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

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 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

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

¿Apoyan los entrenadores la motivación de sus deportistas? Diferencias en la percepción del comportamiento

El objetivo de este trabajo era valorar la influencia de la percepción de apoyo a las necesidades psicológicas básicas (NPB) sobre la motivación intrínseca, disfrute, aburrimiento e intención de persistencia en el contexto deportivo de base, y como podía incidir la diferencia entre lo que los entrenadores creían proporcionar y lo que los deportistas percibían, en relación a dicho apoyo. Para ello, se llevaron a cabo 2 estudios diferentes. En el estudio 1 participaron 985 deportistas (M = 14,34; DT = 2,52) y se realizó un análisis de regresión, en el que se demostró la importancia de las percepciones de apoyo a las NPB sobre las variables analizadas. En función de estos resultados, se llevó a cabo el estudio 2, en el que participaron 91 entrenadores (M = 32,41; DT = 6,51) y 432 deportistas (M = 13,44; DT = 2,92), realizándose un análisis de diferencias entre grupos de entrenadores creados en función de la percepción de apoyo proporcionado y el apoyo percibido por los deportistas. Los resultados demostraron diferencias en la motivación intrínseca, aburrimiento e intención de persistencia entre los deportistas cuyos entrenadores creían proporcionar más apoyo a las NPB que el percibido por los atletas, respecto a aquellos cuyos entrenadores consideraban realizar un apoyo similar o inferior al percibido. Por tanto, los resultados hallados tienen implicaciones relevantes para explicar la adherencia deportiva en etapas de formación y en la consideración de los antecedentes motivacionales en el contexto deportivo.The aim of this study was focused on assessing the influence of perception of support for basic psychological needs (BPN) on variables such as intrinsic motivation, enjoyment, boredom, and intention to persist in the training sport context; and how this can affect the difference between what is provided and what coaches believe athletes perceive in relation to such support. To achieve this aim, two different studies were conducted. In the 1st study, 985 athletes participated (M = 14.34; SD = 2.52), and a regression analysis was performed, where the results showed the importance of perception of support for BPN in the variables analyzed. Regarding the outcomes found in the former section, the 2nd study was carried out, where 91 coaches (M = 32.41; SD = 6.51) and 432 athletes (M = 13.44; SD = 2.92) were involved, and an analysis of differences was conducted after the creation of groups of coaches formed with respect to the support given and the support perceived by athletes. The results show differences in intrinsic motivation, boredom and intention to persist between athletes whose coaches were believed to give more support for BPN than perceived by athletes, with respect to participants whose coaches were considered to give support similar to or lower than the perceived. Therefore, the outcomes found have relevant implications to explain sport adherence in training stages, as well as the consideration of motivational background in a sport context.O principal objectivo do presente estudo foi avaliar a influência da percepção de apoio às necessidades psicológicas básicas (NPB) em variáveis como a motivação intrínseca, divertimento, aborrecimento e intenção para persistir no treino desportivo, e como isso pode afectar as diferenças entre o que fornecem e o que pensam os treinadores que os atletas percepcionam no que concerne a esse apoio. Para alcançar este objectivo, foram desenvolvidos dois trabalhos. No primeiro estudo participaram 985 atletas (M = 14.34; DP = 2.52), e foi realizada uma análise de regressão sendo que os resultados demonstraram a importância da percepção de apoio às NPB nas variáveis analisadas. Tendo em conta os resultados obtidos no estudo anterior, o segundo estudo foi levado a cabo com a participação de 91 treinadores (M = 32.41; DP = 6.51) e 432 atletas (M = 13.44; DP = 2.92), e uma análise de diferenças efectuada após a criação de grupos de treinadores formados com base no critério de apoio prestado e o apoio percebido pelos atletas. Os resultados revelam diferenças na motivação intrínseca, aborrecimento e intenção de persistir entre atletas cujos treinadores acreditavam fornecer mais apoio pa as as NPB que o percepcionado pelos atletas, relativamente aos participantes cujos treinadores consideravam fornecer igual ou inferior apoio ao percepcionado. Contudo, os resultados obtidos apresentam implicações relevantes na explicação da adesão às etapas do treino desportivo, bem como relativamente à consideração de antecedentes motivacionais no contexto desportivo

Abacavir/Lamivudine Versus Tenofovir/Emtricitabine in Virologically Suppressed Patients Switching from Ritonavir-Boosted Protease Inhibitors to Raltegravir

