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.

La industria de los hidrocarburos: el sector upstream y la operación de lifting de un FPSO

Es un trabajo que pretende dar a conocer de una manera sencilla uno de los sectores de gran importancia en la industria de los hidrocarburos el “UPSTREAM”, que es tan solo el primer bloque de esta industria tan compleja y tan importante a nivel mundial. De esta misma forma dar a conocer los pasos que se toman en una operación de “Lifting” de un FPSO así como la importancia del rol de egresados de náutica en este tipo de operaciones."

Cogeneración con gas natural en una empresa de tratamientos térmicos

[ES]Diseño de una instalación de cogeneración basada en un motor de combustible gas natural para una empresa de tratamientos térmicos y superficiales. Para satisfacer las necesidades energéticas de la planta, la potencia eléctrica la suministrará un alternador conectado al motor y, a su vez, la entalpía de los humos de escape del motor se aprovechará para la producción de vapor de agua, necesario para la actividad industrial de la empresa. Por otro lado, el calor que es necesario disipar de dicho motor se recuperará para el calentamiento de agua de red, con la finalidad de limpiar la taladrina de las piezas tratadas.

Optimal Abandonment of Coal-Fired Stations in the EU

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Households WTP for the Reliability of Gas Supply

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Determinantes del precio del derecho de emisión europeo

[ES] Diversos estudios han investigado sobre los posibles determinantes del precio del derecho de emisión europeo. En este trabajo de fin de grado se pretende analizar qué factores influyen en el precio de este producto financiero y de qué manera lo hacen, además de comprobar posibles cambios en el funcionamiento del mercado. La metodología utilizada para llevar a cabo este análisis se basa principalmente en el modelo de regresión lineal general. A diferencia de otros estudios existentes, la muestra utilizada va desde 2008 hasta 2015, por lo que incluye la segunda fase (2008-2012) de este mercado de derechos de emisión y la tercera (2013-2015), lo que permite analizar las posibles diferencias de funcionamiento del mercado entre ambas fases. Los resultados obtenidos sostienen la existencia de este cambio estructural de manera que en la segunda fase los factores más influyentes son el gas natural y el petróleo, mientras que en la tercera fase el comportamiento del mercado cambia drásticamente de forma que el carbón parece ser el factor más influyente.

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.

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.

Valuing Expansions of the Electricity Transmission Network under Uncertainty: The Binodal Case

Transmission investments are currently needed to meet an increasing electricity demand, to address security of supply concerns, and to reach carbon-emissions targets. A key issue when assessing the benefits from an expanded grid concerns the valuation of the uncertain cash flows that result from the expansion. We propose a valuation model that accommodates both physical and economic uncertainties following the Real Options approach. It combines optimization techniques with Monte Carlo simulation. We illustrate the use of our model in a simplified, two-node grid and assess the decision whether to invest or not in a particular upgrade. The generation mix includes coal-and natural gas-fired stations that operate under carbon constraints. The underlying parameters are estimated from observed market data.

