Michael Coulon - Research
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	Summary: My primary area of research is the application of financial mathematics to the energy and commodity markets. This includes:   Spot and forward price dynamics   Derivative pricing techniques   Spread option pricing and physical asset valuation   Structural models for electricity prices   Environmental markets: renewable energy certificates and carbon emissions   Storable commodities: agriculturals, metals, etc. Papers (Published and Submitted): Mar 2013 (with Javad Khazaei and Warren Powell) SMART-SREC: A Stochastic Model of the New Jersey Solar Renewable Energy Certificate Market, submitted (Mar 2013). Aug 2012 (with Warren Powell and Ronnie Sircar) A Model for Hedging Load and Price Risk in the Texas Electricity Market, submitted (Aug 2012). May 2012 (with Rene Carmona and Daniel Schwarz) The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels, Quantitative Finance, 12(12), p1951-1965 (2012) (available online Dec 2012). Feb 2012 (with Rene Carmona) A Survey of Commodity Markets and Structural Models for Electricity Prices, Quanitative Energy Finance: Modeling, Pricing and Hedging in Energy and Commodity Markets; Proceedings from the special thematic year at the Wolfgang Pauli Institute, Vienna, Editors: F.E. Benth, V. Kholodnyi, P. Laurence (2013). Dec 2011 (with Rene Carmona and Daniel Schwarz) Electricity Price Modeling and Asset Valuation: A Multi-Fuel Structural Approach, Mathematics and Financial Economics, Volume 7(2), 167-202 (2013) (available online at www.springerlink.com, as of Dec 2012) Feb 2009 (with Sam Howison) Stochastic Behaviour of the Electricity Bid Stack: from Fundamental Drivers to Power Prices, The Journal of Energy Markets, Volume 2(1), 29-69 (2009). Upcoming Conference Presentations: May 2013 - Energy Economics and Finance Seminar, Iceland July 2013 - EURO-INFORMS 2013, Rome, Italy Aug 2013 - Workshop on Electricity, Energy and Commodities Risk Management, Fields Institute, Toronto, Canada Recent Conference Presentations (since 2010): Oct 2012 - INFORMS 2012, Phoenix, USA Oct 2012 - Conference on Energy Finance, Trondheim, Norway Sept 2012 - A Special Year on Financial Engineering for Energy and Commodity Risk Management and hedging of Commodity Derivatives, WPI, Vienna, Austria May 2012 - IMA Hot Topics Workshop: The Mathematics of the New Financial Systems, Minneapolis, MN, US (Video of talk available here) Apr 2012 - 7th Oxford - Princeton Conference, Princeton, NJ, US Nov 2011 - INFORMS 2011, Charlotte, US Oct 2011 - 3rd Humboldt - Princeton Conference, Berlin, Germany Oct 2011 - Energy and Finance Conference, Rotterdam, Netherlands July 2011 - ICIAM 2011, Vancouver, Canada July 2011 - Financial Engeineering in Energy and Commodity Markets, Vienna, Austria Nov 2010 - SIAM Financial Mathematics, San Francisco, US July 2010 - SOCCER (Symposium on Challenges in Commodity-Energy Pricing and Revenue Management), Heidelberg, Germany May 2010 - AMS Eastern Sectional Meeting, Newark, USA Apr 2010 - Industrial-Academic Forum on Commodities, energy markets, and emissions trading, Toronto, Canada