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
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