Electricity derivatives and risk management
SJ Deng, SS Oren - Energy, 2006 - Elsevier
Electricity spot prices in the emerging power markets are volatile, a consequence of the
unique physical attributes of electricity production and distribution. Uncontrolled exposure to …
unique physical attributes of electricity production and distribution. Uncontrolled exposure to …
Exotic electricity options and the valuation of electricity generation and transmission assets
SJ Deng, B Johnson, A Sogomonian - Decision support systems, 2001 - Elsevier
We present and apply a methodology for valuing electricity derivatives by constructing
replicating portfolios from electricity futures and the risk-free asset. Futures-based replication is …
replicating portfolios from electricity futures and the risk-free asset. Futures-based replication is …
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
ARCH and GARCH models are widely used to model financial market volatilities in risk
management applications. Considering a GARCH model with heavy-tailed innovations, we …
management applications. Considering a GARCH model with heavy-tailed innovations, we …
Incorporating operational characteristics and start-up costs in option-based valuation of power generation capacity
S Deng, SS Oren - Probability in the Engineering and Informational …, 2003 - cambridge.org
We describe a stochastic dynamic programming approach for “real option”-based valuation
of electricity generation capacity incorporating operational constraints and start-up costs. …
of electricity generation capacity incorporating operational constraints and start-up costs. …
Carbon emission permit price volatility reduction through financial options
We develop a stylized model to investigate the impact of financial options on reducing carbon
permit price volatility under a cap-and-trade system. The existence of an option market …
permit price volatility under a cap-and-trade system. The existence of an option market …
Copper-Catalyzed C-3 Functionalization of Imidazo[1,2-a]pyridines with 3-Indoleacetic Acids
Y Wu, L Li, K Wen, J Deng, J Chen, J Shi… - The Journal of …, 2021 - ACS Publications
A copper-catalyzed C-3 functionalization of imidazo[1,2-a]pyridines with 3-indoleacetic acids
through an aerobic oxidative decarboxylative process has been developed. The protocol …
through an aerobic oxidative decarboxylative process has been developed. The protocol …
Supplier selection via tournaments
SJ Deng, W Elmaghraby - Production and Operations …, 2005 - Wiley Online Library
In this paper, we study the performance of a sourcing mechanism gaining popularity in
industrial procurement environments; a tournament. Under a tournament, a buyer initially …
industrial procurement environments; a tournament. Under a tournament, a buyer initially …
Multi-asset spread option pricing and hedging
M Li, J Zhou, SJ Deng - Quantitative Finance, 2010 - Taylor & Francis
We provide two new closed-form approximation methods for pricing spread options on a
basket of risky assets: the extended Kirk approximation and the second-order boundary …
basket of risky assets: the extended Kirk approximation and the second-order boundary …
Electricity price curve modeling and forecasting by manifold learning
J Chen, SJ Deng, X Huo - IEEE Transactions on Power …, 2008 - ieeexplore.ieee.org
This paper proposes a novel nonparametric approach for the modeling and analysis of
electricity price curves by applying the manifold learning methodology-locally linear embedding (…
electricity price curves by applying the manifold learning methodology-locally linear embedding (…
Mean-risk efficient portfolio analysis of demand response and supply resources
SJ Deng, L Xu - Energy, 2009 - Elsevier
In the restructured electric power utility industry, reducing the risk exposure of profit to the
highly volatile electricity wholesale price and the fluctuating demand of end users is essential …
highly volatile electricity wholesale price and the fluctuating demand of end users is essential …