Time: December 14, at 16:00 PM

Location: 105 academic report hall

ABSTRACT: 

    The real asset owner has the rights and/or obligations to operate the asset, in response to market prices, operating and contractual constraints. The Real Option Valuation (ROV) methodology combines option pricing technology with Operation Research to derive valuation and operating policy.  

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 the ROV approach based on the constrained portfolio optimization of time spread options. 

Speaker in brief

Dr.Zimin Lu is currently a senior scientist at BP. He was the Head of Quantitative Analytics for North America Gas and Power, BP Energy Company. His energy 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. His commodity experience includes Natural Gas, US Power, LNG, Crude Oil and Products, as well as commodity index. Zimin received his Ph.D. in Physics from Drexel University and B.S. from Nanjing University. He conducted his Postdoc research in University of Oregon and Princeton University. He co-authored a book on group theory and published numerous research papers in physics and finance.