Nicola Secomandi
Professor of Operations Management; Head, Ph.D. Program
Download Hi-res PhotoEducation
- University of Houston - Ph D - 1998
- University of Houston - MS - 1993
- Universitá di Venezia, Cá Foscari - Laurea - 1992
Publications
- A Discussion of Non-Gaussian Price Processes for Energy and Commodity Operations
(author(s): A. M. Gambaro, Nicola Secomandi)
Production and Operations Management, Accepted - Least Squares Monte Carlo and Approximate Linear Programming with an Energy Real Option Application
(author(s): S. Nadarajah, Nicola Secomandi)
Foundations and Trends in Technology, Information and Operations Management, Accepted - Worst-Case Benefit of Restocking for the Vehicle Routing Problem with Stochastic Demands
(author(s): Luca Bertazzi, Nicola Secomandi)
Operations Research 68(3), 2020; 671-675 - Quadratic Hedging of Commodity and Energy Cash Flows
(author(s): Nicola Secomandi)
Foundations and Trends in Technology, Information and Operations Management, 12(2-3), 2019; 240-253 - Managing Wind-Based Electricity Generation in the Presence of Storage and Transmission Capacity
(author(s): Yangfang Zhou, Alan Scheller-Wolf, Nicola Secomandi, Stephen Smith)
Production and Operations Management, 28(4), 2019; 970-989 - Faster Rollout Search for the Vehicle Routing Problem with Stochastic Demands and Restocking
(author(s): Luca Bertazzi, Nicola Secomandi)
European Journal of Operational Research, 270(2), 2018; 487-497 - Merchant Energy Trading in a Network
(author(s): Selvaprabu Nadarajah, Nicola Secomandi)
Operations Research 66(5), 2018; 1304-1320 - An Improved Basket of Spread Options Heuristic for Merchant Energy Storage
IISE Transactions – Focused Issue on Operations Engineering and Analytics, Special Issue on Energy Systems Modeling and Analytics 50(8), 2018; 645-650 (Lead Article)
- Relationship between Least Squares Monte Carlo and Approximate Linear Programming
(author(s): Selvaprabu Nadarajah, Nicola Secomandi)
Operations Research Letters 45(5), 2017; 409-414 - Approximations for High Dimensional Commodity and Energy Merchant Operations Models
Foundations and Trends in Technology, Information and Operations Management 11(1-2), 2017; 144-164
- An Analytical Throughput Approximation for Closed Fork/Join Networks
(author(s): Erkut Sonmez, Alan Scheller-Wolf, Nicola Secomandi)
INFORMS Journal of Computing 29(2), 2017; 251-267 - Real Option Management of Hydrocarbon Cracking Operations
Real Options in Energy and Commodity Markets(author(s): Selva Nadarajah, Nicola Secomandi, Gary Sowers, John Wassick)
World Scientific-Now Publishers Series in Business, 2017; 173-202 - Real Options in Energy and Commodity Markets
Edited volumeWorld Scientific-Now Publishers Series in Business, 2017
- Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options
(author(s): Selvaprabu Nadarajah, François Margot, Nicola Secomandi)
European Journal of Operational Research 256(1), 2017; 196-204 - A Tutorial on Portfolio-Based Control Algorithms for Merchant Energy Trading Operations
Journal of Commodity Markets 4(1), 2016; 1-13
- Energy Real Options: Valuation and Operations
Managing Energy Price Risk, Risk Books, 4-th Edition, V. Kamiski (ed.), 449-477.(author(s): Nicola Secomandi, Duane Seppi)
2016 - Electricity Trading and Negative Prices: Storage vs. Disposal
(author(s): Yangfang Zhou, Alan Scheller-Wolf, Nicola Secomandi, Stephen Smith)
Management Science 62(3), 2016; 880-898 - Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage
(author(s): Selvaprabu Nadarajah, François Margot, Nicola Secomandi)
Management Science 61(12), 2015; 3054-3076 - Merchant Commodity Storage Practice Revisited
Operations Research 63(5), 2015; 1131-1143
- Merchant Commodity Storage and Term-Structure Model Error
