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.

Annual report 1997 - North Pacific Marine Science Organization (PICES). Sixth meeting, Pusan, Republic of Korea, October 14-26, 1997

Proceedings of the Sixth Annual Meeting Agenda Report of Opening Session Report of Governing Council Meetings Reports of Science Board and Committees Science Board Handbook of Guidelines Working Group 9: Subarctic Pacific Monitoring Report of the Study Group on Communications Biological Oceanography Committee Working Group 11: Consumption of Marine Resources by Marine Birds and Mammals Fishery Science Committee Working Group 12: Crabs and Shrimps Marine Environmental Quality Committee Working Group 8: Practical Assessment Methodology Physical Oceanography and Climate Committee Working Group 10: Circulation and Ventilation in the Japan Sea /East Sea and its Adjacent Areas Technological Committee on Data Exchange Implementation Panel on the CCCC Program Finance and Administration Report of Finance and Administration Committee Assets on 31st of December, 1996 Income and Expenditures for 1996 Budget for 1998 Composition of the Organization Officers, Delegates, Finance and Administration Committee, Science Board, Secretariat, Scientific and Technical Committees List of Participants List of Acronyms (Document has 142 pages.)

Annual report 1995 - North Pacific Marine Science Organization (PICES). Fourth meeting, Qingdao, People's Republic of China, October 16-24, 1995

Report of Opening Session Report of Governing Council Meetings Reports of Science Board and Committees: Science Board Biological Oceanography Committee Fishery Science Committee Marine Environmental Quality Committee Physical Oceanography and Climate Committee Technological Committee on Data Exchange Finance and Administration: Report of the Finance and Administration Committee Assets on 31st of December, 1994 Income and Expenditures for 1994 Budget for 1996 Composition of the Organization List of Participants List of Acronyms (Document has 96 pages.)

Keys to success in an example of inter-competitor cooperation: The case of the "Big Seven" basque chefs

The case of the top chefs relates the two areas that are apparently most distant, nutrition and health technology. It is the element that binds[3] the four, making them into a single whole. The results achieved by our chefs, in terms of their individual and collective success and their international projection of the image of the Basque Country comprise a goal to which other industries in the region should aspire. It is therefore our plan to apply the keys to this successful inter-competitor cooperation to development of the health technology industry. At the same time, we want to fulfil one of the aims that have been established for the food area: to make use of the country’s gastronomy-related assets.

Springs and swallets of the lower Santa Fe River

Many of our surface waters go underground to the aquifer via sinkholes (or swallets) and the water is then called groundwater. Most of us rely on groundwater for our drinking water. Springs are where the groundwater comes to the surface to once again become surface waters. Below is a map of the springs and swallets of the Lower Santa Fe River.

The Annual Economic Survey of Federal Gulf Shrimp Permit Holders: Report on the Design, Implementation, and Descriptive Results for 2006

