Electromagnetic follow-up of gravitational wave transient signal candidates

Pioneering efforts aiming at the development of multi-messenger gravitational wave and electromagnetic astronomy have been made. An electromagnetic observation follow-up program of candidate gravitational wave events has been performed (Dec 17 2009 to Jan 8 2010 and Sep 4 to Oct 20 2010) during the recent runs of the LIGO and Virgo gravitational wave detectors. It involved ground-based and space electromagnetic facilities observing the sky at optical, X-ray and radio wavelengths. The joint gravitational wave and electromagnetic observation study requires the development of specific image analysis procedures able to discriminate the possible electromagnetic counterpart of gravitational wave triggers from contaminant/background events. The paper presents an overview of the electromagnetic follow-up program and the image analysis procedures.Comment: Proceedings of the 12th International Conference on "Topics in Astroparticle and Underground Physics" (TAUP 2011), Munich, September 2011 (to appear in IoP Journal of Physics: Conference Series

Monte Carlo Valuation of natural gas investments

This paper deals with the valuation of energy assets related to natural gas. In particular, we evaluate a baseload Natural Gas Combined Cycle (NGCC) power plant and an ancillary instalation, namely a Liquefied Natural Gas (LNG) facility, in a realistic setting; specifically, these investments enjoy a long useful life but require some non-negligible time to build. Then we focus on the valuation of several investment options again in a realistic setting. These include the option to invest in the power plant when there is uncertainty concerning the initial outlay, or the option's time to maturity, or the cost of CO2 emission permits, or when there is a chance to double the plant size in the future. Our model comprises three sources of risk. We consider uncertain gas prices with regard to both the current level and the long-run equilibrium level; the current electricity price is also uncertain. They all are assumed to show mean reversion. The two-factor model for natural gas price is calibrated using data from NYMEX NG futures contracts. Also, we calibrate the one-factor model for electricity price using data from the Spanish wholesale electricity market, respectively. Then we use the estimated parameter values alongside actual physical parameters from a case study to value natural gas plants. Finally, the calibrated parameters are also used in a Monte Carlo simulation framework to evaluate several American-type options to invest in these energy assets. We accomplish this by following the least squares MC approach.real options, power plants, stochastic revenues and cost, CO2 allowances, LNG

Optimal Abandonment of Coal-Fired Stations in the EU

Carbon-fired power plants could face some difficulties in a carbon-constrained world. The traditional advantage of coal as a cheaper fuel may decrease in the future if CO2 allowance prices start to increase. This paper seeks to answer empirically the most drastic question that an operating coal-fired power plant may ask itself: under what conditions would it be optimal to abandon the plant and obtain its salvage value? We try to assess this question from a financial viewpoint following a real option approach at firm level so as to attract the interest of utilities and the broader investment community. We consider the specific case of a coal-fired power plant that operates under restrictions on carbon dioxide emissions in an electricity market where gas-fired plants are considered as marginal units. We also consider three sources of uncertainty or stochastic variables: the coal price, the gas price and the emission allowance price. These parameters are derived from future markets and are used in a three-dimensional binomial lattice to assess the value of the option to abandon. Our results (and sensitivity analysis) show the conditions that have to be met for the abandonment option to be exercised. This option to abandon coalfired plants is, however, hardly likely to be exercised if plants can operate as peaking plants. However, the decision may go differently in different circumstances, such as high CO2 allowance prices, very low volatility of allowance price or a decrease in the price of gas. The decision is also influenced by the remaining lifetime of the plant and its thermal efficiency. In any case the price of CO2 will work to bring forward the decision to abandon in older and less efficient coal-fired plants, which are less likely to be retrofitted in the future.power plants, coal, natural gas, emission allowances, futures markets, stochastic processes, abandonment, real options

Valuing Flexibility: The case of an Integrated Gasification Combined Cycle Power Plant

In this paper we analyze the valuation of options stemming from the flexibility in an Integrated Gasification Combined Cycle (IGCC) Power Plant. First we use as a base case the opportunity to invest in a Natural Gas Combined Cycle (NGCC) Power Plant, deriving the optimal investment rule as a function of fuel price and the remaining life of the right to invest. Additionally, the analytical solution for a perpetual option is obtained. Second, the valuation of an operating IGCC Power Plant is studied, with switching costs between states and a choice of the best operation mode. The valuation of this plant serves as a base to obtain the value of the option to delay an investment of this type. Finally, we derive the value of an opportunity to invest either in a NGCC or IGCC Power Plant, that is, to choose between an inflexible and a flexible technology, respectively. Numerical computations involve the use of one- and two-dimensional binomial lattices that support a mean-reverting process for the fuel prices. Basic parameter values refer to an actual IGCC power plant currently in operation.real options, power plants, flexibility, stochastic costs