Advanced Reaction Systems for Hydrogen Production

[EN] This PhD work started in March 2010 with the support of the University of the Basque Country (UPV/EHU) under the program named “Formación de Personal Investigador” at the Chemical and Environmental Engineering Department in the Faculty of Engineering of Bilbao. The major part of the Thesis work was carried out in the mentioned department, as a member of the Sustainable Process Engineering (SuPrEn) research group. In addition, this PhD Thesis includes the research work developed during a period of 6 months at the Institut für Mikrotechnik Mainz GmbH, IMM, in Germany. During the four years of the Thesis, conventional and microreactor systems were tested for several feedstocks renewable and non-renewable, gases and liquids through several reforming processes in order to produce hydrogen. For this purpose, new catalytic formulations which showed high activity, selectivity and stability were design. As a consequence, the PhD work performed allowed the publication of seven scientific articles in peer-reviewed journals. This PhD Thesis is divided into the following six chapters described below. The opportunity of this work is established on the basis of the transition period needed for moving from a petroleum based energy system to a renewable based new one. Consequently, the present global energy scenario was detailed in Chapter 1, and the role of hydrogen as a real alternative in the future energy system was justified based on several outlooks. Therefore, renewable and non-renewable hydrogen production routes were presented, explaining the corresponding benefits and drawbacks. Then, the raw materials used in this Thesis work were described and the most important issues regarding the processes and the characteristics of the catalytic formulations were explained. The introduction chapter finishes by introducing the concepts of decentralized production and process intensification with the use of microreactors. In addition, a small description of these innovative reaction systems and the benefits that entailed their use were also mentioned. In Chapter 2 the main objectives of this Thesis work are summarized. The development of advanced reaction systems for hydrogen rich mixtures production is the main objective. In addition, the use and comparison between two different reaction systems, (fixed bed reactor (FBR) and microreactor), the processing of renewable raw materials, the development of new, active, selective and stable catalytic formulations, and the optimization of the operating conditions were also established as additional partial objectives. Methane and natural gas (NG) steam reforming experimental results obtained when operated with microreactor and FBR systems are presented in Chapter 3. For these experiments nickel-based (Ni/Al2O3 and Ni/MgO) and noble metal-based (Pd/Al2O3 and Pt/Al2O3) catalysts were prepared by wet impregnation and their catalytic activity was measured at several temperatures, from 973 to 1073 K, different S/C ratios, from 1.0 to 2.0, and atmospheric pressure. The Weight Hourly Space Velocity (WHSV) was maintained constant in order to compare the catalytic activity in both reaction systems. The results obtained showed a better performance of the catalysts operating in microreactors. The Ni/MgO catalyst reached the highest hydrogen production yield at 1073 K and steam-to-carbon ratio (S/C) of 1.5 under Steam methane Reforming (SMR) conditions. In addition, this catalyst also showed good activity and stability under NG reforming at S/C=1.0 and 2.0. The Ni/Al2O3 catalyst also showed high activity and good stability and it was the catalyst reaching the highest methane conversion (72.9 %) and H2out/CH4in ratio (2.4) under SMR conditions at 1073 K and S/C=1.0. However, this catalyst suffered from deactivation when it was tested under NG reforming conditions. Regarding the activity measurements carried out with the noble metal-based catalysts in the microreactor systems, they suffered a very quick deactivation, probably because of the effects attributed to carbon deposition, which was detected by Scanning Electron Microscope (SEM). When the FBR was used no catalytic activity was measured with the catalysts under investigation, probably because they were operated at the same WHSV than the microreactors and these WHSVs were too high for FBR system. In Chapter 4 biogas reforming processes were studied. This chapter starts with an introduction explaining the properties of the biogas and the main production routes. Then, the experimental procedure carried out is detailed giving concrete information about the experimental set-up, defining the parameters measured, specifying the characteristics of the reactors used and describing the characterization techniques utilized. Each following section describes the results obtained from activity testing with the different catalysts prepared, which is subsequently summarized: Section 4.3: Biogas reforming processes using γ-Al2O3 based catalysts The activity results obtained by several Ni-based catalysts and a bimetallic Rh-Ni catalyst supported on magnesia or alumina modified with oxides like CeO2 and ZrO2 are presented in this section. In addition, an alumina-based commercial catalyst was tested in order to compare the activity results measured. Four different biogas reforming processes were studied using a FBR: dry reforming (DR), biogas steam reforming (BSR), biogas oxidative reforming (BOR) and tri-reforming (TR). For the BSR process different steam to carbon ratios (S/C) from 1.0 to 3.0, were tested. In the case of BOR process the oxygen-to-methane (O2/CH4) ratio was varied from 0.125 to 0.50. Finally, for TR processes different S/C ratios from 1.0 to 3.0, and O2/CH4 ratios of 0.25 and 0.50 were studied. Then, the catalysts which achieved high activity and stability were impregnated in a microreactor to explore the viability of process intensification. The operation with microreactors was carried out under the best experimental conditions measured in the FBR. In addition, the physicochemical characterization of the fresh and spent catalysts was carried out by Inductively Coupled Plasma Atomic Emission Spectroscopy (ICP-AES), N2 physisorption, H2 chemisorption, Temperature Programmed Reduction (TPR), SEM, X-ray Photoelectron Spectroscopy (XPS) and X-ray powder Diffraction (XRD). Operating with the FBR, conversions close to the ones predicted by thermodynamic calculations were obtained by most of the