There are few clinical data on the combination abacavir/lamivudine plus raltegravir. We compared the outcomes of patients from the SPIRAL trial receiving either abacavir/lamivudine or tenofovir/emtricitabine at baseline who had taken at least one dose of either raltegravir or ritonavir-boosted protease inhibitors. For the purpose of this analysis, treatment failure was defined as virological failure (confirmed HIV-1 RNA ≥50 copies/ml) or discontinuation of abacavir/lamivudine or tenofovir/emtricitabine because of adverse events, consent withdrawal, or lost to follow-up. There were 143 (72.59%) patients with tenofovir/emtricitabine and 54 (27.41%) with abacavir/lamivudine. In the raltegravir group, there were three (11.11%) treatment failures with abacavir/lamivudine and eight (10.96%) with tenofovir/emtricitabine (estimated difference 0.15%; 95% CI -17.90 to 11.6). In the ritonavir-boosted protease inhibitor group, there were four (14.81%) treatment failures with abacavir/lamivudine and 12 (17.14%) with tenofovir/emtricitabine (estimated difference -2.33%; 95% CI -16.10 to 16.70). Triglycerides decreased and HDL cholesterol increased through the study more pronouncedly with abacavir/lamivudine than with tenofovir/emtricitabine and differences in the total-to-HDL cholesterol ratio between both combinations of nucleoside reverse transcriptase inhibitors (NRTIs) tended to be higher in the raltegravir group, although differences at 48 weeks were not significant. While no patient discontinued abacavir/lamivudine due to adverse events, four (2.80%) patients (all in the ritonavir-boosted protease inhibitor group) discontinued tenofovir/emtricitabine because of adverse events (p=0.2744). The results of this analysis do not suggest that outcomes of abacavir/lamivudine are worse than those of tenofovir/emtricitabine when combined with raltegravir in virologically suppressed HIV-infected adults

Uso del método de Split Bregman para la resolución del problema de compressed sensing en imagen de resonancia magnética dinámica cardiaca para pequeño animal

Actas de: XXIX Congreso Anual de la Sociedad Espñaola de Ingeniería Biomédica (CASEIB 2011). Cáceres, 16-18 Noviembre 2011.La imagen dinámica de resonancia magnética en pequeño animal es una herramienta muy importante en el estudio de enfermedades cardiovasculares. La reducción de los tiempos de adquisición de este tipo de imágenes es especialmente relevante para la obtención de imágenes de calidad con una buena resolución espacial y temporal. Actualmente existen diversas técnicas de aceleración que permiten reducir estos tiempos de adquisición, entre ellas la técnica de 'compressed sensing', en auge en los últimos años. Ésta técnica permite la reconstrucción de una imagen a partir de datos submuestreados mediante el uso de métodos de reconstrucción no lineales que minimizan la variación total de la imagen. Recientemente el método de Split Bregman ha demostrado ser computacionalmente eficiente para resolver este problema en imágenes de resonancia magnética. En este trabajo se amplía la metodología de Split Bregman para minimizar la variación total espacial y temporal en imágenes dinámicas, y se aplica a imágenes cardiacas de pequeño animal. Los resultados preliminares muestran que con la metodología propuesta es posible reducir el tiempo de adquisición hasta 5 veces manteniendo la calidad de imagen.Este trabajo ha sido financiado parcialmente por el Ministerio de Ciencia e Innovación (Red RECAVA) y la Comunidad de Madrid y los Fondos FEDER (proyecto ARTEMIS-S2009DPI-1802)Publicad

Innervation of the Human Cavum Conchae and Auditory Canal: Anatomical Basis for Transcutaneous Auricular Nerve Stimulation

The innocuous transcutaneous stimulation of nerves supplying the outer ear has been demonstrated to be as effective as the invasive direct stimulation of the vagus nerve for the treatment of some neurological and nonneurological disturbances. Thus, the precise knowledge of external ear innervation is of maximal interest for the design of transcutaneous auricular nerve stimulation devices. We analyzed eleven outer ears, and the innervation was assessed by Masson’s trichrome staining, immunohistochemistry, or immunofluorescence (neurofilaments, S100 protein, and myelin-basic protein). In both the cavum conchae and the auditory canal, nerve profiles were identified between the cartilage and the skin and out of the cartilage. The density of nerves and of myelinated nerve fibers was higher out of the cartilage and in the auditory canal with respect to the cavum conchae. Moreover, the nerves were more numerous in the superior and posterior-inferior than in the anterior-inferior segments of the auditory canal. The present study established a precise nerve map of the human cavum conchae and the cartilaginous segment of the auditory canal demonstrating regional differences in the pattern of innervation of the human outer ear. These results may provide additional neuroanatomical basis for the accurate design of auricular transcutaneous nerve stimulation devices

Aplicación de PCA y técnicas bayesianas a la clasificación de píxeles basada en color

En este trabajo se propone un método para la clasificación de píxeles en base a su color. A partir de un conjunto de variables que caracterizan un píxel según su color se determinará cuáles de éstas son las más representativas y se realizará la clasificación propiamente dicha. Para ello nuestro método consta de dos fases: en la primera se aplica PCA para obtener el conjunto de variables características más informativas; en la segunda, dichas variables se utilizan como patrones de las clases de un clasificador bayesiano. El método se ilustra a través de varios experimentos