Photo of Michael Coulon

Michael Coulon
Senior Lecturer in Finance (Business and Management)
E:
T: +44 (0)1273 873583


Research

My primary area of research is the application of quantitative finance techniques to the energy and commodity markets.  This includes:

  • Spot and forward price dynamics
  • Derivative pricing and risk management techniques
  • Spread option pricing and physical asset valuation
  • Structural models for electricity prices: dependence on fuels, fundamentals, and evolving market rules
  • Environmental markets and policy:  renewable energy certificates and carbon emission allowances
  • Storable commodities: optimal storage decisions and price behaviour for agriculturals, metals, etc. 
  • Game theoretic approaches to resource extraction, production, investment or carbon abatement decisions

I have ongoing collaborations with many leading researchers in this growing field of finance, both in industry and academia.  Previous industry-linked projects include (see departmental engagement webpage for more details):

  • Project with Swiss energy firm on structural modelling of the German (EEX) power market, including addressing issues such as rapid growth of renewables, complex fuel mix, and European market coupling.
  • Project with US energy firm on power plant valuation and risk management in the PJM market.
  • Project with US energy firm on hedging of joint load and price risk through forwards and options.
  • Project with UK commodities consulting firm on the forecasting and simulation of demand and prices for platinum and related metals.
  • Project with Princeton University (with some contact with utilities and regulators) on modeling the New Jersey solar renewable energy certificate (SREC) market, including investigations of market design questions.

Finally, for a few videos that are available online from my conference presentations or webinars, see below:

  • click here for a talk on spread option pricing in electricity markets, given at IMA (Minneapolis, USA) in May 2012
  • click here and scroll down to Friday morning 9am for a talk on price modeling and market design in environmental markets (carbon and RECs), given at IPAM (Los Angeles, USA) in May 2015
  • click here for a recent webinar on structural models for electricity markets (with a case study on the German EEX market), sponsored by GARP (Global Association of Risk Professionals) in September 2015.