ISyE SEMINAR SERIES - Swap Valuation under Stochastic Load and Price

Event Details
  • Date/Time:
    • Tuesday March 19, 2002 - Monday March 18, 2002
      12:30 pm - 11:00 pm
  • Location: IC 107
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: ISyE SEMINAR SERIES - Swap Valuation under Stochastic Load and Price

Full Summary: ISyE SEMINAR SERIES - Swap Valuation under Stochastic Load and Price

Deregulation of the energy industry has brought about uncertainty of gas and power prices. The uncertainty of price movement along with uncertain future energy consumption creates an enormous risk to energy end users. To better manage their risk exposures, energy customers enter into fixed
price deals with energy marketing and trading firms. Uncertain and correlated price and load movements, combined with data integrity, moral hazard make pricing such a deal of challenge.

Speaker bio:
Kenneth Deng is Director of Quantitative Analysis at Shell Trading Gas and Power. Kenneth recently joined Shell from Enron, where he was a Manager of Quantitative Research of the Enron Quantitative Research Group. Prior to Enron, Kenneth worked at Williams, Chicago Mercantile Exchange and Chicago
Board Options Exchange. At Shell, Kenneth is responsible for developing valuation models to price structured derivatives products and for developing risk management methodologies and tools.

Kenneth holds a bachelor's degree in mathematical economics and a Juris Doctor degree from China. Kenneth did his M.A. and Ph.D. study at the University of Chicago with concentrations in econometrics and statistics.

Additional Information

In Campus Calendar
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H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:43am
  • Last Updated: Oct 7, 2016 - 9:53pm