This technical memorandum documents the design, implementation, data preparation, and descriptive results for the 2006 Annual Economic Survey of Federal Gulf Shrimp Permit Holders. The data collection was designed by the NOAA Fisheries Southeast Fisheries Science Center Social Science Research Group to track the financial and economic status and performance by vessels holding a federal moratorium permit for harvesting shrimp in the Gulf of Mexico. A two page, self-administered mail survey collected total annual costs broken out into seven categories and auxiliary economic data. In May 2007, 580 vessels were randomly selected, stratified by state, from a preliminary population of 1,709 vessels with federal permits to shrimp in offshore waters of the Gulf of Mexico. The survey was implemented during the rest of 2007. After many reminder and verification phone calls, 509 surveys were deemed complete, for an ineligibility-adjusted response rate of 90.7%. The linking of each individual vessel’s cost data to its revenue data from a different data collection was imperfect, and hence the final number of observations used in the analyses is 484. Based on various measures and tests of validity throughout the technical memorandum, the quality of the data is high. The results are presented in a standardized table format, linking vessel characteristics and operations to simple balance sheet, cash flow, and income statements. In the text, results are discussed for the total fleet, the Gulf shrimp fleet, the active Gulf shrimp fleet, and the inactive Gulf shrimp fleet. Additional results for shrimp vessels grouped by state, by vessel characteristics, by landings volume, and by ownership structure are available in the appendices. The general conclusion of this report is that the financial and economic situation is bleak for the average vessels in most of the categories that were evaluated. With few exceptions, cash flow for the average vessel is positive while the net revenue from operations and the “profit” are negative. With negative net revenue from operations, the economic return for average shrimp vessels is less than zero. Only with the help of government payments does the average owner just about break even. In the short-term, this will discourage any new investments in the industry. The financial situation in 2006, especially if it endures over multiple years, also is economically unsustainable for the average established business. Vessels in the active and inactive Gulf shrimp fleet are, on average, 69 feet long, weigh 105 gross tons, are powered by 505 hp motor(s), and are 23 years old. Three-quarters of the vessels have steel hulls and 59% use a freezer for refrigeration. The average market value of these vessels was $175,149 in 2006, about a hundred-thousand dollars less than the average original purchase price. The outstanding loans averaged $91,955, leading to an average owner equity of $83,194. Based on the sample, 85% of the federally permitted Gulf shrimp fleet was actively shrimping in 2006. Of these 386 active Gulf shrimp vessels, just under half (46%) were owner-operated. On average, these vessels burned 52,931 gallons of fuel, landed 101,268 pounds of shrimp, and received $2.47 per pound of shrimp. Non-shrimp landings added less than 1% to cash flow, indicating that the federal Gulf shrimp fishery is very specialized. The average total cash outflow was $243,415 of which $108,775 was due to fuel expenses alone. The expenses for hired crew and captains were on average $54,866 which indicates the importance of the industry as a source of wage income. The resulting average net cash flow is $16,225 but has a large standard deviation. For the population of active Gulf shrimp vessels we can state with 95% certainty that the average net cash flow was between $9,500 and $23,000 in 2006. The median net cash flow was $11,843. Based on the income statement for active Gulf shrimp vessels, the average fixed costs accounted for just under a quarter of operating expenses (23.1%), labor costs for just over a quarter (25.3%), and the non-labor variable costs for just over half (51.6%). The fuel costs alone accounted for 42.9% of total operating expenses in 2006. It should be noted that the labor cost category in the income statement includes both the actual cash payments to hired labor and an estimate of the opportunity cost of owner-operators’ time spent as captain. The average labor contribution (as captain) of an owner-operator is estimated at about $19,800. The average net revenue from operations is negative $7,429, and is statistically different and less than zero in spite of a large standard deviation. The economic return to Gulf shrimping is negative 4%. Including non-operating activities, foremost an average government payment of $13,662, leads to an average loss before taxes of $907 for the vessel owners. The confidence interval of this value straddles zero, so we cannot reject, with 95% certainty, that the population average is zero. The average inactive Gulf shrimp vessel is generally of a smaller scale than the average active vessel. Inactive vessels are physically smaller, are valued much lower, and are less dependent on loans. Fixed costs account for nearly three quarters of the total operating expenses of $11,926, and only 6% of these vessels have hull insurance. With an average net cash flow of negative $7,537, the inactive Gulf shrimp fleet has a major liquidity problem. On average, net revenue from operations is negative $11,396, which amounts to a negative 15% economic return, and owners lose $9,381 on their vessels before taxes. To sustain such losses and especially to survive the negative cash flow, many of the owners must be subsidizing their shrimp vessels with the help of other income or wealth sources or are drawing down their equity. Active Gulf shrimp vessels in all states but Texas exhibited negative returns. The Alabama and Mississippi fleets have the highest assets (vessel values), on average, yet they generate zero cash flow and negative $32,224 net revenue from operations. Due to their high (loan) leverage ratio the negative 11% economic return is amplified into a negative 21% return on equity. In contrast, for Texas vessels, which actually have the highest leverage ratio among the states, a 1% economic return is amplified into a 13% return on equity. From a financial perspective, the average Florida and Louisiana vessels conform roughly to the overall average of the active Gulf shrimp fleet. It should be noted that these results are averages and hence hide the variation that clearly exists within all fleets and all categories. Although the financial situation for the average vessel is bleak, some vessels are profitable. (PDF contains 101 pages)

