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.

Simulación de sistemas Multi-Agente mediante un esquema Monte Carlo basado en ecuaciones diferenciales ordinarias

[ES] En este trabajo se expone una metodología para modelar un sistema Multi-Agente (SMA), para que sea equivalente a un sistema de Ecuaciones Diferenciales Ordinarias (EDO), mediante un esquema basado en el método de Monte Carlo. Se muestra que el SMA puede describir con mayor riqueza modelos de sistemas dinámicos con variables cuantificadas discretas. Estos sistemas son muy acordes con los sistemas biológicos y fisiológicos, como el modelado de poblaciones o el modelado de enfermedades epidemiológicas, que en su mayoría se modelan con ecuaciones diferenciales. Los autores piensan que las ecuaciones diferenciales no son lo suficientemente apropiadas para modelar este tipo de problemas y proponen que se modelen con una técnica basada en agentes. Se plantea un caso basado en un modelo matemático de Leucemia Mieloide Crónica (LMC) que se transforma en un SMA equivalente. Se realiza una simulación de los dos modelos (SMA y EDO) y se compara los resultados obtenidos.

Monte Carlo methods for TMD analyses

4th International Workshop on Transverse Polisarization Phenomena in Hard Processes (TRANSVERSITY 2014)