Price risk management in the copper market using commodity derivatives and options strategies

Metals price risk management is a key issue related to financial risk in metal markets because of uncertainty of commodity price fluctuation, exchange rate, interest rate changes and huge price risk either to metals’ producers or consumers. Thus, it has been taken into account by all participants in metal markets including metals’ producers, consumers, merchants, banks, investment funds, speculators, traders and so on. Managing price risk provides stable income for both metals’ producers and consumers, so it increases the chance that a firm will invest in attractive projects. The purpose of this research is to evaluate risk management strategies in the copper market. The main tools and strategies of price risk management are hedging and other derivatives such as futures contracts, swaps and options contracts. Hedging is a transaction designed to reduce or eliminate price risk. Derivatives are financial instruments, whose returns are derived from other financial instruments and they are commonly used for managing financial risks. Although derivatives have been around in some form for centuries, their growth has accelerated rapidly during the last 20 years. Nowadays, they are widely used by financial institutions, corporations, professional investors, and individuals. This project is focused on the over-the-counter (OTC) market and its products such as exotic options, particularly Asian options. The first part of the project is a description of basic derivatives and risk management strategies. In addition, this part discusses basic concepts of spot and futures (forward) markets, benefits and costs of risk management and risks and rewards of positions in the derivative markets. The second part considers valuations of commodity derivatives. In this part, the options pricing model DerivaGem is applied to Asian call and put options on London Metal Exchange (LME) copper because it is important to understand how Asian options are valued and to compare theoretical values of the options with their market observed values. Predicting future trends of copper prices is important and would be essential to manage market price risk successfully. Therefore, the third part is a discussion about econometric commodity models. Based on this literature review, the fourth part of the project reports the construction and testing of an econometric model designed to forecast the monthly average price of copper on the LME. More specifically, this part aims at showing how LME copper prices can be explained by means of a simultaneous equation structural model (two-stage least squares regression) connecting supply and demand variables. A simultaneous econometric model for the copper industry is built: {█(Q_t^D=e^((-5.0485))∙P_((t-1))^((-0.1868) )∙〖GDP〗_t^((1.7151) )∙e^((0.0158)∙〖IP〗_t ) @Q_t^S=e^((-3.0785))∙P_((t-1))^((0.5960))∙T_t^((0.1408))∙P_(OIL(t))^((-0.1559))∙〖USDI〗_t^((1.2432))∙〖LIBOR〗_((t-6))^((-0.0561))@Q_t^D=Q_t^S )┤ P_((t-1))^CU=e^((-2.5165))∙〖GDP〗_t^((2.1910))∙e^((0.0202)∙〖IP〗_t )∙T_t^((-0.1799))∙P_(OIL(t))^((0.1991))∙〖USDI〗_t^((-1.5881))∙〖LIBOR〗_((t-6))^((0.0717) Where, Q_t^D and Q_t^Sare world demand for and supply of copper at time t respectively. P(t-1) is the lagged price of copper, which is the focus of the analysis in this part. GDPt is world gross domestic product at time t, which represents aggregate economic activity. In addition, industrial production should be considered here, so the global industrial production growth that is noted as IPt is included in the model. Tt is the time variable, which is a useful proxy for technological change. A proxy variable for the cost of energy in producing copper is the price of oil at time t, which is noted as POIL(t ) . USDIt is the U.S. dollar index variable at time t, which is an important variable for explaining the copper supply and copper prices. At last, LIBOR(t-6) is the 6-month lagged 1-year London Inter bank offering rate of interest. Although, the model can be applicable for different base metals' industries, the omitted exogenous variables such as the price of substitute or a combined variable related to the price of substitutes have not been considered in this study. Based on this econometric model and using a Monte-Carlo simulation analysis, the probabilities that the monthly average copper prices in 2006 and 2007 will be greater than specific strike price of an option are defined. The final part evaluates risk management strategies including options strategies, metal swaps and simple options in relation to the simulation results. The basic options strategies such as bull spreads, bear spreads and butterfly spreads, which are created by using both call and put options in 2006 and 2007 are evaluated. Consequently, each risk management strategy in 2006 and 2007 is analyzed based on the day of data and the price prediction model. As a result, applications stemming from this project include valuing Asian options, developing a copper price prediction model, forecasting and planning, and decision making for price risk management in the copper market.

Online distribution management framework by incorporating wind generation

In distribution system operations, dispatchers at control center closely monitor system operating limits to ensure system reliability and adequacy. This reliability is partly due to the provision of remote controllable tie and sectionalizing switches. While the stochastic nature of wind generation can impact the level of wind energy penetration in the network, an estimate of the output from wind on hourly basis can be extremely useful. Under any operating conditions, the switching actions require human intervention and can be an extremely stressful task. Currently, handling a set of switching combinations with the uncertainty of distributed wind generation as part of the decision variables has been nonexistent. This thesis proposes a three-fold online management framework: (1) prediction of wind speed, (2) estimation of wind generation capacity, and (3) enumeration of feasible switching combinations. The proposed methodology is evaluated on 29-node test system with 8 remote controllable switches and two wind farms of 18MW and 9MW nameplate capacities respectively for generating the sequence of system reconfiguration states during normal and emergency conditions.

