Publications

  1. Spot Convenience Yield Models for Energy Markets (with R. Carmona)
    AMS Mathematics of Finance, G. Yin & Y. Zhang eds., vol. 351 of Contemporary Mathematics, pp. 65—80, 2004. PDF.

  2. Energy Trading (with R. Carmona),
    SIAM News, July 2006. Reprinted in "Weather, Energy and Environmental Hedging: An Introduction", A.F.C. da Silva (ed.), Icfai University Press, 2007.

  3. Pricing Asset Scheduling Flexibility Using Optimal Switching Agreements" (with R Carmona)
    Applied Mathematical Finance, Special Issue on Commodities, To Appear 2008.
    (formerly circulated under "Optimal Switching with Applications to Energy Tolling") PDF.

  4. Filling the Gap between American and Russian Options: Adjustable Regret (with S. Dayanik),
    Stochastics, 79(1): 61-83     2007. PDF.

  5. Indifference Pricing of Annuities and Pure Endowments under Stochastic Hazard and Interest Rates (with V.R. Young),
    Insurance: Mathematics and Economics, To Appear,     2007. PS.

  6. On Comonotonicity of Pareto Optimal Allocations (with L. Ruschendorf),
    Statistics and Probability Letters, To Appear,     2008, PDF.

  7. Optimal Switching with Applications to Energy Tolling Agreements,
    PhD Thesis, Princeton University, June 2005. PDF.

Submitted

  1. Financial Hedging of Operational Flexibility, Revised October 2007, PDF.

  2. Valuation of Energy Storage: An Optimal Switching Approach (with R Carmona), May 2007. PDF.

  3. Optimal Risk Sharing under Distorted Probabilities with Transaction Costs (with V.R. Young), May 2007, PDF.

  4. Finite Horizon Decision Timing with Partially Observable Poisson Processes (with S. Sezer), July 2007. Available on request

  5. Relative Hedging of Systematic Mortality Risk (with E. Bayraktar), September 2007. PDF.

  6. Sequential Tracking of a Hidden Markov Chain using Point Process Observations (with E. Bayraktar), December 2007 PDF.

Working Papers