catalysts tested. The Rh-Ni/Ce-Al2O3 catalyst obtained the highest hydrogen production yield in DR. In BSR process, the Ni/Ce-Al2O3 catalyst achieved the best activity results operating at S/C=1.0. In the case of BOR process, the Ni/Ce-Zr-Al2O3 catalyst showed the highest reactants conversion values operating at O2/CH4=0.25. Finally, in the TR process the Rh-Ni/Ce-Al2O3 catalyst obtained the best results operating at S/C=1.0 and O2/CH4=0.25. Therefore, these three catalysts were selected to be coated onto microchannels in order to test its performance under BOR and TR processes conditions. Although the operation using microreactors was carried out under considerably higher WHSV, similar conversions and yields as the ones measured in FBR were measured. Furthermore, attending to other measurements like Turnover Frequency (TOF) and Hydrogen Productivity (PROD), the values calculated for the catalysts tested in microreactors were one order of magnitude higher. Thus, due to the low dispersion degree measured by H2-chemisorption, the Ni/Ce-Al2O3 catalyst reached the highest TOF and PROD values. Section 4.4: Biogas reforming processes using Zeolites L based catalysts In this section three type of L zeolites, with different morphology and size, were synthesized and used as catalyst support. Then, for each type of L zeolite three nickel monometallic and their homologous Rh-Ni bimetallic catalysts were prepared by the wetness impregnation method. These catalysts were tested using the FBR under DR process and different conditions of BSR (S/C ratio of 1.0 and 2.0), BOR (O2/CH4 ratio of 0.25 and 0.50) and TR processes (at S/C=1.0 and O2/CH4=0.25). The characterization of these catalysts was also carried out by using the same techniques mentioned in the previous section. Very high methane and carbon dioxide conversion values were measured for almost all the catalysts under investigation. The experimental results evidenced the better catalytic behavior of the bimetallic catalysts as compared to the monometallic ones. Comparing the catalysts behavior with regards to their morphology, for the BSR process the Disc catalysts were the most active ones at the lowest S/C ratio tested. On the contrary, the Cylindrical (30–60 nm) catalysts were more active under BOR conditions at O2/CH4=0.25 and TR processes. By the contrary, the Cylindrical (1–3 µm) catalysts showed the worst activity results for both processes. Section 4.5: Biogas reforming processes using Na+ and Cs+ doped Zeolites LTL based catalysts A method for the synthesis of Linde Type L (LTL) zeolite under microwave-assisted hydrothermal conditions and its behavior as a support for heterogeneously catalyzed hydrogen production is described in this section. Then, rhodium and nickel-based bimetallic catalysts were prepared in order to be tested by DR process and BOR process at O2/CH4=0.25. Moreover, the characterization of the catalysts under investigation was also carried out. Higher activities were achieved by the catalysts prepared from the non-doped zeolites, Rh-Ni/D and Rh-Ni/N, as compared to the ones supported on Na+ and Cs+ exchanged supports. However, the differences between them were not very significant. In addition, the Na+ and Cs+ incorporation affected mainly to the Disc catalysts. Comparing the results obtained by these catalysts with the ones studied in the section 4.4, in general worst results were achieved under DR conditions and almost the same results when operated under BOR conditions. In Chapter 5 the ethylene glycol (EG) as feed for syngas production by steam reforming (SR) and oxidative steam reforming (OSR) was studied by using microchannel reactors. The product composition was determined at a S/C of 4.0, reaction temperatures between 625°C and 725°C, atmospheric pressure and Volume Hourly Space Velocities (VHSV) between 100 and 300 NL/(gcath). This work was divided in two sections. The first one corresponds to the introduction of the main and most promising EG production routes. Then, the new experimental procedure is detailed and the information about the experimental set-up and the measured parameters is described. The characterization was carried out using the same techniques as for the previous chapter. Then, the next sections correspond to the catalytic activity and catalysts characterization results. Section 5.3: xRh-cm and xRh-np catalysts for ethylene glycol reforming Initially, catalysts with different rhodium loading, from 1.0 to 5.0 wt. %, and supported on α-Al2O3 were prepared by two different preparation methods (conventional impregnation and separate nanoparticle synthesis). Then, the catalysts were compared regarding their measured activity and selectivity, as well as the characterization results obtained before and after the activity tests carried out. The samples prepared by a conventional impregnation method showed generally higher activity compared to catalysts prepared from Rh nanoparticles. By-product formation of species such as acetaldehyde, ethane and ethylene was detected, regardless if oxygen was added to the feed or not. Among the catalysts tested, the 2.5Rh-cm catalyst was considered the best one. Section 5.4: 2.5Rh-cm catalyst support modification with CeO2 and La2O3 In this part of the Chapter 5, the catalyst showing the best performance in the previous section, the 2.5Rh-Al2O3 catalyst, was selected in order to be improved. Therefore, new Rh based catalysts were designed using α-Al2O3 and being modified this support with different contents of CeO2 or La2O3 oxides. All the catalysts containing additives showed complete conversion and selectivities close to the equilibrium in both SR and OSR processes. In addition, for these catalysts the concentrations measured for the C2H4, CH4, CH3CHO and C2H6 by-products were very low. Finally, the 2.5Rh-20Ce catalyst was selected according to its catalytic activity and characterization results in order to run a stability test, which lasted more than 115 hours under stable operation. The last chapter, Chapter 6, summarizes the main conclusions achieved throughout this Thesis work. Although very high reactant conversions and rich hydrogen mixtures were obtained using a fixed bed reaction system, the use of microreactors improves the key issues, heat and mass transfer limitations, through which the reforming reactions are intensified. Therefore, they seem to be a very interesting and promising alternative for process intensification and decentralized production for remote application.