Case study: Digital learning assets for engineering

Case study on how Furness College are collaborating with BAE Systems to co-develop an interactive learning package to support the delivery of the performing engineering operations qualification.

The Economics of Gasification: A Market-Based Approach

This paper deals with the economics of gasification facilities in general and IGCC power plants in particular. Regarding the prospects of these systems, passing the technological test is one thing, passing the economic test can be quite another. In this respect, traditional valuations assume constant input and/or output prices. Since this is hardly realistic, we allow for uncertainty in prices. We naturally look at the markets where many of the products involved are regularly traded. Futures markets on commodities are particularly useful for valuing uncertain future cash flows. Thus, revenues and variable costs can be assessed by means of sound financial concepts and actual market data. On the other hand, these complex systems provide a number of flexibility options (e.g., to choose among several inputs, outputs, modes of operation, etc.). Typically, flexibility contributes significantly to the overall value of real assets. Indeed, maximization of the asset value requires the optimal exercise of any flexibility option available. Yet the economic value of flexibility is elusive, the more so under (price) uncertainty. And the right choice of input fuels and/or output products is a main concern for the facility managers. As a particular application, we deal with the valuation of input flexibility. We follow the Real Options approach. In addition to economic variables, we also address technical and environmental issues such as energy efficiency, utility performance characteristics and emissions (note that carbon constraints are looming). Lastly, a brief introduction to some stochastic processes suitable for valuation purposes is provided.

Elements of Decision under Uncertainty with Applications

This work presents the basic elements for the analysis of decision under uncertainty: Expected Utility Theory and its citicisms and risk aversion and its measurement. The concepts of certainty equivalent, risk premium, absolute risk aversion and relative risk aversion, and the "more risk averse than" relation are discussed. The work is completed with several applications of decision making under uncertainty to different economic problems: investment in risky assets and portfolio selection, risk sharing, investment to reduce risk, insurance, taxes and income underreporting, deposit insurance and the value of information.

Socioeconomic characteristics of payang seine (lampara) and driftnet fisheries in West Sumatra, Indonesia

A proportionate random sample survey of 10 percent of the driftnet and Payang seine fishers in West Sumatra was carried out in 1998. A total of 45 driftnet and 66 lampara fishers were interviewed to obtain socioeconomic data on the fisheries. About 40 percent of the driftnet and 76 percent of the lampara fishers owned and operated their fishing vessels and gears indicating a high level of ownership of fishing assets by these small scale fishers. The lampara catches consisted mainly of eastern little tuna, skipjack tuna, yellow fin tuna and mackerel, while the driftnets caught mainly Spanish mackerel, Indian mackerel, eastern little tuna and scad.

Livelihoods and poverty reduction in coastal communities in the Western Region of Ghana: analysis of livelihoods baseline data of the ICFG Program

This report is the result of the livelihoods baseline survey as part of the USAID-funded Integrated Coastal and Fisheries Governance (ICFG) Program for the Western Region of Ghana (Hen Mpoano). The survey aims to provide a baseline for interventions to be implemented as part of the Hen Mpoano project by: 1) Establishing a baseline of the status of livelihoods of households in target communities (assess income levels and sources, seasonality issues, assets, vulnerability); 2) Establishing a simplified nutritional baseline of households in target communities and fish species consumed; 3) Identifying opportunities for livelihood diversification in the target opportunities.