(author(s): Nicola Secomandi, Guoming Lai, François Margot, Alan Scheller-Wolf, Duane Seppi)
Manufacturing & Service Operations Management 17(3), 2015; 302–320 - Real Options and Merchant Operations of Energy and Other Commodities
(author(s): Nicola Secomandi, Duane Seppi)
Foundations and Trends in Technology, Information and Operations Management 6(3-4), 2014; 161-331 - Optimal Energy Procurement in Spot and Forward Markets
(author(s): Nicola Secomandi, Sunder Kekre)
Manufacturing & Service Operations Management 16(2), 2014; 270-282 - Preface to the Special Issue on Energy Modeling
(author(s): Jerome Apt, Nicola Secomandi)
Socio-Economic Planning Sciences 47(2), 2013; 75 - Strategic Analysis of Technology and Capacity Investment in the Liquefied Natural Gas Industry
(author(s): Erkut Sonmez, Sunder Kekre, Alan Scheller-Wolf, Nicola Secomandi)
European Journal of Operational Research 226(1), 2013; 100-114 - An Opportunity Cost View of Basestock Optimality for the Warehouse Problem
Handbook of Integrated Risk Management in Global Supply ChainsJohn Wiley & Sons, Inc., 2012; 447-461
- A Stochastic Dynamic Programming Approach for Integrating Supply Chain Network Design and New Product Diffusion
(author(s): Giulia Dello Stritto, Diego Falsini, Max Schiraldi, Nicola Secomandi)
Proceedings of the 4th P&OM World Conference, 2012 - A Computational Approach to the Real Option Management of Network Contracts for Natural Gas Pipeline Transport Capacity
(author(s): Nicola Secomandi, Mulan Wang)
Manufacturing & Service Operations Management 14(3), 2012; 441-454 - Revenue Management with Bargaining
(author(s): Atul Bhandari, Nicola Secomandi)
Operations Research 59(2), 2011; 498-506 - Valuation of Storage at a Liquefied Natural Gas Terminal
(author(s): Guoming Lai, Mulan Wang, Sunder Kekre, Alan Scheller-Wolf, Nicola Secomandi)
Operations Research 59(3), 2011; 602-616 - Interaction between Technology and Extraction Scaling Real Options in Natural Gas Production
(author(s): Paul Enders, Alan Scheller-Wolf, Nicola Secomandi)
IIE Transactions 42(9), 2010; 643-655 - On the Pricing of Natural Gas Pipeline Capacity
(author(s): Nicola Secomandi)
Manufacturing & Service Operations Management 12(3), 2010; 393-408 - An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation
(author(s): Guoming Lai, François Margot, Nicola Secomandi)
Operations Research 58(3), 2010; 564-582 - Optimal Commodity Trading with a Capacitated Storage Asset
Management Science 56(3), 2010; 449-467
- Teaching Demand Management and Price Optimization in the MBA Program at the Carnegie Mellon University Tepper School of Business
INFORMS Transactions on Education 9(2), 2009; 99-108
- OM Practice - Balancing Risk And Efficiency at a Major Commercial Bank
(author(s): Sunder Kekre, Nicola Secomandi, Erkut Sonmez, Kenneth West)
Manufacturing & Service Operations Management 11(1), 2009; 160-173 - Reoptimization Approaches for the Vehicle-Routing Problem with Stochastic Demands
(author(s): Nicola Secomandi, François Margot)
Operations Research 57(1), 2009; 214-230 - An Analysis of the Control-Algorithm Re-solving Issue in Inventory and Revenue Management
Manufacturing & Service Operations Management 10(3), 2008; 468-483
- Analysis of a Rollout Approach to Sequencing Problems with Stochastic Routing Applications
Journal of Heuristics 9(4), 2003; 321-352
- From Revenue Management Concepts to Software Systems
(author(s): Nicola Secomandi, Kirk Abbott, Tankut Atan, E. Boyd)
Interfaces 32(2), 2002; 1-11 - A Rollout Policy for the Vehicle Routing Problem with Stochastic Demands
Operations Research 49(5), 2001; 796-802
- Comparing Neuro-Dynamic Programming Algorithms for the Vehicle Routing Problem with Stochastic Demands
Computers and Operations Research 27(11/12), 2000; 1201-1225
