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Michael Coulon
Honorary Senior Lecturer in Finance (Accounting and Finance)

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  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 for a talk on spread option pricing in electricity markets, given at IMA (Minneapolis, USA) in May 2012
• click 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  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.