A presentation on Quantitative developments for the energy industry, comprising of two business cases in Renewable Energy and Power Asset Modelling and Optimization
ICIS webinar - Price sensitivity analysis with neural networksICIS
The power markets are full of what if’s. The impact of renewable generation on spot power prices has naturally generated a great deal of volatility in the markets. Inputs and assumptions such as power demand, changing weather forecasts, and available capacities are just some of the key drivers that help predict the price of power. But what if there is more wind generation than expected? What happens if demand for power turns out to be stronger than anticipated?
While uncertainties in the market cannot be eliminated, they can be identified, quantified and their impact assessed on positions and portfolios. The goal of this webinar is to explain how Neural Networks power price models can help to assess the sensitivities that can impact spot prices in the German day ahead market and how you can use this to your advantage.
SEMANCO Workshop: Analysing and Visualising energy related data in our buildings, towns, and cities.
http://semanco-visualization-workshop.blogspot.com.es/
La Salle Campus Barcelona, Spain, 11-12 April 2013.
Digital twin for ports and terminals schuett slideshareHolger Schuett
Digital twins are known in production of technical products. Here we explain how it may optimize maritime logistics processes.
The presentation was prepared for the LOGMS conference in Singapore 2019
Load types, estimation, grwoth, forecasting and duration curvesAzfar Rasool
It includes the detail analysis of the various types electrical load, how to estimatate the load, methods of load forecasting and explanation of the load duration curves.
An integrated OPF dispatching model with wind power and demand response for d...IJECEIAES
In the day-ahead dispatching of network-constrained electricity markets, renewable energy and distributed resources are dispatched together with conventional generation. The uncertainty and volatility associated to renewable resources represents a new paradigm to be faced for power system operation. Moreover, in various electricity markets there are mechanisms to allow the demand participation through demand response (DR) strategies. Under operational and economic restrictions, the operator each day, or even in intra-day markets, dispatchs an optimal power flow to find a feasible state of operation. The operation decisions in power markets use an optimal power flow considering unit commitment to dispatch economically generation and DR resources under security restrictions. This paper constructs a model to include demand response in the optimal power flow under wind power uncertainty. The model is formulated as a mixed-integer linear quadratic problem and evaluated through Monte-Carlo simulations. A large number of scenarios around a trajectory bid captures the uncertainty in wind power forecasting. The proposed integrated OPF model is tested on the standard IEEE 39-bus system.
ICIS webinar - Price sensitivity analysis with neural networksICIS
The power markets are full of what if’s. The impact of renewable generation on spot power prices has naturally generated a great deal of volatility in the markets. Inputs and assumptions such as power demand, changing weather forecasts, and available capacities are just some of the key drivers that help predict the price of power. But what if there is more wind generation than expected? What happens if demand for power turns out to be stronger than anticipated?
While uncertainties in the market cannot be eliminated, they can be identified, quantified and their impact assessed on positions and portfolios. The goal of this webinar is to explain how Neural Networks power price models can help to assess the sensitivities that can impact spot prices in the German day ahead market and how you can use this to your advantage.
SEMANCO Workshop: Analysing and Visualising energy related data in our buildings, towns, and cities.
http://semanco-visualization-workshop.blogspot.com.es/
La Salle Campus Barcelona, Spain, 11-12 April 2013.
Digital twin for ports and terminals schuett slideshareHolger Schuett
Digital twins are known in production of technical products. Here we explain how it may optimize maritime logistics processes.
The presentation was prepared for the LOGMS conference in Singapore 2019
Load types, estimation, grwoth, forecasting and duration curvesAzfar Rasool
It includes the detail analysis of the various types electrical load, how to estimatate the load, methods of load forecasting and explanation of the load duration curves.
