Energy and Carbon Markets
Financial Engineering
People
Research
Publications
Acknowledgement
Graduate Students:
Li Xu
Jieyun Zhou
Research
Our current research focuses on:
- Financial Engineering Applications in Energy Commodity Markets
- Energy Risk Management and Asset Valuation
- Transmission Pricing in Electric Power Systems
- Biomass Futures
- Carbon Markets and Trading
Publications
Priority Network Access Pricing for Electric Power, Journal
of Regulatory Economics, 19(3) July 2001: 239-270. (w/ S.S. Oren)
Exotic Electricity Options and the Valuation of Electricity Generation and
Transmission Assets, Decision Support Systems (30)3 (2001) pp. 383-392. (w/ B.
Johnson and A. Sogomonian)
Incorporating Operational Characteristics and Startup Costs in Option-Based
Valuation of Power Generation Capacity, Probability in the Engineering and
Informational Sciences (PEIS), 17 (2) (2003), pp.155-181. (w/ S.S. Oren)
Quantile-Based Probabilistic Models with an Application in Modelling
Electricity Prices, Modelling Prices in Competitive Electricity Markets, D.
Bunn (editor), John Wiley & Sons, Inc, (2004), chapter 7, 161-176. (w/ W. Jiang)
Supplier Selection via Tournaments, Production and Operations Management (POM), (2005). (w/ W.J. Elmaghraby)
Valuation of Investment and the Opportunity to
Invest in Power Generation Assets with Spikes in Power Prices, Managerial
Finance, 31 (6) (2005), 95-115.
Impact of Market Uncertainty on Congestion Revenue Right Valuation, Journal of
Energy Engineering, (August 2005). (w/ H. Sun, and A.P. Meliopoulos)
Electricity Derivatives and Risk Management, Energy, The International Journal (2006). (w/ S.S. Oren)
Hedging Quantity Risks with Standard Power Options in a Competitive Wholesale Electricity Market, Naval Research Logistics, (2006). (w/ Y. Oum, and S.S. Oren)
A Real Options Approach for Pricing Electricity Tolling Agreements, International Journal of Information Technology & Decision Making, (2006). (w/ Z. Xia)
Interval Estimation for the Conditional Value-at-Risk Based
on GARCH with Heavy Tailed Innovations, Journal of Econometrics, (2007). (w/
N.H. Chan, L. Peng, and Z. Xia)
Electricity Price Curve Modeling and Forecasting by Manifold Learning, IEEE
Transactions on Power Systems, (2008). (w/ J. Chen, and X. Huo)
Acknowledgement
This research has been supported in part by National Science Foundation and the Power System Engineering Research Center (PSerc).