Energy derivative market and derivative pricing via simulation

The deregulation of power industry worldwide has delivered the efficiency gains to the society; meanwhile, the intensity of competition has increased uncertainty and risks to market participants. Consequently, market participants are keen to hedge the market risks and maintain a competitive edge in the market; and this is a good explanation to the flourish of electricity derivative market. In this paper, the authors gave a comprehensive review of derivative contract pricing methods and proposed a new framework for energy derivative pricing to suit the needs of a deregulated electricity market

Biomass Energy in Perspective: USA and European experience

Review of US and European experience with biomass energy projects

Energy forward price prediction with a hybrid adaptive model

This paper presents a forecasting technique for forward electricity/gas prices, one day ahead. This technique combines a Kalman filter (KF) and a generalised autoregressive conditional heteroschedasticity (GARCH) model (often used in financial forecasting). The GARCH model is used to compute next value of a time series. The KF updates parameters of the GARCH model when the new observation is available. This technique is applied to real data from the UK energy markets to evaluate its performance. The results show that the forecasting accuracy is improved significantly by using this hybrid model. The methodology can be also applied to forecasting market clearing prices and electricity/gas loads.

Surface wave techniques for the study of engineering structures and materials

A wire drive pulse echo method of measuring the spectrum of solid bodies described. Using an 's' plane representation, a general analysis of the transient response of such solids has been carried out. This was used for the study of the stepped amplitude transient of high order modes of disks and for the case where there are two adjacent resonant frequencies. The techniques developed have been applied to the measurenent of the elasticities of refractory materials at high temperatures. In the experimental study of the high order in-plane resonances of thin disks it was found that the energy travelled at the edge of the disk and this initiated the work on one dimensional Rayleigh waves.Their properties were established for the straight edge condition by following an analysis similar to that of the two dimensional case. Experiments were then carried out on the velocity dispersion of various circuits including the disk and a hole in a large plate - the negative curvature condition.Theoretical analysis established the phase and group velocities for these cases and experimental tests on aluminium and glass gave good agreement with theory. At high frequencies all velocities approach that of the one dimensional Rayleigh waves. When applied to crack detection it was observed that a signal burst travelling round a disk showed an anomalous amplitude effect. In certain cases the signal which travelled the greater distance had the greater amplitude.An experiment was designed to investigate the phenanenon and it was established that the energy travelled in two nodes with different velocities.It was found by analysis that as well as the Rayleigh surface wave on the edge, a seoond node travelling at about the shear velocity was excited and the calculated results gave reasonable agreement with the experiments.

Nitrogen implantation of tool steels and engineering coatings

Ion implantation modifies the surface composition and properties of materials by bombardment with high energy ions. The low temperature of the process ensures the avoidance of distortion and degradation of the surface or bulk mechanical properties of components. In the present work nitrogen ion implantation at 90 keV and doses above 1017 ions/cm2 has been carried out on AISI M2, D2 and 420 steels and engineering coatings such as hard chromium, electroless Ni-P and a brush plated Co-W alloy. Evaluation of wear and frictional properties of these materials was performed with a lubricated Falex wear test at high loads up to 900 N and a dry pin-on-disc apparatus at loads up to 40 N. It was found that nitrogen implantation reduced the wear of AISI 420 stainless steel by a factor of 2.5 under high load lubricated conditions and by a factor of 5.5 in low load dry testing. Lower but significant reductions in wear were achieved for AISI M2 and D2 steels. Wear resistance of coating materials was improved by up to 4 times in lubricated wear of hard Cr coatings implanted at the optimum dose but lower improvements were obtained for the Co-W alloy coating. However, hardened electroless Ni-P coatings showed no enhancement in wear properties. The benefits obtained in wear behaviour for the above materials were generally accompanied by a significant decrease in the running-in friction. Nitrogen implantation hardened the surface of steels and Cr and Co-W coatings. An ultra-microhardness technique showed that the true hardness of implanted layers was greater than the values obtained by conventional micro-hardness methods, which often result in penetration below the implanted depth. Scanning electron microscopy revealed that implantation reduced the ploughing effect during wear and a change in wear mechanism from an abrasive-adhesive type to a mild oxidative mode was evident. Retention of nitrogen after implantation was studied by Nuclear Reaction Analysis and Auger Electron Spectroscopy. It was shown that maximum nitrogen retention occurs in hard Cr coatings and AISI 420 stainless steel, which explains the improvements obtained in wear resistance and hardness. X-ray photoelectron spectroscopy on these materials revealed that nitrogen is almost entirely bound to Cr, forming chromium nitrides. It was concluded that nitrogen implantation at 90 keV and doses above 3x1017 ions/cm2 produced the most significant improvements in mechanical properties in materials containing nitride formers by precipitation strengthening, improving the load bearing capacity of the surface and changing the wear mechanism from adhesive-abrasive to oxidative.

Effects of rare-earth co-doping on the local structure of rare-earth phosphate glasses using high and low energy X-ray diffraction

Rare-earth co-doping in inorganic materials has a long-held tradition of facilitating highly desirable optoelectronic properties for their application to the laser industry. This study concentrates specifically on rare-earth phosphate glasses, (R2O3)x(R'2O3)y(P2O5)1-(x+y), where (R, R') denotes (Ce, Er) or (La, Nd) co-doping and the total rare-earth composition corresponds to a range between metaphosphate, RP3O9, and ultraphosphate, RP5O14. Thereupon, the effects of rare-earth co-doping on the local structure are assessed at the atomic level. Pair-distribution function analysis of high-energy X-ray diffraction data (Qmax = 28 Å-1) is employed to make this assessment. Results reveal a stark structural invariance to rare-earth co-doping which bears testament to the open-framework and rigid nature of these glasses. A range of desirable attributes of these glasses unfold from this finding; in particular, a structural simplicity that will enable facile molecular engineering of rare-earth phosphate glasses with 'dial-up' lasing properties. When considered together with other factors, this finding also demonstrates additional prospects for these co-doped rare-earth phosphate glasses in nuclear waste storage applications. This study also reveals, for the first time, the ability to distinguish between P-O and PO bonding in these rare-earth phosphate glasses from X-ray diffraction data in a fully quantitative manner. Complementary analysis of high-energy X-ray diffraction data on single rare-earth phosphate glasses of similar rare-earth composition to the co-doped materials is also presented in this context. In a technical sense, all high-energy X-ray diffraction data on these glasses are compared with analogous low-energy diffraction data; their salient differences reveal distinct advantages of high-energy X-ray diffraction data for the study of amorphous materials. © 2013 The Owner Societies.

Accommodating energy price volatility in life cycle cost analysis of asphalt pavements

Energy price is related to more than half of the total life cycle cost of asphalt pavements. Furthermore, the fluctuation related to price of energy has been much higher than the general inflation and interest rate. This makes the energy price inflation an important variable that should be addressed when performing life cycle cost (LCC) studies re- garding asphalt pavements. The present value of future costs is highly sensitive to the selected discount rate. Therefore, the choice of the discount rate is the most critical element in LCC analysis during the life time of a project. The objective of the paper is to present a discount rate for asphalt pavement projects as a function of interest rate, general inflation and energy price inflation. The discount rate is defined based on the portion of the energy related costs during the life time of the pavement. Consequently, it can reflect the financial risks related to the energy price in asphalt pavement projects. It is suggested that a discount rate sensitivity analysis for asphalt pavements in Sweden should range between –20 and 30%.