Professor
Noe is the A. B. Freeman Chair of Finance in Tulane University’s A. B. Freeman
School of Business. His research has focused primarily corporate financial
policy, energy markets, and systemic risk. He is currently also an associate
editor of the Review of Financial Studies. Since receiving his Ph.D. in 1987
from the University of Texas, he has also held academic/research appointments
with the Georgia Tech, Georgia State, and the Federal Reserve Bank of Atlanta.
His research has been published in journals such as the American Economic
Review, the Journal of Finance, the Journal of Financial Economics, RAND Journal
of Economics, Review of Economic Studies, and Review of Financial Studies. He
has taught a number of courses in corporate finance, mathematical programming,
and game theory at the undergraduate, graduate, executive, and doctoral level.
In addition, he has consulted with energy and options trading firms. More
detailed information on his career, as well as downloadable copies of working
papers, is available at his website:
http://www.freeman.tulane.edu/faculty/noe.htm
Pricing Energy Options
Basic option concepts and terms.
The optional character of standard energy projects and contracts, such as swing contracts for power supply, peaker plants, transmission, and storage assets.
The rational behind option pricing valuation approach: risk-adjusted probabilities.
Practical approaches to implementing the approach:
Black Sholes
Binomial Trees
Monte Carlo simulation