*********************************
There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
*********************************
TITLE: Natural Gas Storage Valuation and Hedging
SPEAKER: Dr. Zimin Lu
Head of Quantitative Research
Financial Products, BP Energy Company
ABSTRACT:
There are three value buckets for a storage asset holder: a) Winter-Summer spreads due to demand seasonality; b)Monthly injection/withdrawal optionalities; c) Intra-month inventory optionalities. The valuation problem involves both derivative pricing and financial operations. I will discuss an approach based on the constrained portfolio optimization of time spread options.
Bio:
Dr. Zimin Lu is currently the head of Quantitative Research for North America Gas and Power, BP Energy Company in Houston. His energy quantitative finance experience includes Vice President at Deutsche Bank in New York; Vice President of Research & Analysis at Suez North America; Director at Enron Research and Quantitative Analyst at TXU Energy.
He earned his Ph.D. in Physics from Drexel University and B.S. from Nanjing University. He worked for University of Oregon and Princeton University during the transition from academia to energy industry.