An integrated OPF dispatching model with wind power and demand response for d...IJECEIAES
In the day-ahead dispatching of network-constrained electricity markets, renewable energy and distributed resources are dispatched together with conventional generation. The uncertainty and volatility associated to renewable resources represents a new paradigm to be faced for power system operation. Moreover, in various electricity markets there are mechanisms to allow the demand participation through demand response (DR) strategies. Under operational and economic restrictions, the operator each day, or even in intra-day markets, dispatchs an optimal power flow to find a feasible state of operation. The operation decisions in power markets use an optimal power flow considering unit commitment to dispatch economically generation and DR resources under security restrictions. This paper constructs a model to include demand response in the optimal power flow under wind power uncertainty. The model is formulated as a mixed-integer linear quadratic problem and evaluated through Monte-Carlo simulations. A large number of scenarios around a trajectory bid captures the uncertainty in wind power forecasting. The proposed integrated OPF model is tested on the standard IEEE 39-bus system.
A Response Surface Based Wind Farm Cost (RS-WFC) model, is developed to evaluate the economics of wind farms. The RS-WFC model is developed using Extended Radial Basis Functions (E-RBF) for onshore wind farms in the U.S.. This model is then used to explore the in uence of di erent design and economic parameters, including number of turbines, rotor diameter and labor cost, on the cost of a wind farm. The RS-WFC model is composed of three parts that estimate (i) the installation cost, (ii) the annual Operation and Maintenance (O&M) cost, and (iii) the total annual cost of a wind farm. The accuracy of the cost model is favorably established through comparison with pertinent commercial data. Moreover, the RS-WFC model is integrated with an analytical power generation model of a wind farm. A recently developed Unrestricted Wind Farm Layout Optimization (UWFLO) model is used to determine the power generated by a farm. The ratio of the total annual cost and the energy generated by the wind farm in one year (commonly known as the Cost of Energy, COE) is minimized in this paper. The results show that the COE could decreasesigni cantlythroughlayoutoptimization,toobtainmillionsofannualcostsavings.
CSP Training course - Lesson 5 : Assessing the Solar Resource for CSP plantsLeonardo ENERGY
5th and last lesson of this course on CSP technology.
In this session there will be a complete review of technologies and techniques to assess the solar resource of a site and its suitability for a CSP project.
- Understanding the solar resource for csp plants
- Solar radiation measurement and estimation
- Solar radiation databases
- Statistical characterisation of the solar resource. Typical meteorological years
- Solar resource assessment for csp plants
UNIT-IV:Economic Operation of Power Systems:
Characteristics of steam and hydro-plants,Constraints in operation, Economic load scheduling of thermal plants Neglecting and considering transmission Losses, Penalty factor, loss coefficients, Incremental transmission loss. Hydrothermal Scheduling.
Helionomics: Utility-Scale PV Plants in Italy: A Sustainable Way Towards Low Price Electricity?
Demonstration of the possibility to get definitely low cost electricity by means of utility scale photovoltaic installations due to their intrinsic value (from reduction of peak power cost) and the huge reduction of components' and turn-key costs.
Presented at the SuNEC 2011 Conference near Palermo, Italy:
www.solar-conference.eu
GRID FLEXIBILITY: an antidote to relieve pain in a changing energy systemIRIS Smart Cities
While creating the sustainable energy system some changes required will be so drastic they will lead to situations where the existing rules and system control will become insufficient
- the system will experience ‘pain’
This presentation provides insights into the DSO’s position in the future electricity system
CSP Training course - Lesson 4 : Thermal Storage and HybridisationLeonardo ENERGY
Dispatchability, thermal energy storage and hybridisation
Thermal storage for CSP plants:
concept
functions of the thermal energy storage system (tes)
classification of tes systems
state of the art
future developments
Hybridisation of CSP plants:
concept
solar -- gas hybrid csp plants
hybridisation with biomass
This is the 4th lesson of the general course on CSP Technology.
CSP Training course - Lesson 2 : Linear Focus TechnologiesLeonardo ENERGY
In this session the main elements of the parabolic trough technology will be described: concentrators, receivers, heat transfer fluids, connecting elements, etc.
