Nicola Secomandi

Carnegie Mellon University - David A. Tepper School of Business

5000 Forbes Avenue

Pittsburgh, PA 15213-3890

United States

SCHOLARLY PAPERS

20

DOWNLOADS

818

SSRN CITATIONS
Rank 43,420

SSRN RANKINGS

Top 43,420

in Total Papers Citations

2

CROSSREF CITATIONS

10

Scholarly Papers (20)

1.

Managing Wind-Based Electricity Generation in the Presence of Storage and Transmission Capacity

Number of pages: 43 Posted: 25 Nov 2011 Last Revised: 07 Aug 2018
Singapore Management University - Lee Kong Chian School of Business, Carnegie Mellon University, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - School of Computer Science
Downloads 330 (92,983)
Citation 13

Abstract:

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Markov decision process, wind-based electricity generation, electricity storage, negative prices

2.

Real Options and Merchant Operations of Energy and Other Commodities

Nicola Secomandi and Duane J. Seppi, "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends® in Technology, Information and Operations Management 6, no. 3-4 (2014)
Number of pages: 174 Posted: 10 Sep 2014 Last Revised: 14 Jan 2015
Nicola Secomandi and Duane J. Seppi
Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 203 (153,308)

Abstract:

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3.

Energy Real Options: Valuation and Operations

Managing Energy Price Risk, Chapter 13, 449-477, V. Kaminski (ed.), Risk Books, 4-th Edition, 2016.
Number of pages: 29 Posted: 01 Nov 2016
Nicola Secomandi and Duane J. Seppi
Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 79 (314,611)

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4.

Least Squares Monte Carlo and Approximate Linear Programming: Error Bounds and Energy Real Option Application

Number of pages: 32 Posted: 25 Aug 2018
Selvaprabu Nadarajah and Nicola Secomandi
University of Illinois at Chicago - College of Business Administration and Carnegie Mellon University - David A. Tepper School of Business
Downloads 71 (334,301)
Citation 1

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5.

Is it More Valuable to Store or Destroy Electricity Surpluses?

Number of pages: 23 Posted: 08 Aug 2012 Last Revised: 31 Dec 2014
Singapore Management University - Lee Kong Chian School of Business, Carnegie Mellon University, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - School of Computer Science
Downloads 67 (345,013)
Citation 2

Abstract:

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inventory, electricity storage, Markov decision process, asset pricing models, negative prices

6.

A Discussion of Non-Gaussian Price Processes for Energy and Commodity Operations

Number of pages: 36 Posted: 09 Jan 2019 Last Revised: 02 Dec 2019
Anna Gambaro and Nicola Secomandi
University of Piemonte Orientale and Carnegie Mellon University - David A. Tepper School of Business
Downloads 30 (478,322)

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7.

Worst-Case Benefit of Restocking for the Vehicle Routing Problem With Stochastic Demands

Number of pages: 7 Posted: 28 Sep 2018
Luca Bertazzi and Nicola Secomandi
University of Brescia - Department of Economics and Management and Carnegie Mellon University - David A. Tepper School of Business
Downloads 21 (528,014)

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8.

Quadratic Hedging of Commodity and Energy Cash Flows

Nicola Secomandi (2019), "Quadratic Hedging of Commodity and Energy Cash Flows", Foundations and Trends® in Technology, Information and Operations Management: Vol. 12: No. 2-3, pp 240-253. DOI: 10.1561/0200000089
Number of pages: 7 Posted: 06 Jan 2019 Last Revised: 29 Mar 2019
Nicola Secomandi
Carnegie Mellon University - David A. Tepper School of Business
Downloads 17 (551,976)

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9.

Approximations for High Dimensional Commodity and Energy Merchant Operations Models

Foundations and Trends in Technology, Information and Operations Management, 11, 1-2, 144-164, 2017
Posted: 31 Jul 2017 Last Revised: 20 Sep 2018
Nicola Secomandi
Carnegie Mellon University - David A. Tepper School of Business

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10.

An Improved Basket of Spread Options Heuristic for Merchant Energy Storage

IISE Transactions, 50, 8, 645-650, 2018
Posted: 02 Aug 2016 Last Revised: 20 Sep 2018
Nicola Secomandi
Carnegie Mellon University - David A. Tepper School of Business

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11.

