About Joe Maisano
Joe Maisano is Director, Energy Markets at TTA and was a co-founder thirteen years ago. While Joe's primary role is business development, he is 'hands-on' with intimate involvement in many consulting, analysis and software development activities. Joe has over sixteen years of experience in modelling financial derivatives and price curves, consulting reports on risk management, financial software development and data provision. Joe has been working in electricity markets since 2001 including the areas of risk management, trading support, retail pricing, derivative pricing and price / load forecasting.
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This workshop is offered by the Program for Research in Energy and Emissions Markets (PREEM) at the University of Technology, Sydney.
The workshop will be presented by distinguished Professor Gordon Sick, Professor of Finance at the Haskayne School of Business, University of Calgary, Canada. Professor Gordon Sick has a solid experience in consulting. His recent projects have included valuation of union merger gains and losses, real options analysis and valuation of spark spreads, real options analysis and valuation of mine development strategies, and valuation of liquidated damages on a long-term gas purchase contract including Kalman filter analysis of forward curves.
Details of the workshop are as follows:
Title: Valuing Power Plants with Spark Spread Options
Time: 2:00pm – 5:10pm, Friday 8th April
Location: Access Grid Room 01.16.11. Room 11, Level 16, UTS Tower Building, 15 Broadway, Sydney
Registration fee: $450 (a discount of $70 applies to registrations taken by Monday 4th April)
Non-UTS academics are entitled to receive a 50% discount
Non-UTS students are entitled to receive a 75% discount
For UTS academics and UTS PG-students there will be a special arrangement
NEW!! For registered participants who will not be able attend the workshop at UTS, remote access from any PC/laptop to our Access Grid login facility will be available.
Additional information regarding the method of payment will be provided on registration.
Registration: Click here to register or contact Alex Radchik (Alex.Radchik@uts.edu.au) for all other inquiries. Immediately before payment select your discount type (early bird, academic or student). Note when entering organisation name, click the New Organisation Name button if the form rejects your entry.
As the number of places is limited, please register as soon as possible. The FCFS policy (First-Come, First-Served) will be applied.
Abstract
It is common to refer to a gas-fired power plant as generating a spark spread: converting natural gas to electricity by burning. A spark spread has two correlated stochastic variables: electricity price and natural gas price. To lower the number of variables in a problem, we worked with heat rates. The market heat rate is the ratio of the electricity price to the natural gas price and the plant heat rate is the number of gigajoules (GJ) of gas needed to generate one MWh of electric power.
We estimate a stochastic model for market heat rates that incorporates time of day, day of week, month and the incidence or otherwise of a spike in heat rates. We use the model and its residuals in a bootstrap process simulating future market heat rates, and use a Least Squares Monte Carlo approach to determine the optimal operating policy.
We applied our model to existing power plant in Alberta, Canada. This plant is powered by two General Electric gas turbines combined with a steam generator that allows combined cycle operations. This power plant is popular in various power jurisdictions around the world as a turnkey power plant that can offer peaking capacity, and some baseload power delivery. 4 operating modes for the plant are considered: cold metal (off), 15 MW idle in combined cycle, full simple-cycle power (95 MW) and combined cycle full power (120 MW). The plant is valued in each of four modes and the whole approach is summarized in a simple, easy-to-use example in a spreadsheet model using historical data.
Note that TTA is currently hosting PREEM web postings and email notifications on a temporary basis until University resources are set up to do this. For the latest PREEM news including presentations of past events, please visit the PREEM index page.
Prof. Dr Hans-Jakob Lüthi
Date: Tuesday 22 March 2011, 12:00 – 13:00.
Joint Seminar: UTS PREEM (QFRC Program for Research in Energy and Emissions Markets) and School of Mathematical Sciences
Title: Optimization at Work: From Market Design for Emission Trading Schemes towards Robust Risk Measures
Speaker: Prof. Dr Hans-Jakob Lüthi, Institute for Operations Research, ETHZ
Venue: CB01.16.11
Presentation: Prof. Dr Hans-Jakob Lüthi – Optimization at Work (12.3 MB)
Abstract:
The focus of this lecture is to apply sound optimization concepts to socially relevant problems. In the first part I will present a recent project on the stochastic price formation of CO2 allowances in a cap and trade system such as the European Union Emission Trading Scheme (joint work with M. Fehr, J. Hinz and R. Carmona). In particular the following questions will be addressed:
• Relation of allowance prices to fundamental price drivers such as stochastic production costs and demand;
• Equilibrium price formation of goods whose manufacturing causes pollution;
• Emergent systems properties such as windfall profits in relation to alternative market design like carbon tax, auctioning of allowances, relative allocation schema, etc;
• Computational tractability and verification of the quality of approximate solutions using abstract LP duality theory.
