Chengming Zhu, 2013, Mathematics

I worked this summer with Dr. Michael Coulon in Princeton Laboratory of Energy ­Systems Analysis (PENSA), within the Operations Research and Financial ­Engineering Department (ORFE). The major project I was involved in was the study of multi-fuel dependent electricity pricing and the influence of European market ­coupling on the electricity spot and forward price. My major goal was to ­develop quantitative and analytic skills, to apply a mathematical model, and to develop computation solutions to real life problems involving uncertainty. Dr. Coulon and I ­investigated new approaches to electricity forward pricing, by constructing a ­MATLAB model for simulation and closed-form approximation, and then conducted back testing on the existing data. It was an extremely rewarding summer.