I subsequently joined SonaTech/ITC, where I was able to import software from national labs and develop proprietary models to reduce the design cycle time for customized sonar and oil-field transducers.
Immediately AFTER the Gulf War, I moved to Dhahran, Saudi Arabia, where I did petroleum reservoir simulation for Saudi Aramco. Initially, I made enhancements to MARS (Exxon) and CHEARS (Chevron) simulators, then transfered to the Petroleum Engineering Research & Development Division, where we built the scalable-parallel reservoir simulator POWERS (Several publications available). Using high-resolution reservoir models of one to three million cells, we demonstrated near-linear scalability (doubling the number of processors doubles the speed), up to 1024 processors on a CM-5E. POWERS remains the primary simulator in use at Saudi Aramco.
In addition to extensive programming of the core simulator, I took responsibility for I/O, and made two breakthroughs. The first allowed very rapid model building, leveraging off existing geostatistical and database tools. The second allowed real-time visualization of runs-in-progress, or post-processing of 20-year, multi-million cell results within two minutes of simulator completion. The potent combination of scalable parallelism and efficient I/O tools cut the cycle time of reservoir studies by a factor of five or more.
One of the most satisfying aspects of this job was consolidating the alpha-test group of diverse professionals from the areas of geo-statistics, reservoir modeling, database, software engineering, technical support, and reservoir engineering. In a highly collaborative effort, we converted an interesting R&D idea into a very usable tool.
In order to apply these quantitative techniques more directly to the bottom line, I enrolled to study quantitative finance at the University of Texas at Austin in August 1997. I received a Master of Science in Computational & Applied Mathematics, with the final year in Energy Finance, focusing on the computational solution of finance problems, such as the PDEs that arise in option pricing, swap analysis, and the more general stochastic models used in risk management. I was able to take the core MBA Energy Finance classes, as well as Contingent Payments, Financial Engineering, Computational Finance, Banking, Approximation Theory, Computational Grids, and Finite Element Methods.
During the exciting period of April 2000 through October 2002, I was pricing, hedging, and trading energy derivatives at Mirant. While on the weather desk, I was the lead trader for weather-linked energy options. These options trade at a discount to standard options, because a weather "trigger" needs to occur before they can be exercised. We worked with our customers to find the weather events that exposed them to spot-market risk, then structured a derivative or insurance product that mitigated risk at the least cost.
After Mirant's credit difficulties halted the selling of exotic options, I took some time to qualify as commercial pilot and flight instructor with ratings for single-engine, multi-engine, and instrument airplane.
In May 2003, I joined Financial Engineering Associates where I was the Strategist for Physical Asset Models. I contributed to sales and development of option pricing/hedging models for gas storage, power generation, load obligations, swing rights, weather-triggered commodity options, and portfolios of the above instruments. I also did sales presentations, articles, user support, training, and adaptation of products to practical application in energy trading.
In May 2005, I joined OGE Energy's deregulated business as Director of Quantitative Analysis. In late November 2005 I was promoted to Vice President Energy Marketing & Trading, with overall P&L responsibility for OGE Energy Resources Inc. In October 2007 I was promoted to President, OGE Energy Resources, Inc.
I currently serve as a director on the following boards: