Houston, Texas, United States
Seasoned Research professional with strong background in energy, with a focus on derivative pricing via Monte Carlo methods, coding advanced models using Quasi MC, AAD, and other variance reduction methods. Skilled in trading, risk management, of power including renewables, oil, gas, and NGLs. Adept at communicating technical concepts to executive leaders, analysts, peers, and staff. I am a self-starter and quick learner. Whenever there is a difficult problem to solve, I can easily convey the technical information from PhDs to a level executives can understand and convey despite the difficulty of the topic, enabling them to act on pertinent data analysis.
Modeling mostly physical assets to capture value from long term contracts. Monte Carlo based simulations with parallel processing easily extended to cover any product or market. Very attentive to detail and excellent documentation to ensure business continuity.
Designed MATLAB software and directed team which created the Monte Carlo full valuation VaR engine for global deployment; saved substantial external consulting and software expenses – currently the production system for NGL and Power portfolios. Sole book lead for NGLs; guided bench expansion under strict legal probation to full spec trading, with gains of +$60M. Created models to distinguish VaR changes from volatility, correlations, prices, and position changes. Programmed spread / Euro / Asian option models and led validations. Handled all aspects of a Sungard to Solarc RightAngle system upgrade (var bucketing, tie outs, reporting, etc.). Provided market risk assurances for commercial transactions, and all typical lead market risk analytics, stress tests, and presentations up to the global CRO level.
Created vanilla and Asian ethanol/SOx/NOx options pricing model using QuantLibXL engine and Excel; priced emerging markets OTC contracts using GARCH volatility forecasting. Developed first clean fuel switching models for DFO generators combining Title IV SO2, NOx, and RGGI CO2 reduction revenues versus incremental fuel costs from published research. Integrated CQG/Prophet-X market data feeds into real-time models. Analyzed RIN market and accurately predicted price move of $0.0025 to $0.16 based on supply/demand fundamentals from EIA and internal data of biodiesel/ethanol producer supply versus gasoline blender demand. Designed Monte Carlo GBM simulation for corn and ethanol structured finance deal to determine margin call cash requirements and ROI.
Tracked legislation and standards for SO2, NOx, CO2, and RPS compliance markets in the U.S. and CO2 in Kyoto countries. Conducted market research, calculated values of PPAs, green tags, and carbon offsets. Calculated IRRs, assessed market and project risks for CO2 and REC development projects. Developed a new derivative product for renewables. Created regression models to predict clearing prices for SO2 and NOx from NEPOOL/PJM power data, and CCX futures data using a self-developed transform process, including factors based on significant P values.