Then, the main characteristics of today's parabolic trough solar thermal power plants will be presented: design, operation and costs.
Finally, the audience will get some ideas for future developments.
This is the 2nd lesson of the general training on CSP technology.
A Response Surface Based Wind Farm Cost (RS-WFC) model, is developed to evaluate the economics of wind farms. The RS-WFC model is developed using Extended Radial Basis Functions (E-RBF) for onshore wind farms in the U.S.. This model is then used to explore the in uence of di erent design and economic parameters, including number of turbines, rotor diameter and labor cost, on the cost of a wind farm. The RS-WFC model is composed of three parts that estimate (i) the installation cost, (ii) the annual Operation and Maintenance (O&M) cost, and (iii) the total annual cost of a wind farm. The accuracy of the cost model is favorably established through comparison with pertinent commercial data. Moreover, the RS-WFC model is integrated with an analytical power generation model of a wind farm. A recently developed Unrestricted Wind Farm Layout Optimization (UWFLO) model is used to determine the power generated by a farm. The ratio of the total annual cost and the energy generated by the wind farm in one year (commonly known as the Cost of Energy, COE) is minimized in this paper. The results show that the COE could decreasesigni cantlythroughlayoutoptimization,toobtainmillionsofannualcostsavings.
CSP Training course - Lesson 5 : Assessing the Solar Resource for CSP plantsLeonardo ENERGY
5th and last lesson of this course on CSP technology.
In this session there will be a complete review of technologies and techniques to assess the solar resource of a site and its suitability for a CSP project.
- Understanding the solar resource for csp plants
- Solar radiation measurement and estimation
- Solar radiation databases
- Statistical characterisation of the solar resource. Typical meteorological years
- Solar resource assessment for csp plants
UNIT-IV:Economic Operation of Power Systems:
Characteristics of steam and hydro-plants,Constraints in operation, Economic load scheduling of thermal plants Neglecting and considering transmission Losses, Penalty factor, loss coefficients, Incremental transmission loss. Hydrothermal Scheduling.
Helionomics: Utility-Scale PV Plants in Italy: A Sustainable Way Towards Low Price Electricity?
Demonstration of the possibility to get definitely low cost electricity by means of utility scale photovoltaic installations due to their intrinsic value (from reduction of peak power cost) and the huge reduction of components' and turn-key costs.
Presented at the SuNEC 2011 Conference near Palermo, Italy:
www.solar-conference.eu
GRID FLEXIBILITY: an antidote to relieve pain in a changing energy systemIRIS Smart Cities
While creating the sustainable energy system some changes required will be so drastic they will lead to situations where the existing rules and system control will become insufficient
- the system will experience ‘pain’
This presentation provides insights into the DSO’s position in the future electricity system
CSP Training course - Lesson 4 : Thermal Storage and HybridisationLeonardo ENERGY
Dispatchability, thermal energy storage and hybridisation
Thermal storage for CSP plants:
concept
functions of the thermal energy storage system (tes)
classification of tes systems
state of the art
future developments
Hybridisation of CSP plants:
concept
solar -- gas hybrid csp plants
hybridisation with biomass
This is the 4th lesson of the general course on CSP Technology.
CSP Training course - Lesson 2 : Linear Focus TechnologiesLeonardo ENERGY
In this session the main elements of the parabolic trough technology will be described: concentrators, receivers, heat transfer fluids, connecting elements, etc.
Then, the main characteristics of today's parabolic trough solar thermal power plants will be presented: design, operation and costs.
Finally, the audience will get some ideas for future developments.
This is the 2nd lesson of the general training on CSP technology.
Wikipedia Views As A Proxy For Social EngagementDaniel Cuneo
Wikipedia is now offering up to 7 years of page view data.
Can we use this data to measure social engagement ?
I gather some data in this test of the cancer drug Tarceva to see what the view data looks like.
