Bailey W., Couët B., "Bayesian Updating for Real Options for Oilfield Production Enhancement", 7th Annual International Conference on Real Options, Washington, D.C., July 9-12 2003.

Galli Alain, Armstrong Margaret, Rouveyrollis Nicolas, "Power Market and Models: Convergence?", Presented at "Le printemps de la recherche", EDF, Paris, 20 May 2003.

Armstrong Margaret and Galli Alain , "Copulas", Presented at the SPE ATW "Risk Analysis Applied to Field Development Under Uncertainty", Rio de Janeiro, Brazil, 29-30 August 2002.

Galli Alain and Armstrong Margaret, "Integrating Technical Uncertainty into Real Options", Presented at the SPE ATW "Risk Analysis Applied to Field Development Under Uncertainty", Rio de Janeiro, Brazil, 29-30 August 2002.

Goria Sarah, Armstrong Margaret and Galli Alain, "Using a Bayesian Approach to Incorporate New Information when Estimating Resources", 8th International Association for Mathematical Geology Conference, Berlin, 15-20 September 2002.

Galli Alain, T. Jung, Armstrong Margaret and O. Lhote, "Real Option Evaluation of a Satellite Field in the North Sea", SPE Annual Technical Conference and Exhibition, SPE 71410, New Orleans, USA, 30 September - 3 October 2001.

Goria Sarah, Armstrong Margaret and Galli Alain, "Quantifying the Impact of Additional Drilling on an Openpit Gold Project", International Association for Mathematical Geology Conference, Cancun, Mexico, 6-12 September 2001.

Armstrong Margaret and Galli Alain, "Derivative Based Plurigaussian Simulations", International Association for Mathematical Geology Conference, Trondheim, Norway, 6-11 August 1999.

Galli Alain, Armstrong Margaret and Jehl B., "Comparison of three methods for evaluating oil projects: option pricing, decision trees and Monte Carlo simulations", SPE Hydrocarbon Economics and Evaluation Symposium, Dallas Texas, 20-23 March 1999.

Documents de travail

Totouom Tangho Daniel and Armstrong Margaret, "Dynamic Copulas and Forward Starting Credit Derivatives", Working Paper, February 2007.

Totouom Tangho Daniel and Armstrong Margaret, "Dynamic Copulas Processes: Comparison with Five 1-Factor Models for Pricing CDOs", Working Report, February 2007.

Armstrong Margaret and Galli Alain, "Are day-ahead prices for electricity converging in continental Europe? An exploratory data approach", Working Paper, Cerna, February 2005.

Totouom Tangho Daniel and Armstrong Margaret, "Dynamic Copula Processes: A new way of modelling CDO tranches", Working Paper, November 2005.

Galli Alain and Armstrong Margaret, "Comparing the Spot Prices from Powernext and EEX", Working Paper, Paris, Cerna, May 2003.

Armstrong Margaret and Galli Alain , "Sequential Nongaussian Simulations using the FGM Copula", September 2002.

Etudes

Armstrong Margaret, Mrabet Sarra and Galli Alain, "Analysing the Day-Ahead Prices on APX, EEX & TSO-Auctions", Consortium on Electricity Prices and Energy Derivatives, November 2004.

Travaux diplomants

Armstrong Margaret, "Applications de la géostatistique aux problèmes de l'estimation du charbon", Thèse de Docteur-Ingenieur en Sciences et Techniques Minières, Option Géostatistique, ENSMP, 1980.

 

Margaret Armstrong associate researcher CERNA - MINES ParisTech
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