U.S. utilities' experiences with the implementation of energy efficiency programs

In the U.S., many electric utility companies are offering demand-side management (DSM) programs to their customers as ways to save money and energy. However, it is challenging to compare these programs between utility companies throughout the U.S. because of the variability of state energy policies. For example, some states in the U.S. have deregulated electricity markets and others do not. In addition, utility companies within a state differ depending on ownership and size. This study examines 12 utilities’ experiences with DSM programs and compares the programs’ annual energy savings results that the selected utilities reported to the Energy Information Administration (EIA). The 2009 EIA data suggests that DSM program effectiveness is not significantly affected by electricity market deregulation or utility ownership. However, DSM programs seem to generally be more effective when administered by utilities located in states with energy savings requirements and DSM program mandates.

Static and dynamic contact angle measurement on rough surfaces using sessile drop profile analysis with application to water management in low temperature fuel cells

Fuel Cells are a promising alternative energy technology. One of the biggest problems that exists in fuel cell is that of water management. A better understanding of wettability characteristics in the fuel cells is needed to alleviate the problem of water management. Contact angle data on gas diffusion layers (GDL) of the fuel cells can be used to characterize the wettability of GDL in fuel cells. A contact angle measurement program has been developed to measure the contact angle of sessile drops from drop images. Digitization of drop images induces pixel errors in the contact angle measurement process. The resulting uncertainty in contact angle measurement has been analyzed. An experimental apparatus has been developed for contact angle measurements at different temperature, with the feature to measure advancing and receding contact angles on gas diffusion layers of fuel cells.

Water transport in complex, non-wetting porous layers with applications to water management in low temperature fuel cells

An experimental setup was designed to visualize water percolation inside the porous transport layer, PTL, of proton exchange membrane, PEM, fuel cells and identify the relevant characterization parameters. In parallel with the observation of the water movement, the injection pressure (pressure required to transport water through the PTL) was measured. A new scaling for the drainage in porous media has been proposed based on the ratio between the input and the dissipated energies during percolation. A proportional dependency was obtained between the energy ratio and a non-dimensional time and this relationship is not dependent on the flow regime; stable displacement or capillary fingering. Experimental results show that for different PTL samples (from different manufacturers) the proportionality is different. The identification of this proportionality allows a unique characterization of PTLs with respect to water transport. This scaling has relevance in porous media flows ranging far beyond fuel cells. In parallel with the experimental analysis, a two-dimensional numerical model was developed in order to simulate the phenomena observed in the experiments. The stochastic nature of the pore size distribution, the role of the PTL wettability and morphology properties on the water transport were analyzed. The effect of a second porous layer placed between the porous transport layer and the catalyst layer called microporous layer, MPL, was also studied. It was found that the presence of the MPL significantly reduced the water content on the PTL by enhancing fingering formation. Moreover, the presence of small defects (cracks) within the MPL was shown to enhance water management. Finally, a corroboration of the numerical simulation was carried out. A threedimensional version of the network model was developed mimicking the experimental conditions. The morphology and wettability of the PTL are tuned to the experiment data by using the new energy scaling of drainage in porous media. Once the fit between numerical and experimental data is obtained, the computational PTL structure can be used in different types of simulations where the conditions are representative of the fuel cell operating conditions.

EXTRACTION OF PICTORIAL ENERGY INFORMATION FROM CAMPUS UNMETERED BUILDINGS USING IMAGE PROCESSING TECHNIQUES

In recent years, advanced metering infrastructure (AMI) has been the main research focus due to the traditional power grid has been restricted to meet development requirements. There has been an ongoing effort to increase the number of AMI devices that provide real-time data readings to improve system observability. Deployed AMI across distribution secondary networks provides load and consumption information for individual households which can improve grid management. Significant upgrade costs associated with retrofitting existing meters with network-capable sensing can be made more economical by using image processing methods to extract usage information from images of the existing meters. This thesis presents a new solution that uses online data exchange of power consumption information to a cloud server without modifying the existing electromechanical analog meters. In this framework, application of a systematic approach to extract energy data from images replaces the manual reading process. One case study illustrates the digital imaging approach is compared to the averages determined by visual readings over a one-month period.

Evaluation of Condition Scoring of Feeder Calves as a Tool for Management and Nutrition