Hamburgo residencial - Costa e Silva Joinville - SCNovos projetos
2 e 3 dormitórios com amplas metragens, suíte, sacada e churrasqueira a carvão, entregue completo, gesso, pisos porcelanato, preparo para ar condicionado split, 1 ou 2 vagas, torre única, salão de festas, piscina, playgrond, entregue decorado, equipado e climatizado.
ECONOMIC LOAD DISPATCH USING PARTICLE SWARM OPTIMIZATIONMln Phaneendra
In this ppt particle swarm optimization (PSO) is applied to allot the active power among the generating stations satisfying the system constraints and minimizing the cost of power generated.The viability of the method is analyzed for its accuracy and rate of convergence. The economic load dispatch problem is solved for three and six unit system using PSO and conventional method for both cases of neglecting and including transmission losses. The results of PSO method were compared with conventional method and were found to be superior.
TSO Reliability Management: a probabilistic approach for better balance betwe...Leonardo ENERGY
This webinar presents the probabilistic approach to reliability management developed by the collaborative project GARPUR (www.garpur-project.eu) involving the TSOs of 7 European countries.
The reliability management methodology developed and tested by GARPUR aims at a better balance between reliability and cost, by taking into account the weather-dependent probabilities of system component failures and the expected cost of service interruption to the end users.
The webinar will briefly recall the key components of the methodology developed, present the results of the different pilot tests conducted in 2017, and conclude on the main recommendations built upon the project findings.
State estimation and Mean-Field Control with application to demand dispatchSean Meyn
Y. Chen, A. Busic, and S. Meyn.
In 54th IEEE Conference on Decision and Control, Dec. 2015.
See also journal version of the paper,
http://arxiv.org/abs/1504.00088
Reduce uncertainty in the financial studies and create a real analysis by non-deterministic assessment and including reliability data and quantitative risk analysis.
Smart Prepayment Solution with Chic Export Company
For More Details Contact us freely
Email id: info@chicexport.com
Phone No.: +91-(33) 2526 7024/2526 7028/2526 7029
www.chicexport.com
how can i use my minded pi coins I need some funds.DOT TECH
If you are interested in selling your pi coins, i have a verified pi merchant, who buys pi coins and resell them to exchanges looking forward to hold till mainnet launch.
Because the core team has announced that pi network will not be doing any pre-sale. The only way exchanges like huobi, bitmart and hotbit can get pi is by buying from miners.
Now a merchant stands in between these exchanges and the miners. As a link to make transactions smooth. Because right now in the enclosed mainnet you can't sell pi coins your self. You need the help of a merchant,
i will leave the telegram contact of my personal pi merchant below. 👇 I and my friends has traded more than 3000pi coins with him successfully.
@Pi_vendor_247
how to sell pi coins in all Africa Countries.DOT TECH
Yes. You can sell your pi network for other cryptocurrencies like Bitcoin, usdt , Ethereum and other currencies And this is done easily with the help from a pi merchant.
What is a pi merchant ?
Since pi is not launched yet in any exchange. The only way you can sell right now is through merchants.
A verified Pi merchant is someone who buys pi network coins from miners and resell them to investors looking forward to hold massive quantities of pi coins before mainnet launch in 2026.
I will leave the telegram contact of my personal pi merchant to trade with.
@Pi_vendor_247
The secret way to sell pi coins effortlessly.DOT TECH
Well as we all know pi isn't launched yet. But you can still sell your pi coins effortlessly because some whales in China are interested in holding massive pi coins. And they are willing to pay good money for it. If you are interested in selling I will leave a contact for you. Just telegram this number below. I sold about 3000 pi coins to him and he paid me immediately.
Telegram: @Pi_vendor_247
what is the best method to sell pi coins in 2024DOT TECH
The best way to sell your pi coins safely is trading with an exchange..but since pi is not launched in any exchange, and second option is through a VERIFIED pi merchant.
Who is a pi merchant?
