Galli, Alain

Position:

Research Associate

Research interests:

Electricity & CO2 Prices, Real Options,

Modelling the Term Structure of Commodities and Stochastic Volatility

 

 

 

Contact

Email: Alain.Galli@Mines-Paristech.fr  

Short CV

After completing a doctorate in mathematics from the University of Grenoble, Alain Galli specialised in stochastic modelling in the earth sciences, especially in the oil industry.

In October 2001, he and Margaret Armstrong joined the Cerna and formed the Quantitative Finance group.

Research

His current research include:

  • Modelling Electricity and CO2 Prices.
  • Managing under uncertainty & Real Options.
  • Modelling the Term Structure of Commodities.
  • Stochastic Volatility.

Teaching Activities

His teaching activities at the Ecole des Mines include:

  • The quantitative finance option (major) with Margaret Armstrong,
  • The one-week seminar on project finance (non-recourse funding) with Margaret Armstrong,
  • The course, Introduction to Market Finance, with Pierre-Noel Giraud and Margaret Armstrong.

Publications

Ouvrages

Armstrong, M., H. Beucher, B. Doligez, A. Galli, F. Geffroy, G. Leloc’h,, D. Renard et Eschard, R. (2011) Plurigaussian Simulations in Geosciences. Springer-Verlag Berlin 200p ISBN 3-540-42390-7, 2nd édition

Armstrong Margaret, Galli Alain, Le Loc'h Gaëlle, Geffroy François, Eschard Rémi, "Plurigaussian Simulations in Geosciences", Berlin, Springer Verlag, 2003.

Armstrong Margaret, Bettini Claudio, Champigny Normand, Galli Alain and Remacre Armando (eds.), "Geostatistics Rio 2000", Proceedings of the Geostatistics Sessions of the 31st International Geological Congress, Rio de Janeiro, Brazil, 6-17 August 2000, Serie Quantitative geology and geostatistics, volume 12, Dordrecht, Holland, Kluwer Academic Publishers, 2002.

Roth C., Armstrong Margaret, Galli Alain, Le Loc'h G., "Using plurigaussian simulations to reproduce lithofacies with contrasting anisotropies", in Institution of Mining Metallurgy (eds.), "Proceedings of XXVII International APCOM Symposium", London, 1998.

Participations à ouvrages collectifs

Armstrong, M, M. Iguer, V Iezhova, J Adnot, P Rivière & A Galli, (2011) Impact of EVs on day-ahead prices: the French connection, accepted for Smart grid: integrating renewable, distributed & efficient energy, Ed F. P. Sioshansi, Planned publication date: Nov 2011

Galli Alain and Armstrong Margaret , "Option pricing: estimation versus simulation for Brennan & Schwartz natural resource model", in E.Y. Baafi, N.A. Schofield (eds.), "Geostatistics Wollongong'96", Volume 2, Dordrecht, Holland, Kluwer Academic Publishers, 1997.

Le Loc'h G. and Galli Alain, "Truncated Plurigaussian Method: Theoretical and Practical Points of View", in E.Y. Baafi, N.A. Schofield (eds.), "Geostatistics Wollongong'96", Volume 1, Dordrecht, Holland, Kluwer Academic Publishers, 1997.

Touati M., Galli Alain, Ruffo P., Della Rossa E., "Migration uncertainties: a probabilistic approach", in E.Y. Baafi, N.A. Schofield (eds.), "Geostatistics Wollongong'96", Volume 1, Dordrecht, Holland, Kluwer Academic Publishers, 1997.

Articles (revues académiques à comité de lecture)

Armstrong, M., A.A. Ndiaye, R. Razansimba & A. Galli, (2011) Scenario Reduction in Mining, accepted for publication in Mathematical Geosciences.

Delphine Lautier and Alain G. Galli (2010). Dynamic Hedging Strategies: An Application to the Crude Oil Market .Review of Futures Market, Forthcoming

Armstrong, M., & A. Galli, (2010) The Impact of Virtual Power Plants on the Day-Ahead Market in France, Journal of Energy Markets, Vol 3 (1) spring 2010 pp53-71

Prange,M., W.J. Bailey, B. Couet, H. Djikpesse, M. Armstrong, A. Galli & D. Wilkinson (2008) Valuing Future Information under Uncertainty using Polynomial Chaos, Decision Analysis, Vol 5 N°3, pp140-156

Maribu K.M., A. Galli & M. Armstrong (2007) Valuation of Spark-Spread Options with Mean Reversion and Stochastic Volatility, International Journal of Electronic Business Management, Vol 5, N° 3 pp173-181

Armstrong Margaret, Galli Alain, Bailey W. and Couët B., "Incorporating Technical Uncertainty in Real Option Valuation of Oil Projects", Journal of Petroleum Sciences and Engineering, vol. 44, nos 1-2, October 2004

Galli Alain and H. Gao, "Rate of Convergence of the Gibbs Sampler in the Gaussian Case", Mathematical Geology, Volume 33, Number 6, August 2001. Geraets D., Galli Alain, "Statistical Traveltime Tomography in terms of stacking velocity", Pure and Applied Geophysics, special issue on "Seismic waves in random media V", 2001.

