His research interests include analytical pricing, stochastic modeling, and operations management.
This figure shows the computed and the analytical bond prices under the Hull-White model when T=1 using the parameters in Table 14.
and A 0, t) and B 0, t) are expressions which can be obtained from the A t, T) and B t, T) terms in the CIR analytical bond price.
The derived LMP change equation based on an analytical congestion price formula is expressed in terms of local information such as marginal costs and GSFs, which are only related to the congested line without requiring information of an entire power system.
To this end, we start with our prior result, a simple and analytical congestion price equation, which can be applied to any single line congestion scenario.
In addition, the analytical congestion price formula can be extended to the LMP change equation that explains the relationship between LMP and the substation configuration error from bus splitting/merging.
Regular analytical reviews of prices offered by suppliers against commodity prices – and against costs of processing and production – should indicate when prices are too low and the product is likely to contain substitutes.
Using only 160 spatial grid points, the high-order scheme yields a numerical solution that agrees to eight-digits with the analytical price.
These models include the negative damping model based on the Connors equation, fluid force coefficient-based models (Chen; Tanaka and Takahara), and two semi-analytical models (Price and Païdoussis; and Lever and Weaver).
The order stated that the improperly valued bonds were complex, illiquid securities that did not have readily available market quotations, and that the firm used a third-party analytical tool to price them.