A pi merchant is someone who buys pi coins from miners and pioneers and resell them to Investors looking forward to hold massive amounts before mainnet launch in 2026.
I will leave the telegram contact of my personal pi merchant to trade pi coins with.
@Pi_vendor_247
Turin Startup Ecosystem 2024 - Ricerca sulle Startup e il Sistema dell'Innov...Quotidiano Piemontese
Turin Startup Ecosystem 2024
Una ricerca de il Club degli Investitori, in collaborazione con ToTeM Torino Tech Map e con il supporto della ESCP Business School e di Growth Capital
when will pi network coin be available on crypto exchange.DOT TECH
There is no set date for when Pi coins will enter the market.
However, the developers are working hard to get them released as soon as possible.
Once they are available, users will be able to exchange other cryptocurrencies for Pi coins on designated exchanges.
But for now the only way to sell your pi coins is through verified pi vendor.
Here is the telegram contact of my personal pi vendor
@Pi_vendor_247
where can I find a legit pi merchant onlineDOT TECH
Yes. This is very easy what you need is a recommendation from someone who has successfully traded pi coins before with a merchant.
Who is a pi merchant?
A pi merchant is someone who buys pi network coins and resell them to Investors looking forward to hold thousands of pi coins before the open mainnet.
I will leave the telegram contact of my personal pi merchant to trade with
@Pi_vendor_247
Financial Assets: Debit vs Equity Securities.pptxWrito-Finance
financial assets represent claim for future benefit or cash. Financial assets are formed by establishing contracts between participants. These financial assets are used for collection of huge amounts of money for business purposes.
Two major Types: Debt Securities and Equity Securities.
Debt Securities are Also known as fixed-income securities or instruments. The type of assets is formed by establishing contracts between investor and issuer of the asset.
• The first type of Debit securities is BONDS. Bonds are issued by corporations and government (both local and national government).
• The second important type of Debit security is NOTES. Apart from similarities associated with notes and bonds, notes have shorter term maturity.
• The 3rd important type of Debit security is TRESURY BILLS. These securities have short-term ranging from three months, six months, and one year. Issuer of such securities are governments.
• Above discussed debit securities are mostly issued by governments and corporations. CERTIFICATE OF DEPOSITS CDs are issued by Banks and Financial Institutions. Risk factor associated with CDs gets reduced when issued by reputable institutions or Banks.
Following are the risk attached with debt securities: Credit risk, interest rate risk and currency risk
There are no fixed maturity dates in such securities, and asset’s value is determined by company’s performance. There are two major types of equity securities: common stock and preferred stock.
Common Stock: These are simple equity securities and bear no complexities which the preferred stock bears. Holders of such securities or instrument have the voting rights when it comes to select the company’s board of director or the business decisions to be made.
Preferred Stock: Preferred stocks are sometime referred to as hybrid securities, because it contains elements of both debit security and equity security. Preferred stock confers ownership rights to security holder that is why it is equity instrument
<a href="https://www.writofinance.com/equity-securities-features-types-risk/" >Equity securities </a> as a whole is used for capital funding for companies. Companies have multiple expenses to cover. Potential growth of company is required in competitive market. So, these securities are used for capital generation, and then uses it for company’s growth.
Concluding remarks
Both are employed in business. Businesses are often established through debit securities, then what is the need for equity securities. Companies have to cover multiple expenses and expansion of business. They can also use equity instruments for repayment of debits. So, there are multiple uses for securities. As an investor, you need tools for analysis. Investment decisions are made by carefully analyzing the market. For better analysis of the stock market, investors often employ financial analysis of companies.
how to sell pi coins at high rate quickly.DOT TECH
Where can I sell my pi coins at a high rate.
Pi is not launched yet on any exchange. But one can easily sell his or her pi coins to investors who want to hold pi till mainnet launch.
This means crypto whales want to hold pi. And you can get a good rate for selling pi to them. I will leave the telegram contact of my personal pi vendor below.
