Book

Book cover
Commodities, Energy, and Environmental Finance

R. Aid, M. Ludkovski, R. Sircar (Eds)
Fields Institute Communications, vol 74
Springer Verlag, 2015
ISBN 978-1493927326

Available from Springer and Amazon

Preprints

  1. Probabilistic Spatiotemporal Modeling of Day-Ahead Wind Power Generation with Input-Warped Gaussian Processes (with Q. Li), 2024 arxiv

  2. Extreme Scenario Selection in Day-Ahead Power Grid Operational Planning (with G. Terren-Serrano), 2023 arxiv

  3. Analyzing State-Level Longevity Trends with the U.S. Mortality Database (with D. Padilla), 2023 arxiv and interactive Shiny App

  4. Large Scale Probabilistic Simulation of Renewables Production (with G. Swindle and E. Grannan), 2022 arxiv

  5. Stochastic Switching Games (with L. Li), 2018 arxiv

  6. Mean Field Game Approach to Production and Exploration of Exhaustible Commodities (with X. Yang), 2017 arxiv

Articles

  1. Least-Cost Structuring of 24/7 Carbon-Free Electricity Procurements (with S. Mouti and G. Swindle), 2024
    Proceedings of the 2024 IEEE PES GM (Power Engineering Society General Meeting). arxiv and Proceedings link.

  2. Expressive Mortality Models through Gaussian Process Kernels (with J. Risk)
    ASTIN Bulletin , 54(2), pp. 327 - 359, 2024. arxiv and Journal Link.

  3. On Parametric Optimal Execution and Machine Learning Surrogates (with T. Chen and M. Voss), 2023
    Quantitative Finance, online First. arxiv and Journal Link . Corresponding reproducible Jupyter notebook is at Github

  4. mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms
    Journal of Computational Finance, 17(1), pp. 59-109, 2023. arxiv and Journal link. Also here. Corresponding R library is publicly available on GitHub

  5. Statistical Machine Learning for Quantitative Finance
    Annual Review of Statistics and its Application, 10, 271-295, 2023 Journal Link

  6. Joint Models for Cause-of-Death Mortality in Multiple Populations (with N. Huynh)
    Annals of Actuarial Science, 18(1), pp. 51-77, 2024. arxiv and Journal Link

  7. Regression Monte Carlo for Impulse Control
    MathematicS in Action, 11 (1), 73-90, 2022 arxiv and Journal Link

  8. Large-scale local surrogate modeling of stochastic simulation experiments (with A. Cole and R. Gramacy)
    Computational Statistics and Data Analysis, 174, article 107537, 2022. arxiv and Journal Link

  9. KrigHedge: Gaussian Process Surrogates for Delta Hedging (with Y. Saporito)
    Applied Mathematical Finance, 28 (4), 330-360, 2022. arxiv and Journal Link and a short non-technical expose on Medium

  10. Adaptive Batching for Gaussian Process Surrogates with Application in Noisy Level Set Estimation (with X. Lyu)
    Statistical Analysis and Data Mining, 15 (2), 225-246, 2022. arxiv and Journal Link

  11. A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging (with T. Chen)
    SIAM Journal on Financial Mathematics, 12 (3), 1226-1256, 2021. arxiv and Journal Link

  12. Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation (with X. Lyu and M. Binois)
    Statistics and Computing, 31, Article 43, 2021. Journal link (Open Access) and arxiv

  13. Multi-Output Gaussian Processes for Multi-Population Longevity Modeling (with N. Huynh)
    Annals of Actuarial Science, 15 (2), 318-345, 2021. arxiv and Journal Link

  14. An Impulse-Regime Switching Game Model of Vertical Competition (with R. Aid, L. Campi and L. Li)
    Dynamic Games and Applications, 11, 631-669, 2021. arxiv and Journal Link

  15. Statistical Learning for Probability-Constrained Stochastic Optimal Control (with A. Balata, A. Maheshwari and J. Palczewski)
    European Journal of Operational Research, 290 (2), 640-656, 2021. Journal Link and arxiv

