Recent Projects

Hi Vince,
I have been working on and/or planning to work on the following projects:
1. Finished a gas daily swing option model for commodity structuring
group (Sanjeev Khanna). The model uses American Monte Carlo
Simulation and dynamic programming techniques.

2. Continue working on PSIM model. This includes reading power generation
and operation books as well as thinking about ways to model power plant and
its operation. The standard approach (i.e. turn the plant on if power
price<total
generation cost, else turn the plant off) is not particularly good if the
regional
demand is very high and the plant still has some un-utilized generation
capacity.
That is, the generation criteria is quite different depending on we model
power
plant from regional point view or from plant point of view. Plan to have
meetings
with Tom and Lance.

3. Started working on stochastic process parameter estimation. I will
concentrate
on four processes: GBM, mean reverting, jump diffusion, and jump diffusion
with
mean reverting. I have looked at Tanya's earlier work and decided to
discretize
the processes slightly differently. It is hoped that this will give a more
stable
estimation.

Best,
Alex