Working Papers
- Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets
(author(s): Nicola Secomandi)
June 2019 - Pathwise Optimization for Merchant Energy Production
(author(s): B. Yang, S. Nadarajah, Nicola Secomandi)
June 2019 - Optimal Managerial Compensation and Financial Hedging in Commodity Procurement
(author(s): Masha Shunko, Laurens Debo, Lin Nan, Nicola Secomandi)
2011 - Operations Management and Business Pricing
(author(s): Nicola Secomandi, Jeffrey Johnson)
2007
Awards and Honors
- Winner, 2020 Best Publication Award in Environment-Sustainability, INFORMS, Energy, Natural Resources, and the Environment Section (September 2020)
- Outstanding Reviewer, European Journal of Operational Research (October 2017)
- Recognized Reviewer, Journal of Economic Dynamics and Control (September 2017)
- European Journal of Operational Research - Recognized Reviewer (June 2017)
- M&SOM - 2015 M&SOM Meritorious Service Award (2016)
- M&SOM - 2014 M&SOM Meritorious Service Award (2015)
- Chinese Scholars Association in Management Science and Engineering, CSAMSE - Honorable Mention, Best Paper Award of the 2014 Annual Conference of the Chinese Scholars Association in Management Science and Engineering (2014)
- Operations Research - 2012 Operations Research Meritorious Service Award (2013)
- M&SOM - 2012 M&SOM Meritorious Service Award (2013)
- Winner, 2012 Best Publication Award in Energy, INFORMS Energy, Natural Resources, and the Environment Section (September 2012)
- Faculty Giving Chair (2010)
- Xerox Junior Research Chair (2008)
- BP Junior Research Chair (2004)
- INFORMS Junior Faculty Interest Group - Finalist, INFORMS Junior Faculty Interest Group Best Paper Award (2004)
- INFORMS Transportation Science Section - Honorable Mention, INFORMS Transportation Science Section Dissertation Prize (1999)
Grants
- "Merchant Operations of Energy and Commodity Conversion Assets Considering Market Incompleteness," National Science Foundation (September 2018—August 2021)
- "Pathwise Optimization for Large Scale Energy Merchant Operations Models," Carnegie Mellon University Scott Institute for Energy Innovation ProSEED/EQT Energy Seed Grant (February 2017—June 2018)
- "Real Option Management of Commodity and Energy Conversion Assets,” National Science Foundation (September 2011—August 2014)
University Service
- Head, PhD Program (2017 - )
- Faculty Advisory Committee, Scott Institute for Energy Innovation, Committee Member (2017 - )
- Policy Committee, Committee Member (2016 - )
- Faculty Affiliate, Carnegie Mellon Scott Institute for Energy Innovation (2016 - )
- Enterprise-wide Optimization, Chemical Engineering, Committee Member (2009 - )
- Carnegie Mellon Scott Institute for Energy Innovation, Grant Proposal Reviewer, Internal (2017)
- PhD Committee, Committee Member (2011 - 2017)
- Master of Science in Business Analytics Curriculum Design, Committee Member (2016 - 2017)
- Cooper Award, Committee Member (2017)
- Edward R. Mosier Scholarship Award, Committee Member (2017)
- Dean Evaluation Committee, Committee Member (2016)
- Edward R. Mosier Scholarship Award, Committee Member (2016)
- Lave-Weil Prize, Committee Member (2016)
- OM Faculty Recruiting, Committee Chair (2015 - 2016)
- CMU Wilton E. Scott Energy Institute, Committee Member, Internal Advisory Committee (2012 - 2015)
- Edward R. Mosier Scholarship Award, Committee Member (2015 - 2015)
- OM Faculty Recruiting, Committee Chair (2014 - 2015)
- MBA Curriculum Change Assessment Committee, Committee Member (2014 - 2015)
- Edward R. Mosier Scholarship Award, Committee Member (2014)
- Thompson Award, Committee Member (2013)
- Edward R. Mosier Scholarship, Committee Member (2012)
Public Service
