Nicola Secomandi

Professor of Operations Management; Head, Ph.D. Program

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Education

• 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 volume

  World 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 Chains

  John 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

• 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)