Refereed 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)

• Alternative Statistical Specifications of Commodity Price Distribution with Fat Tail, Advanced Modeling and Optimization, 4(2) (2002): 1-8. (w/ W. Jiang and Z. Xia)

• Supplier Selection via Tournaments, Production and Operations Management (POM), (forthcoming 2005). (w/ W.J. Elmaghraby)

• Interval Estimation for the Conditional Value-at-Risk Based on GARCH with Heavy Tailed Innovations, Journal of Econometrics, (forthcoming 2005). (w/ N.H. Chan, L. Peng, and Z. Xia)

• 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 (forthcoming 2005). (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)

• Levy Process Driven Mean-reverting Electricity Price Model: a Marginal Distribution Analysis, Decision Support Systems (forthcoming 2005). (w/ W. Jiang)

Working Papers

• Pricing capacity options: A continuous-time model. (2005) (w/ D.J. Wu)
• Pricing and Hedging Power Supply Contracts: the Case with Tolling Agreements. (2004) (w/ Z. Xia)
• Optimal Production Policy Incorporating Financial Incentives from Electricity Supply Risk Management. (2004) (w/ Y. Feng)
• The Inherent Inefficiency of Simultaneously Feasible Financial Transmission Rights Auctions. (2004) (w/ S.S. Oren and A.P. Sakis Meliopoulos)
• Pricing American-style Options with Adaptive Simulation. (2004) (w/ S. Lee)
• Hedging Quantity Risks with Standard Power Options in a Competitive Wholesale Electricity Market. (2005) (w/ Y. Oum and S.S. Oren)
• A Semi-Dynamic Approach for Valuing and Hedging Options on Two Assets with Continuous Payout. (2005)

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Work in Progress

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