Income risk of EU coal-fired power plants after Kyoto

Coal-fired power plants may enjoy a significant advantage relative to gas plants in terms of cheaper fuel cost. Still, this advantage may erode or even turn into disadvantage depending on CO2 emission allowance price. This price will presumably rise in both the Kyoto Protocol commitment period (2008-2012) and the first post-Kyoto years. Thus, in a carbon-constrained environment, coal plants face financial risks arising in their profit margins, which in turn hinge on their so-called "clean dark spread". These risks are further reinforced when the price of the output electricity is determined by natural gas-fired plants' marginal costs, which differ from coal plants' costs. We aim to assess the risks in coal plants' margins. We adopt parameter values estimated from empirical data. These in turn are derived from natural gas and electricity markets alongside the EU ETS market where emission allowances are traded. Monte Carlo simulation allows to compute the expected value and risk profile of coal-based electricity generation. We focus on the clean dark spread in both time periods under different future scenarios in the allowance market. Specifically, bottom 5% and 10% percentiles are derived. According to our results, certain future paths of the allowance price may impose significant risks on the clean dark spread obtained by coal plants.clean spark spread, clean dark spread, EU Emissions Trading Scheme, Monte Carlo

Optimal Investment in Energy Efficiency under Uncertainty

This paper deals with the optimal time to invest in an energy efficiency improvement. There is a broad consensus that such investments quickly pay for themselves in lower energy bills and spared emission allowances. However, investments that at first glance seem worthwhile are frequently not undertaken. Our aim is to shed some light on this issue. In particular, we try to assess these projects from a financial point of view so as to attract sufficient interest from the investment community. We consider the specific case of a firm or utility already in place that consumes huge amounts of coal and operates under restrictions on carbon dioxide emissions. In order to reduce both coal and carbon costs the firm may undertake an investment to enhance energy efficiency. We consider three sources of uncertainty: the fuel commodity price, the emission allowance price, and the overall investment cost. The parameters of the coal price process and the carbon price process are estimated from observed futures prices. The numerical parameter values are then used in a three-dimensional binomial lattice to assess the value of the option to invest. As usual, maximising this value involves determining the optimal exercise time. Thus we compute the trigger investment cost, i.e. the threshold level below which immediate investment would be optimal. A sensitivity analysis is also undertaken. Our results go some way towards explaining the so-called energy efficiency paradox.Energy efficiency, Real options

Climate change and heatwaves in the main coastal cities of the Basque Country

In this paper we analyse the probabilistic behaviour of heatwaves (HWs) in the main coastal cities of the Basque Country (Bayonne, Bilbao and Donostia-San Sebastian) in the twentyfirst century. We estimate HW behaviour using data from eight climate circulation models under two representative concentration pathways (RCP 8.5 and RCP 4.5). We model HWs according to three factors: number per annum, duration and intensity, including correlations, and find very different results for each climate model. This highlights the problem of using a single model. Under RCP 8.5, we find an expected mean excess over the 30C temperature threshold of 4.19C for Bayonne, 4.05C for Bilbao and 4.14C for Donostia-San Sebastian in 2100. These expected values are based on incomplete information, so we also calculate several risk measures. © 2020 Servicio Central Publicaciones. Gobierno vasco.This research is supported by the Basque Government through the BERC 2018-2021 programme and by the Spanish Ministry of the Economy and Competitiveness (MINECO) through BC3 Mar?a de Maeztu excellence accreditation MDM-2017-0714. Additionally, Luis M. Abadie gratefully acknowledges financial support from The Spanish Ministry of Science and Innovation (RTI2018-093352-B-I00). Marek Smid acknowledges the H2020 EU project COACCH-grant agreement N. 776479

Localizing gravitational wave sources with optical telescopes and combining electromagnetic and gravitational wave data

Neutron star binaries, which are among the most promising sources for the direct detection of gravitational waves (GW) by ground based detectors, are also potential electromagnetic (EM) emitters. Gravitational waves will provide a new window to observe these events and hopefully give us glimpses of new astrophysics. In this paper, we discuss how EM information of these events can considerably improve GW parameter estimation both in terms of accuracy and computational power requirement. And then in return how GW sky localization can help EM astronomers in follow-up studies of sources which did not yield any prompt emission. We discuss how both EM source information and GW source localization can be used in a framework of multi-messenger astronomy. We illustrate how the large error regions in GW sky localizations can be handled in conducting optical astronomy in the advance detector era. We show some preliminary results in the context of an array of optical telescopes called BlackGEM, dedicated for optical follow-up of GW triggers, that is being constructed in La Silla, Chile and is expected to operate concurrent to the advanced GW detectors.Comment: 8 pages, 8 figures, Proceeding for Sant Cugat Forum for Astrophysic