  16. Gaussian Process Models for Incremental Loss Ratios (with H. Zail)
    Variance 15 (1), 2022. Journal Link

  17. The Effect of Rate Design on Power Distribution Reliability Considering Adoption of Distributed Energy Sources (with M. Heleno and A. Maheshwari)
    Applied Energy, vol. 268, June 15 2020, article 114964, 2020. Journal Link

  18. Probabilistic Bisection with Spatial Metamodels (with S. Rodriguez)
    European Journal of Operational Research, 286 (2), 588-603, 2020. arxiv and Journal Link

  19. Multi-Population Longevity Models: a Spatial Random Field Approach (with N. Huynh and H. Zail)
    2020 Living to 100 Monograph, Society of Actuaries, 2020. Proceedings Link

  20. Dynamic Contagion in a Banking System with Births and Defaults (with T. Ichiba and A. Sarantsev)
    Annals of Finance, 15, 489-538, 2019. arxiv and Journal Link

  21. Generalized Probabilistic Bisection for Stochastic Root-Finding (with S. Rodriguez)
    ACM TOMACS (Transactions on Modeling and Computer Simulation), 30(1), article no. 2, 2020. arxiv and Journal Link

  22. Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective (with A. Maheshwari)
    Energy Systems, 11, 377-415, 2020 arxiv and Journal Link

  23. Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement (with J. Risk)
    SIAM Journal on Financial Mathematics, 9(4), 1137-1174, 2018. arxiv and Journal Link

  24. Order Flows and Limit Order Book Resiliency on the Meso-Scale (with K. Bechler)
    Market Microstructure and Liquidity, 3, No. 03n04, 1850006, 2017. arxiv and Journal Link

  25. Replication or Exploration? Sequential Design for Stochastic Simulation Experiments (with M. Binois and J. Huang and R. Gramacy)
    Technometrics, 61(1), 7-23, 2019. arxiv and Journal Link

  26. Practical Heteroskedastic Gaussian Process Modeling for Large Simulation Experiments (with M. Binois and R. Gramacy)
    Journal of Computational and Graphical Statistics, 27(4), 808-821, 2018. arxiv and Journal link

  27. Gaussian Process Models for Mortality Rates and Improvement Factors (with J. Risk and H. Zail)
    ASTIN Bulletin, 48(3), 1307-1347, 2018. arxiv and Journal Link

  28. Capacity Expansion Games with Application to Competition in Power Generation Investments (with R. Aid and L. Li)
    Journal of Economic Dynamics and Control, 84, 1-31, 2017. ssrn and Journal Link

  29. Kriging Metamodels and Experimental Design for Bermudan Option Pricing
    Journal of Computational Finance, 22(1), 37-77, 2018. arxiv and Journal link

  30. Detection and Identification in the Wiener Disorder Problem with Post-Change Drift Uncertainty (with O. Hadjiliadis and H. Yang)
    Stochastics, 89(3-4), 654-685, 2017. Journal Link

  31. Sequential Design for Ranking Response Surfaces (with R. Hu)
    SIAM/ASA Journal on Uncertainty Quantification, 5(1), 212-239, 2017. arxiv and Journal Link.

  32. Technology Ladders and R&D in Dynamic Cournot Markets (with R. Sircar)
    Journal of Economic Dynamics and Control, 69, 127-151, 2016. ssrn and Journal Link.

  33. Statistical Emulators for Pricing and Hedging Longevity Risk Products (with J. Risk)
    Insurance: Mathematics and Economics, 68, 45-60, 2016. arxiv and Journal Link.

  34. Optimal Execution with Dynamic Order Flow Imbalance (with K. Bechler)
    SIAM Journal on Financial Mathematics, 6(1), 1123-1151, 2015. arxiv and Journal Link.

  35. Stochastic Optimal Coordination of Small UAVs for Target Tracking Using Regression-Based Dynamic Programming (with J. Hespanha and S. Quintero)
    Journal of Intelligent and Robotic Systems, 82(1), 135-162, 2016. PDF and Journal Link.

  36. Sequential Design for Optimal Stopping Problems (with R. Gramacy)
    SIAM Journal on Financial Mathematics, 6(1), 748-775, 2015. arxiv and Journal Link.