Galli Alain, Armstrong Margaret and Jehl B., "Comparison of Three Methods for Evaluating Oil Projects", Journal of Petroleum Technology, October 1999.

Geraets D., Galli Alain, "Statistical Traveltime Tomography in terms of stacking velocity", Pure and Applied Geophysics, special issue on "Seismic waves in random media V", 2001.

Galli Alain, Armstrong Margaret and Jehl B., "Comparison of Three Methods for Evaluating Oil Projects", Journal of Petroleum Technology, October 1999.

Articles (revues spécialisées)

Javaheri Alireza, Lautier Delphine, Galli Alain, "Filtering in Finance", Wilmott Magazine, Issue 5, May 2003. (Le site de la revue)

Lautier Delphine et Galli Alain, "Un modèle des prix à termes des matières premières avec rendement d'opportunité asymétrique", Fineco, Volume 11, 2001.

Galli Alain and Armstrong Margaret , "Option pricing: a new approach to valuing mining projects", CIM Bulletin 90, 1009, 1997.

Galli Alain, Goblet P., Griffin D., Ledoux E., Le Loc'h G., Mackay R., Renard P., "Quick upscaling of flow and transport related parameters", Geoscience 2, Reservoir Engineering Project, Topic 4, CEE, 1996.

Articles (cahiers de recherches)

Lautier Delphine et Galli Alain, "Un modèle de structure par terme des prix des matières premières avec comportement asymétrique du rendement d'opportunité", Cahier de Recherches du Cereg, 2001-01, Paris, 2000. (CEREG)

Communications

Armstrong, M., A. Galli & R Razanatsimba (2011) Multistage stochastic optimisation for managing major production incidents. Presented at the 35th APCOM Symposium, Wollongong, Australia, 26-30 September 2011

Armstrong, M. & A. Galli (2011) A new approach to flexible open-pit optimisation and scheduling, Presented at the 35th APCOM, Wollongong, Australia, 26-30 September 2011

Armstrong, M., V Iezhova & A. Galli, (2011) Assessing the impact of wind power on day-ahead prices in France, Presented at the 34th IAEE International Conference Stockholm, 19-22 June 20111

Armstrong, M., A.A. Ndiaye & A. Galli, (2010) Scenario Reduction in Mining, Presented at the IAMG Conference Budapest, August 2010

Armstrong, M., & A. Galli, (2010) Do VPP contracts mitigate market power in France?, Presented at the 33rd IAEE International Conference Rio de Janeiro, 6-9 June 2010

Galli A. & M. Armstrong, (2010) CO2 EUAs: Modelling Spot & future Prices, Presented at the 33rd IAEE International Conference Rio de Janeiro, 6-9 June 2010

Armstrong, M., & A. Galli, (2009) The Rapid Evolution of the French Electricity Market from 2002 to 2008, Presented at the IAEE 32nd International Conference San Francisco, 21-24 June 2009

Galli,A., S. Belkas & M. Armstrong (2009) Evaluating an NGCC: Technical versus Real Options, Presented at the IAEE 32nd International Conference San Francisco, 21-24 June 2009

Armstrong, M., A. Galli & A.A. Ndiaye (2009) A Case Study on the Impact of Hedging Against Foreign Exchange Risk and Energy Price Risk, presented at the Project Evaluation Conference organised by the AusIMM in Melbourne, 21-22 April 2009

Armstrong, M., A. Galli, A.A. Ndiaye & D. Lautier (2009) A Reality Check on Hedging Practices in the Mining Industry, presented at the Project Evaluation Conference organised by the AusIMM in Melbourne, 21-22 April 2009

Armstrong, M. & A. Galli (2009) The Evolution of the French Electricity Market from 2001 to 2008, Invited conference at Winter Energy Seminar Series: “Price and Decision Support Modelling in Electricity Markets”, Dept of Industrial Economics & Technology Management, NTNU Trondheim, 12-13 February 2009