A vendor is someone who buys from a miner and resell it to a holder or crypto whale.
Here is the telegram contact of my vendor:
@Pi_vendor_247
what is the future of Pi Network currency.DOT TECH
The future of the Pi cryptocurrency is uncertain, and its success will depend on several factors. Pi is a relatively new cryptocurrency that aims to be user-friendly and accessible to a wide audience. Here are a few key considerations for its future:
Message: @Pi_vendor_247 on telegram if u want to sell PI COINS.
1. Mainnet Launch: As of my last knowledge update in January 2022, Pi was still in the testnet phase. Its success will depend on a successful transition to a mainnet, where actual transactions can take place.
2. User Adoption: Pi's success will be closely tied to user adoption. The more users who join the network and actively participate, the stronger the ecosystem can become.
3. Utility and Use Cases: For a cryptocurrency to thrive, it must offer utility and practical use cases. The Pi team has talked about various applications, including peer-to-peer transactions, smart contracts, and more. The development and implementation of these features will be essential.
4. Regulatory Environment: The regulatory environment for cryptocurrencies is evolving globally. How Pi navigates and complies with regulations in various jurisdictions will significantly impact its future.
5. Technology Development: The Pi network must continue to develop and improve its technology, security, and scalability to compete with established cryptocurrencies.
6. Community Engagement: The Pi community plays a critical role in its future. Engaged users can help build trust and grow the network.
7. Monetization and Sustainability: The Pi team's monetization strategy, such as fees, partnerships, or other revenue sources, will affect its long-term sustainability.
It's essential to approach Pi or any new cryptocurrency with caution and conduct due diligence. Cryptocurrency investments involve risks, and potential rewards can be uncertain. The success and future of Pi will depend on the collective efforts of its team, community, and the broader cryptocurrency market dynamics. It's advisable to stay updated on Pi's development and follow any updates from the official Pi Network website or announcements from the team.
USDA Loans in California: A Comprehensive Overview.pptxmarketing367770
USDA Loans in California: A Comprehensive Overview
If you're dreaming of owning a home in California's rural or suburban areas, a USDA loan might be the perfect solution. The U.S. Department of Agriculture (USDA) offers these loans to help low-to-moderate-income individuals and families achieve homeownership.
Key Features of USDA Loans:
Zero Down Payment: USDA loans require no down payment, making homeownership more accessible.
Competitive Interest Rates: These loans often come with lower interest rates compared to conventional loans.
Flexible Credit Requirements: USDA loans have more lenient credit score requirements, helping those with less-than-perfect credit.
Guaranteed Loan Program: The USDA guarantees a portion of the loan, reducing risk for lenders and expanding borrowing options.
Eligibility Criteria:
Location: The property must be located in a USDA-designated rural or suburban area. Many areas in California qualify.
Income Limits: Applicants must meet income guidelines, which vary by region and household size.
Primary Residence: The home must be used as the borrower's primary residence.
Application Process:
Find a USDA-Approved Lender: Not all lenders offer USDA loans, so it's essential to choose one approved by the USDA.
Pre-Qualification: Determine your eligibility and the amount you can borrow.
Property Search: Look for properties in eligible rural or suburban areas.
Loan Application: Submit your application, including financial and personal information.
Processing and Approval: The lender and USDA will review your application. If approved, you can proceed to closing.
USDA loans are an excellent option for those looking to buy a home in California's rural and suburban areas. With no down payment and flexible requirements, these loans make homeownership more attainable for many families. Explore your eligibility today and take the first step toward owning your dream home.
Empowering the Unbanked: The Vital Role of NBFCs in Promoting Financial Inclu...Vighnesh Shashtri
In India, financial inclusion remains a critical challenge, with a significant portion of the population still unbanked. Non-Banking Financial Companies (NBFCs) have emerged as key players in bridging this gap by providing financial services to those often overlooked by traditional banking institutions. This article delves into how NBFCs are fostering financial inclusion and empowering the unbanked.