  37. Testing Alternative Regression Frameworks for Predictive Modeling of Healthcare Costs (with I. Duncan and M. Loginov)
    North American Actuarial Journal, 20(1), 1-23, 2016. ssrn and Journal Link.

  38. Game Theoretic Models for Energy Production (with R. Sircar)
    Commodities, Energy and Environmental Finance Fields Institute Comunications Series, R. Aid et al., eds., Springer, pp. 317-334, 2015. ssrn and Book link

  39. Dynamic Cournot Models for Production of Exhaustible Commodities under Stochastic Demand (with X. Yang)
    Commodities, Energy and Environmental Finance, Fields Institute Communications Series, R. Aid et al., eds., Springer, pp. 371-396, 2015. ssrn and Book link

  40. Sequential Bayesian Inference in Hidden Markov Stochastic Kinetic Models with Application to Detection and Response to Seasonal Epidemics (with J. Lin)
    Statistics and Computing, 24(6), 1047-1062 , 2014. arxiv and Journal Link.

  41. European Option Pricing with Liquidity Shocks (with Q. Shen)
    International Journal of Theoretical and Applied Finance, 16(7), 1350043 (30 pages), 2013. arxiv and Journal Link.

  42. Priority Option: the Value of Being a Leader in Complete and Incomplete Markets (with M. Grasselli and V. Leclere)
    International Journal of Theoretical and Applied Finance, 16(1): 1350004 (37 pages), 2013. ssrn and Journal Link.

  43. Bayesian Quickest Detection in Sensor Arrays
    Sequential Analysis, 31(4), 481-504, 2012. PDF and Journal Link.

  44. Liquidation in Limit Order Books with Controlled Intensity (with E. Bayraktar)
    Mathematical Finance, 24(4), pp. 627-650, 2014. arxiv and Journal Link.

  45. Accounting for Risk Aversion in Derivatives Purchase Timing (with T. Leung)
    Mathematics and Financial Economics, 6(4), 363-386, 2012. ssrn and Journal link.

  46. Exploration and Exhaustibility in Dynamic Cournot Games (with R. Sircar)
    European Journal of Applied Mathematics, 23(3), 343-372, 2012. ssrn and Journal link.

  47. Impact of Counterparty Risk on the Reinsurance Market (with C. Bernard)
    North American Actuarial Journal,16(1), 87-111, 2012. ssrn and Journal Link.

  48. Optimal Timing to Purchase Options (with T. Leung)
    SIAM Journal on Financial Mathematics, 2, 768-793, 2011. arxiv ssrn and Journal link.

  49. Monte Carlo methods for Adaptive Disorder Problems
    Numerical Methods in Finance, Springer Proceedings in Mathematics, vol 12. Carmona et al., eds., pp. 83-112, 2012. PDF and book link.

  50. Stochastic Switching Games and Duopolistic Competition in Emissions Markets
    SIAM Journal on Financial Mathematics, 2, 488-511, 2011. arxiv and Journal link.

  51. Finite Horizon Decision Timing with Partially Observable Poisson Processes (with S. Sezer)
    Stochastic Models, 28(2), 207-247, 2012. arxiv (older longer version) and Journal link

  52. Optimal Dynamic Policies for Influenza Management (with J. Niemi)
    Statistical Communications in Infectious Diseases, 2(1), article 5 (electronic), 2010. PDF and Journal link.

  53. A Simulation Approach to Optimal Stopping under Partial Information
    Stochastic Processes and Applications, 119(12), 2071-2087, 2009. PDF and Journal link.

  54. Optimal Trade Execution in Illiquid Markets (with E. Bayraktar)
    Mathematical Finance 21(4), 681-701, 2011. arxiv and Journal link

  55. Inventory Management with Partially Observed Nonstationary Demand (with E. Bayraktar)
    Annals of Operations Research, 176, 7-39, 2010. PDF and Journal link.

  56. Ex Post Moral Hazard And Bayesian Learning In Insurance (with V. R. Young)
    Journal of Risk and Insurance, 77 (4), 829-856, 2010. PDF and Journal link.

  57. Optimal Risk Sharing under Distorted Probabilities (with V.R. Young)
    Mathematics and Financial Economics, 2(2): 87-105, 2009. arxiv and Journal link.

  58. Sequential Tracking of a Hidden Markov Chain using Point Process Observations (with E. Bayraktar),
    Stochastic Processes and Applications, 119(6): 1792-1822, 2009. arxiv and Journal Link

  59. Valuation of Energy Storage: An Optimal Switching Approach (with R. Carmona)
    Quantitative Finance, 10(4), 359-374, 2010. PDFand Journal Link

  60. Relative Hedging of Systematic Mortality Risk (with E. Bayraktar)
    North American Actuarial Journal, 13(1): 106-140, 2009. PDF and Journal Link.

  61. Financial Hedging of Operational Flexibility,
    International Journal of Theoretical and Applied Finance, 11(8): 799-839, 2008. PDF and Journal Link.

  62. On Comonotonicity of Pareto Optimal Allocations (with L. Ruschendorf),
    Statistics and Probability Letters    , 78(10): 1181-1188, 2008. PDF and Journal Link.

  63. Indifference Pricing of Annuities and Pure Endowments under Stochastic Hazard and Interest Rates (with V.R. Young),
    Insurance: Mathematics and Economics    , 42(1): 14-30, 2008. Journal Link.

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

  65. Pricing Asset Scheduling Flexibility Using Optimal Switching (with R. Carmona)
    Applied Mathematical Finance, 15(6):405-447, 2008. PDF

     

Conference Proceedings

  1. Optimal Dispatch of Hybrid Renewable–Battery Storage Resources: A Stochastic Control Approach (with T. Aung), Proceedings of the 2024 IEEE CDC (Conference on Decision and Control), to Appear, 2024.

  2. [POSTER] Information directed sampling for stochastic root finding (with S. Rodriguez), Proceedings of the 2015 Winter Simulation Conference, (S. Jain et al., Eds.), 2015, pp 3142-3143.

  3. [POSTER] Computational Method for Epidemic Detection in Multiple Populations (with E. Shatskikh), ISDS 2014 Annual Meeting, Dec 2014
    Online Journal of Public Health Informatics, Vol 7, Issue 1: e158     [Online Link]

  4. Sequential Bayesian Inference for Detection and Response to Seasonal Epidemics (with J. Lin), ISDS 2012 Annual Meeting,
    Online Journal of Public Health Informatics, Vol 5, Issue 1     [Online Link]

  5. Tau-leaped Particle Learning (with J. Niemi), ISDS 2012 Annual Meeting,
    Online Journal of Public Health Informatics, Vol 5, Issue 1     [Online Link]

  6. Bayesian Quickest Detection with Observation-Changepoint Feedback
    Proceedings of the 2012 IEEE Conference on Decision and Control
    Dec 2012. PDF.

  7. Optimal Disease Outbreak Decisions using Stochastic Simulation (with J. Niemi)
    Proceedings of the 2011 Winter Simulation Conference, (S. Jain et al., Eds.),
    July 2011. PDF.

  8. Optimal sequential management decisions for measles outbreaks (with J. Niemi) ISDS 2011 Annual Meeting,
    Emerging Health Threats Journal, Vol 4     [Online Link]

  9. 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

Other Publications

  1. Renewables Reliability in the Era of Force Majeure (with R. Aid and R. Sircar)
    SIAM News, May 2021

  2. Swing Options (with R. Carmona),
    Encyclopedia of Quantitative Finance, (R. Cont Ed.),     August 2008.PDF

  3. 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.

  4. Bayesian Detection of Epidemics in Multiple Populations (with K. Shatskikh), 2015 arxiv

  5. Illiquidity Effects in Optimal Consumption-Investment Problems (with H. Min), 2010. arxiv

  6. Indifference Pricing of Commodity Forwards with Partial Observations and Basis Risk (with R Carmona).
    Permanent Working Paper, May 2004, revised July 2006. PDF

  7. (Summer Research Internship report): B. Lin, Dual simulation methods in optimal switching problems, PDF, July 2009.

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