- Istituto Istruzione Superiore Leopardi-Majorana, Guest Speaker, Lecture on Energy Real Option Valuation
Consulting
- Cheniere Energy (January 2009 -)
- Cinergy (January 2009 -)
- Deloitte & Touche (January 2009 -)
- Equitable Gas (January 2009 -)
- GE Commercial Finance (January 2009 -)
- Georgia-Pacific RPC (January 2009 -)
- Caterpillar (January 2002 -)
- EnWorkz (January 2002 -)
- Mellon Bank (January 2002 -)
Professional Activities
- Associate Editor, Foundations and Trends in Information, Technology and Operations Management (2021 -)
- Guest Editor, Journal of Commodity Markets, Special Issue on Operations Research in Commodity Markets (2019 -)
- Co-guest Editor, Production and Operations Management, Focused Issue of the POM-Finance Interface Department on the POM-Finance Interface in Commodity and Energy Markets (2019 -)
- Area Editor, Stochastic Models and Reinforcement Learning Area, INFORMS Journal on Computing (January 2019 -)
- Associate Editor, Management Science (January 2018 -)
- Senior Editor, Production and Operations Management, Special Issue on Innovation and Sustainability (November 2017 -)
- Associate Editor, IISE Transactions (July 2017 -)
- Board Member, Commodity and Energy Markets Association (2017 -)
- Member, Commodity and Energy Markets Association (2017 -)
- Associate Editor, Manufacturing & Service Operations Management (January 2017 -)
- Associate Editor, Operations Research (January 2012 -)
- Member, SIAM (2011 -)
- Senior Editor, Production & Operations Management (January 2010 -)
- Member, POMS (2008 -)
- Member, INFORMS (1995 -)
- Chair, Commodity and Energy Markets Annual Meeting 2019 (June 2019)
- Program Committee Member, Commodity and Energy Markets Annual Meeting 2019 (December 2018 - April 2019)
- Program Committee Member, Energy and Commodities Finance Research Conference, Oklahoma University, (September 2019)
- Judge, Commodity and Energy Markets Association Best Paper Award (May 2019 - June 2019)
- Judge, Commodity and Energy Markets Association Best Paper Award (May 2018 - June 2018)
- Associate Editor, INFORMS Journal on Computing (January 2004 - December 2018)
- Program Committee Member, Energy and Commodities Finance Research Conference, Oklahoma University, (September 2018)
- Program Committee Member, Commodity and Energy Markets Annual Meeting 2018 (December 2017 - April 2018)
- Editor, Applied Mathematical Finance, Special Issue on Methods and Models for Energy and Commodity Markets (October 2017 - November 2017)
- Book Editor, World Scientific-Now Publishers Series in Business, Real Options in Energy and Commodity Markets (December 2015 - November 2016)
- Committee Member, INFORMS MSOM Society, iFORM SIG Best Paper Award (June 2016 - September 2016)
- Conference-Related, Interface of Finance, Operations, and Risk Management (iFORM) MSOM Special Interest Group Conference, Chair of Organizing Committee (January 2015 - June 2015)
- Associate Editor, M&SOM, Special Issue on Practice-Focused Research (March 2014 - March 2015)
- Ad Hoc Reviewer, National Academy of Sciences (May 2014 - December 2014)
- Associate Editor, Manufacturing & Service Operations Management (January 2011 - December 2014)
- Committee Chair, INFORMS, Energy, Natural Resources & Environment Section, 2014 Young Researcher Prize (February 2014 - November 2014)
- Associate Editor, Management Science (January 2012 - June 2014)
- Journal Editor, Socio-Economic Planning Sciences, Special Issue on Energy Modeling (Joint with Jay Apt) (2011 - 2012)
- Conference-Related, MSOM, 2012 Interface of Finance, Risk Management, and Operations MSOM Special Interest Group Conference (March 2012 - April 2012)
- Associate Editor, Management Science, Special Issue on the Interfaces between Operations and Finance (January 2007 - December 2011)