Exploring Abhay Bhutada’s Views After Poonawalla Fincorp’s Collaboration With...beulahfernandes8
The financial landscape in India has witnessed a significant development with the recent collaboration between Poonawalla Fincorp and IndusInd Bank.
The launch of the co-branded credit card, the IndusInd Bank Poonawalla Fincorp eLITE RuPay Platinum Credit Card, marks a major milestone for both entities.
This strategic move aims to redefine and elevate the banking experience for customers.
Quantitive Approaches and venues for Energy Trading & Risk Management
1. Manuele Monti, Ph.D.
GDF Suez Energia Italia
Energy Management - Power & Risk Portfolio
Quantitative approaches and
venues for Energy Trading & Risk
Management
Presentation Title
Milano, 25 Marzo 2014
E' vietata la riproduzione, anche parziale, di immagini, testi o contenuti senza
autorizzazione dell’autore e di GDF Suez Energia Italia s.p.a.
Copyright all contenents reserved.
4. Outline presentation
4
Quantitative Analysis and Analytics in ETRM companies
An example of quantitative applications:
Asset modelling and portfolio management (VPP)
Strategy for QA & Analytics desk development
5. ETRM company structure: Financial optimization
5
Gas
Desk
Energy Management
Gas & Power Markets
(OTC markets, IPEX, IDEX, PSV, Cross Border, outborder, Green)
B2B B2C
Power Generation
Gas
Power
Sales Organization
Gas
Power
Green
Green
Power
Desk
Make-or-Buy
Asset-backed Trading Portfolio Optimization
Giants
VPP/
Tolling/
RHP
Risk Management
Spark Spread maximization
7. Quantitative Analysis & Analytics
techniques:
o Hedging and asset allocation vanilla products, swap,
exotic
o Asset modeling and optimization with structured
energy products (VPP, Swing, storage)
o Asset Risk Management
«P»-side o Buy-side of the finance
Real probability: «model the future»
Typical Quant figures:
Quant Risk & Portfolio
Manager
Quant strategist
ERPM Quant developer
ETRM company structure: activities
Techniques:
o Stochastic processes and Montecarlo
simulation
o Stochastic – Dynamic programming
o Risk Metrics (VaR, EaR, CaR, ES)
8. «Q»-side or Sell-side of the finance
Risk neutral: «extrapolate the present»
Typical Quant figures:
Quant Trader (FO Quant)
Structured deal trader
Algorithmic trader e HFT in
Prop desks
ETRM Quant developer
Quantitative Analysis & Analytics
techniques:
o Pricing derivatives vanilla, exotics and structured
energy products (VPP e Swing Options, Storage)
o Trading fundamental, technical, algo trading and
HFT
o Asset Backed Trading
Techniques:
o Stochastic processes and Montecarlo
simulation
o Stochastic – Dynamic programming
o Algorithmic and meta trading strategies
o High Performance Computing, big data
& data mining
o DMA e latency monitoring
ETRM company structure: activities
9. Typical Quant figures:
Energy Market Analyst
Bidding strategist
ETRM Quant developer
Quantitative Analysis & Analytics
techniques:
o Short –term and cross-commodity portfolio
optimization
o Unbalances bidding optimization
o Prompt prices forecasting and modeling
Techniques:
o Hybrid modelization
(statistics+fundamental)
o Thick quantitative (Neural Networks,
Fuzzy Logic),
o Operation research
o Game theory
ETRM company structure: activities
10. Model a risk hedging approach to offset the volume and price risk for the producer
Model a risk transfer mechanism to get the producer rid of the price and volume risks
Estimation of Risk Management fee
MWh
(S-Fee)*Q*t
MWh
Pz*Vol
S*Q*t PUN*Q*t