In the second part we will present an extension of coherent risk measures towards robust risk measures (joint work with A. Fertis, M. Baes). It is well known that abstract duality underlies the representation theorem of coherent and convex risk measures. In this work we suggest to incorporate another source of uncertainty into the concept of risk measures, namely the uncertainty with regard to the estimates of the underlying distribution’s parameters. Immunizing against this source of risk can be done in the spirit of robust optimization motivating, for example, a computationally tractable concept of robust CVaR. Again, the concept is based on abstract duality theory of optimization in topological vector spaces. Preliminary results applied to managing price and volume risk in energy markets will be presented.
Note that TTA is currently hosting PREEM web postings and email notifications on a temporary basis until University resources are set up to do this. For the latest PREEM news including presentations of past events, please visit the PREEM index page.
The Program for Research in Energy and Emissions Markets (PREEM) at the University of Technology, Sydney aims to develop models and quantitative tools for unified pricing and risk management platforms of energy and environmental markets. It will also work towards the development and introduction of prudential standards for Energy Markets (similar to Basel for Banking and Finance). PREEM will bring together UTS scholars from the School of Mathematical Sciences, Faculty of Science, and School of Finance and Economics, Faculty of Business to work alongside with their domestic and overseas partners.
Upcoming Events:
8th April 2011 – Valuing Power Plants with Spark Spread Options
Recent Events:
22nd March 2011 - Optimization at Work: From Market Design for Emission Trading Schemes towards Robust Risk Measures (Prof. Hans-Jakob Lüthi)
9th March 2011 – Inaugural Seminar – An Industry Prospective
Note that TTA is currently hosting PREEM web postings and email notifications on a temporary basis until University resources are set up to do this.
On the 9th of March, 2011, over 100 people from the energy industry and academia gathered to launch the Program for Research in Energy and Emissions Markets (PREEM) at University of Technology, Sydney.
(more…)
A new Program for Research in Energy and Emissions Markets has been established by the University of Technology, Sydney (UTS). This Program aims to create links between the University and the energy industry via short courses, seminars and postgraduate research. The Program runs within the University’s Quantitative Finance Research Centre (QFRC).
In order to mark the establishment of this Program, the QFRC is inviting industry participants, academics and others to its inaugural seminar ’An Energy Industry Prospective’ on Wednesday, the 9th of March. Confirmed speakers from the industry include Professor Paul Simshauser (Chief Economist & Group Head of Corporate Affairs, AGL Energy Limited), Ben Vanderwaal (Managing Director, ROAM Consulting Pty Ltd) and Dean Price (General Manager, d-cyphaTrade).
More information can be found at http://www.qfrc.uts.edu.au/energy/prospective.html
To RSVP, please contact Caroline Dobson, Ph. 9514 774
Trading Technology Australia is proud to support this Program.
The ACCC today announced that they would not block bids by AGL or Origin Energy for assets under the NSW Energy Reform program. In its statement, the commission proposes several combinations of bids that it would not oppose for AGL or Origin Energy separately.
Origin Energy are cleared to purchase:
- EnergyAustralia;
- Country Energy;
- Integral Energy; or
- both Country Energy and Integral Energy
together with one of the Eraring, Delta Coastal or Delta Western gentrader bundles and one of the generator development sites.
The ACCC also announced that it would not oppose the acquisitions by AGL of Country Energy or Integral Energy together with one of the Eraring, Delta Coastal or Delta Western Gentrader bundles and one or more of the generator development sites.
The ruling makes no mention of Gentrader contracts for Macquarie Generation’s capacity. Yesterday The Australian reported that “…none of the main bidders – AGL Energy, Origin Energy or CLP Holdings’ TRUenergy – lodged bids for the right to trade output from the Macquarie Generation plants.”
On 2 May 2010, AEMO announced that the Gas Short Term Trading Market (STTM). This represents a three-month delay from the previous go-live date of 4 June 2010. The market trial will now continue until 31 August 2010.
The NSW Treasurer has clarified the roll-off dates for the Electricity Tariff Equalisation Fund (ETEF) in an amendment to the payment rules. The start and end dates of the phase-out have not been revised again since the last announcement. There will be reductions in the coverage of the regulated load by 20% each on 4 Jul 2010, 3 Oct 2010, 2 Jan 2011 and 3 Apr 2011. On 1 Jul 2011 ETEF will be completely phased out.
The NEM Market Price Cap (formerly known as Value of Lost Load, or VoLL) is to increase from the current $10,000/MWh to $12,500/MWh with effect from 1 July 2010. The new rule ammendment was passed in May 2009.
The NSW Government’s Electricity Tariff Equalisation Fund (ETEF) will now continue until 30th June 2011. Originally it was to be abolished after June 2010, however the latest privatisation plan from the Government extends the date another year.