Faster Rollout Search for the Vehicle Routing Problem with Stochastic Demands and Restocking

European Journal of Operational Research, 270, 2, 487-497, 2018
Posted: 08 Apr 2016 Last Revised: 20 Sep 2018
Luca Bertazzi and Nicola Secomandi
University of Brescia - Department of Economics and Management and Carnegie Mellon University - David A. Tepper School of Business

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12.

Relationship between Least Squares Monte Carlo and Approximate Linear Programming

Operations Research Letters, 45, 5, 409-414, 2017
Posted: 28 Sep 2015 Last Revised: 21 Sep 2018
Selvaprabu Nadarajah and Nicola Secomandi
University of Illinois at Chicago - College of Business Administration and Carnegie Mellon University - David A. Tepper School of Business

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Markov Decision Processes, Approximate Dynamic Programming, Least Squares Monte Carlo, Approximate Linear Programming, Financial and Real Options, Energy Storage

13.

A Tutorial on Portfolio-Based Control Algorithms for Merchant Energy Trading Operations

N. Secomandi, A Tutorial on Portfolio-Based Control Algorithms for Merchant Energy Trading Operations, Journal of Commodity Markets, 4(1), 1-13, 2016.
Posted: 02 Jul 2015 Last Revised: 10 Mar 2017
Nicola Secomandi
Carnegie Mellon University - David A. Tepper School of Business

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14.

Merchant Commodity Storage Practice Revisited

Operations Research, 2015, 63, 5, 1131-1143.
Posted: 14 Jan 2015 Last Revised: 04 Dec 2015
Nicola Secomandi
Carnegie Mellon University - David A. Tepper School of Business

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15.

Electricity Trading and Negative Prices: Storage vs. Disposal

Y. Zhou, A. Scheller-Wolf, N. Secomandi, S. Smith, Electricity Trading and Negative Prices: Storage vs. Disposal, Management Science, 62(3), 880-898, 2016.
Posted: 30 Dec 2014 Last Revised: 10 Mar 2017
Singapore Management University - Lee Kong Chian School of Business, Carnegie Mellon University, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - School of Computer Science

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inventory, electricity storage, electricity disposal, Markov decision process, asset pricing models, negative prices

16.

Real Option Management of Hydrocarbon Cracking Operations

S. Nadarajah, N. Secomandi, G. Sowers, J. Wassick, Real Option Management of Hydrocarbon Cracking Operations, Real Options in Energy and Commodity Markets, World Scientific-Now Publishers Series in Business, Chapter 5, 173-202, N. Secomandi (ed.), 2017.
Posted: 29 Nov 2014 Last Revised: 10 Mar 2017
University of Illinois at Chicago - College of Business Administration, Carnegie Mellon University - David A. Tepper School of Business, The Dow Chemical Company and The Dow Chemical Company

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17.

Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage

Management Science, 2015
Posted: 19 Sep 2014 Last Revised: 04 Aug 2015
Selvaprabu Nadarajah, Francois Margot and Nicola Secomandi
University of Illinois at Chicago - College of Business Administration, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

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18.

Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options

European Journal of Operational Research, 256, 1, 196-204, 2017
Posted: 26 Aug 2014 Last Revised: 21 Sep 2018
Selvaprabu Nadarajah, Francois Margot and Nicola Secomandi
University of Illinois at Chicago - College of Business Administration, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

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19.

Merchant Energy Trading in a Network

Operations Research, 2018
Posted: 20 Aug 2014 Last Revised: 21 Sep 2018
Selvaprabu Nadarajah and Nicola Secomandi
University of Illinois at Chicago - College of Business Administration and Carnegie Mellon University - David A. Tepper School of Business

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20.

Merchant Commodity Storage and Term-Structure Model Error

Manufacturing & Service Operations Management, 17(3), 302–320
Posted: 14 Sep 2012 Last Revised: 24 Aug 2015
Carnegie Mellon University - David A. Tepper School of Business, University of Texas at Austin - Red McCombs School of Business, Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University and Carnegie Mellon University - David A. Tepper School of Business

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Commodities, real options, natural gas storage, model error, delta hedging, futures term structure