Galli,A., S. Belkas & M. Armstrong (2009) Evaluating an NGCC, Invited conference at Winter Energy Seminar Series: “Price and Decision Support Modelling in Electricity Markets”, Dept of Industrial Economics & Technology Management, NTNU Trondheim, 12-13 February 2009

Galli,A., S. Belkas & M. Armstrong (2008) Evaluating an NGCC: Technical versus Real Options, Invited conference at Real Options in energy Economics, 27-28 October 2008 at the Center for European Economic Research (ZEW), University of Mannheim

Armstrong, M. , A. Kapoor & A. Galli, (2008) Are buyers overbidding for French VPP, Presented at the IAEE 31st International Conference Istanbul, 18-20 June 2008

Armstrong, M. & A. Galli (2007) Probabilistic Modelling of Electricity Prices 5-10 years into the Future based on Supply-Demand Considerations, Invited Presentation at Energy Forum Modelling & Measuring Energy Risk, Lisbon, 15-16 June 2007

Armstrong Margaret and Galli Alain, "Empirical Analysis of the Aggregate Offers to Buy or Sell Electricity on the French Day-Ahead Market from 2002 to 2005", International Association for Energy Economics (IAEE) 9th European Conference, Florence, 10-12 June 2007.

Galli, A, M. Armstrong, R Tewary & Z Wang (2007) Evaluating Asian options on electricity futures using a two-factor mean reverting model & a modified Box-Cox transformation, Presented at the IAEE 9th European Conference Florence, 10-12 June 2007

Nicholas G. D., Coward S. J., Armstrong Margaret and Galli Alain, "Integrated Mine Evaluation - Implications for Mine Management", International Mine Management Conference, an initiative of The Australian Institute of Mining and Metallurgy in conjunction with the Canadian Institute of Mining, Metallurgy and Petroleum, the South African Institute of Mining and Metallurgy and the Minerals Council of Australia, Melbourne, Australia, 16-18 October 2006.

Prange M., Armstrong Margaret, Bailey W., Couët B., Djikpesse H., Wilkinson D. and Galli Alain, "Better Valuation of Future Information under Uncertainty", Annual Technical Conference and Exhibition, Society of Petroleum Engineers, San-Antonio, USA, 24-27 September 2006.

Rouveyrollis Nicolas and Galli Alain, "Using Singular Spectrum Analysis to Model Electricity Prices", ETE Workshop on Market Modelling of the Central Western European Electricity Market, Leuven, Belgium, 15-16 september 2005.

Galli Alain, Armstrong Margaret and Marco Antonio G. Dias, "The Value of Information: A Bayesian Real Option Approach", SPE Annual Technical Conference and Exhibition, SPE 90418, Houston, USA, 26-29 September 2004.

Galli Alain, Armstrong Margaret, Gomes de Souza O. and Youki Yokota H., "Valuing Expert Knowledge in Quantitative Models that Incorporates Uncertainty", EAGE 66th Conference and Exhibition, Paris, 7-10 June 2004.

Galli Alain, Armstrong Margaret, Ricardo Cunha Mattos Portella, Olinto Gomes de Souza and Honorio Kouki Yokota, "Stochastic-Aided Design and Bayesian Updating: New Tolls to Use Expert Knowledge in Quantitative Models That Incorporate Uncertainty", SPE Annual Technical Conference and Exhibition, SPE 90414, Houston, USA, 26-29 September 2004.

Galli Alain, Armstrong Margaret, Rouveyrollis Nicolas, "Power Market and Models: Convergence?", Presented at "Le printemps de la recherche", EDF, Paris, 20 May 2003.

Lautier Delphine et Galli Alain, "The Kalman Filter in Finance: An Application to Term Structure Models of Commodity Prices", 20th International Conference of French Finance Association, Lyon, 23-25 June 2003.

Armstrong Margaret and Galli Alain , "Copulas", Presented at the SPE ATW "Risk Analysis Applied to Field Development Under Uncertainty", Rio de Janeiro, Brazil, 29-30 August 2002.

Galli Alain and Armstrong Margaret, "Integrating Technical Uncertainty into Real Options", Presented at the SPE ATW "Risk Analysis Applied to Field Development Under Uncertainty", Rio de Janeiro, Brazil, 29-30 August 2002.

Goria Sarah, Armstrong Margaret and Galli Alain, "Using a Bayesian Approach to Incorporate New Information when Estimating Resources", 8th International Association for Mathematical Geology Conference, Berlin, 15-20 September 2002.