Producer
OTC
PUN = IPEX electricity hourly price (€/MWh)
Pz = IPEX zonal electricity hourly price (€/MWh)
Q = Hourly hedging level (MW);
Vol = Wind farm production (MWh)
S = Strike (€/MWh);
t = time-frame (h)
PUN*(Vol-Q*t) Fee*Q*t
(Fixed Income)
Price risk Volume risk
MtM
Risk Management application: Wind risk management
11. Margin vs TOP real testcase (Y-)
Wind velocity and power timeseries of a farm in a given
time-window and market level
Wind velocity and Power forecast:
- Modelling a synthetic wind-velocity process
- Modelling a synthetic hourly power production process
1
Risk Analysis:
- Montecarlo simulation assess optimal hedging level (Qopt)
- Montecarlo simulation, with hedging (Qopt) to assess producer Fee e VaR
3
IPEX PUN price forecast:
- Set-up of a monthly parametric mean-reverting PUN process (Peak- Off Peak –
Holydays switch) with Jumps
2
Quantitative algorithm
12. Portfolio Management application:
Hedging VPP by a multi-strike call option
12
Max capacity: 1100MW
Min capacity: 462MW
Must run constraints
Option on CSS = PW-IT – 2*PSV - CO2
Ramp-up from Min to Max: 2 hours
Real asset flexibility: Strip of daily call options Peak/Off-peak
CSS (€/MWh)
Volume in the money
(TWh)
VPP EXERCISE
40
45
50
55
60
65
70
75
80
85
90
1 3 5 7 9 11 13 15 17 19 21 23
PUN 2013
Media PUN orario 2013
Media OFF PEAK orario 2013
Media PEAK orario 2013
13. Dynamic – Programming priciple
13
The best combination of contingent claims, aims to optimize the value function:
• Vt(st) = value function (i.e. cash flow, S-P)
• = admissible state variables in the system
• = control variables (electricity price, gas price, CO2, CV)
• = transition function
• = cash flow in the state upon taking decision
The stochastic-dynamic programming algorithm solves the Hamilton – Jacobi-
Bellman (HJB) equation, by iteratively optimizing the expectation of the
continuation value:
14. Dynamic – Programming priciple
9/12/2013
14
Presentation Title
The best combination of contingent claims, aims to optimize the value function:
• Vt(st) = value function (i.e. cash flow, S-P)
• = variabili di stato ammissibili
• = variabili di controllo (prezzo elettricità, gas, CO2, CV)
• = funzione di transizione
• = cash flow generato nello stato prendendo la decisione
15. Hedging VPP by a multi-strike call option
Strike calibration
E@RA: (Average – P05) earning of the naked asset
E@RP: (Average – P05) earning of option + asset
0%
2%
4%
6%
8%
10%
12%
14%
16%
-60 -40 -20 0 20 40 60 80 100 120 140 160
Average Cashflowdistribution
ASSET AS+ OP Multi Strike AS+ OP 1 Strike M€
15
HCR* = 1- (E@RP/E@RA)
0.00
1.00
2.00
3.00
4.00
5.00
6.00
-30.00 -20.00 -10.00 - 10.00 20.00 30.00 40.00
Asset based approach
Asset
Option 1 Strike
0.00
1.00
2.00
3.00
4.00
5.00
6.00
-30.00 -20.00 -10.00 - 10.00 20.00 30.00 40.00
Multi Strike approach
Asset
Option Multi Strike
TWh
CSS IT
€/MWh
CSS IT
€/MWh
HCR* = 60% HCR* = 93%
The optimal strike combination is the one
that maximizes the objective function:
Hedge cover ratio
TWh
16. Strategy for QA & Analytics desk development
Capital Intensive Knowledge Intensive
Outsourcing
and consultancy
investments
Human and
intellectual capital
investment
- Dependency on external entities
- Technology change risk
- More expensive
Direct KPI monitoring
Reduced responsibility
Full delegation
Flexibility
Less expensive
Long term investments
Adoption of knowledge and
technology brokers
- Larger development time (?)
- Need for know-how retention