Galli Alain, T. Jung, Armstrong Margaret and O. Lhote, "Real Option Evaluation of a Satellite Field in the North Sea", SPE Annual Technical Conference and Exhibition, SPE 71410, New Orleans, USA, 30 September - 3 October 2001.

Geraets D., Galli Alain, Ruffo P., Della Rossa E., "Instantaneous velocity field characterization through stacking velocity variography", Society of Exploration Geophysicists International Exposition and 71st Annual Meeting, San Antonio, Texas, September 9-14 2001.

Goria Sarah, Armstrong Margaret and Galli Alain, "Quantifying the Impact of Additional Drilling on an Openpit Gold Project", International Association for Mathematical Geology Conference, Cancun, Mexico, 6-12 September 2001.

Armstrong Margaret and Galli Alain, "Derivative Based Plurigaussian Simulations", International Association for Mathematical Geology Conference, Trondheim, Norway, 6-11 August 1999.

Galli Alain, Armstrong Margaret and Jehl B., "Comparison of three methods for evaluating oil projects: option pricing, decision trees and Monte Carlo simulations", SPE Hydrocarbon Economics and Evaluation Symposium, Dallas Texas, 20-23 March 1999.

Ioos B., Galli Alain, Touati M., "Velocity correlation function estimation for seismic reflection traveltimes", Society of Exploration Geophysicists International Exposition and 68th Annual Meeting, New Orleans, USA, September 13-18 1998.

Galli Alain and H. Beucher, "Stochastic models for reservoir characterization: a user-friendly review", Fifth Latin American and Caribbean Petroleum Engineering Conference and Exhibition, SPE 38999, Rio de Janeiro, Brazil, 30 August - 3 September 1997.

Volpi B., Galli Alain and Ravenne C., "Vertical proportion curves: a qualitative and quantitative tool for reservoir characterization", Memorias del I Congreso Latinoamericano de Sedimentologia, Tomo 1, Soc. Venezolana de Geól., 1997.

Galli Alain, Ravenne C., Richard V. et al. , "Constraining detailed geostatistical reservoir models with seismic and dynamic data", Seamless Seismic to Simulation and Back, Proc. EAPG/SPE Workshop, Glasgow, UK, 1995.

Azpiritxaga I., Correa A., Galli Alain et al., "Seismic constraints for a stochastic reservoir model, Block I Eicene C6, Lake Maracaibo, Venezuela", AAPG 1998 International Conference & Exhibition, Rio de Janeiro, Brazil, November 8-11 1988.

Documents de travail

Alain Galli,Margaret Arsmtrong, Daniel Totouom (2010). Dynamic Copula Processe. http://ssrn.com/abstract=1616503

Eric Benhamou,Zaizhi Wang and Alain Galli (2008).Is Multi-Factor Really Necessary to Price European Options in Commodity?

Armstrong Margaret and Galli Alain, "Are day-ahead prices for electricity converging in continental Europe? An exploratory data approach", Working Paper, Cerna, February 2005.

Galli Alain and Armstrong Margaret, "Comparing the Spot Prices from Powernext and EEX", Working Paper, Paris, Cerna, May 2003.

Armstrong Margaret and Galli Alain , "Sequential Nongaussian Simulations using the FGM Copula", September 2002.

Etudes

Armstrong Margaret and Galli Alain , "Sequential Nongaussian Simulations using the FGM Copula", September 2002.

Armstrong Margaret, Mrabet Sarra and Gclli @liin, "Analysing the Day-Ahead Prices on APX, EEX & TSO-Auctions", Consortium on Electricity Prices and Energy Derivatives, November 2004.

Lautier Delphine et Galli Alain, "Report on Term Structure Models of Commodity Pricing: Elaboration and Improvement", Etude réalisée pour l'Institut Français de l'Energie (IFE), October 2002.

Moulière D., H. Beucher et Galli Alain, "Cosimulation d'impédances acoustiques et d'amplitudes sismiques contrainte par des impédances acoustiques aux puits et des amplitudes sismiques en 3D", Cahiers de Géostatistique, no 6, ENSMP, 1998.

Travaux d'élèves

Antolin Perez Michaël, Belot François, Benaram Marc, Bury Nicolas, Cohen Florent, Dorbessan Arthur, Gharbi Khansa, Mazour Veronika, Scolari Samuel, sous la direction de Armstrong Margaret et Galli Alain, "Rapport du voyage au Japon du 1 au 9 mars 2003", Rapports des élèves de 2ème année de l'option Finance quantitative, Paris, Cerna - Ensmp, 2003.

 

 

 

Alain Galli associate researcher CERNA - MINES ParisTech
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