Two experiments were conducted to evaluate the effects of body condition scores of beef calves on performance efficiency and carcass characteristics. In Experiment 1, 111 steer calves were stratified by breed and condition score (CS) and randomly allotted to 14 pens. The study was analyzed as a 2 x 3 factorial design, with two breeds (Angus and Simmental) and three initial CS (4.4, 5.1, and 5.6). In Experiment 2, 76 steer calves were allotted to six pens by CS. The resultant pens averaged 3.9, 4.5, 4.7, 5.0, 5.1, and 5.6 in CS. Calves in both studies were fed a corn-based finishing diet formulated to 13.5% crude protein. All calves were implanted with Synovex- SÒ initially and reimplanted with Revalor-SÒ. In Experiment 1, 29-day dry matter intake (lb/day) increased with CS (17.9, 18.1, and 19.1 for 4.4, 5.1, and 5.6, respectively; p < .04). Daily gain (29 days) tended to decrease with increasing CS (4.19, 3.71, and 3.26; p < .13). Days on feed decreased with increasing CS (185, 180, and 178d; p < .07). In Experiment 2, daily gains also increased with decreasing initial CS for the first 114 days (p < .05) and tended to increase overall (p < .20). In Experiment 1, calves with lower initial CS had less external fat at slaughter (.48, .53, and .61 in. for CS 4.4, 5.1, and 5.6, respectively; p < .05). This effect was also noted at slaughter (p < .10), as well as at 57 days (p < .06) and at 148 days (p < .06) as measured by real-time ultrasound. Measurements of intramuscular fat and marbling were not different in either study. These data suggest that CS of feeder calves may be a useful tool for adjusting energy requirements of calves based on body condition. Also, feeder cattle may be sorted into outcome or management groups earlier than currently practiced using body condition and/or real-time ultrasound.

Dynamic SLA management with forecasting using multi-objective optimization

Cost-efficient operation while satisfying performance and availability guarantees in Service Level Agreements (SLAs) is a challenge for Cloud Computing, as these are potentially conflicting objectives. We present a framework for SLA management based on multi-objective optimization. The framework features a forecasting model for determining the best virtual machine-to-host allocation given the need to minimize SLA violations, energy consumption and resource wasting. A comprehensive SLA management solution is proposed that uses event processing for monitoring and enables dynamic provisioning of virtual machines onto the physical infrastructure. We validated our implementation against serveral standard heuristics and were able to show that our approach is significantly better.

Understanding E-Bike Users' Behaviour, Motives, and Barriers to the Use - An Empirical Study with high Potential for Mobility Management

A representative study among e-bike owners and tenants in Switzerland (n = 1652) provides a deeper understanding of e-bike users characteristics, motives, values, usage behavior, and barriers to the use. In a micro simulation the implications of the findings for the energy demand and CO2 emissions are estimated.

Energy Efficient Multimedia Communications in IEEE 802.11 Networks

During the last decade wireless mobile communications have progressively become part of the people’s daily lives, leading users to expect to be “alwaysbest-connected” to the Internet, regardless of their location or time of day. This is indeed motivated by the fact that wireless access networks are increasingly ubiquitous, through different types of service providers, together with an outburst of thoroughly portable devices, namely laptops, tablets, mobile phones, among others. The “anytime and anywhere” connectivity criterion raises new challenges regarding the devices’ battery lifetime management, as energy becomes the most noteworthy restriction of the end-users’ satisfaction. This wireless access context has also stimulated the development of novel multimedia applications with high network demands, although lacking in energy-aware design. Therefore, the relationship between energy consumption and the quality of the multimedia applications perceived by end-users should be carefully investigated. This dissertation addresses energy-efficient multimedia communications in the IEEE 802.11 standard, which is the most widely used wireless access technology. It advances the literature by proposing a unique empirical assessment methodology and new power-saving algorithms, always bearing in mind the end-users’ feedback and evaluating quality perception. The new EViTEQ framework proposed in this thesis, for measuring video transmission quality and energy consumption simultaneously, in an integrated way, reveals the importance of having an empirical and high-accuracy methodology to assess the trade-off between quality and energy consumption, raised by the new end-users’ requirements. Extensive evaluations conducted with the EViTEQ framework revealed its flexibility and capability to accurately report both video transmission quality and energy consumption, as well as to be employed in rigorous investigations of network interface energy consumption patterns, regardless of the wireless access technology. Following the need to enhance the trade-off between energy consumption and application quality, this thesis proposes the Optimized Power save Algorithm for continuous Media Applications (OPAMA). By using the end-users’ feedback to establish a proper trade-off between energy consumption and application performance, OPAMA aims at enhancing the energy efficiency of end-users’ devices accessing the network through IEEE 802.11. OPAMA performance has been thoroughly analyzed within different scenarios and application types, including a simulation study and a real deployment in an Android testbed. When compared with the most popular standard power-saving mechanisms defined in the IEEE 802.11 standard, the obtained results revealed OPAMA’s capability to enhance energy efficiency, while keeping end-users’ Quality of Experience within the defined bounds. Furthermore, OPAMA was optimized to enable superior energy savings in multiple station environments, resulting in a new proposal called Enhanced Power Saving Mechanism for Multiple station Environments (OPAMA-EPS4ME). The results of this thesis highlight the relevance of having a highly accurate methodology to assess energy consumption and application quality when aiming to optimize the trade-off between energy and quality. Additionally, the obtained results based both on simulation and testbed evaluations, show clear benefits from employing userdriven power-saving techniques, such as OPAMA, instead of IEEE 802.11 standard power-saving approaches.

The Role of Forest Soils in a Northern New England Effluent Management System

The Carrabassett Valley Sanitary District in Carrabassett Valley, Maine has utilized both a forest spray irrigation system and a Snowfluent™ system for the treatment of their wastewater effluent. This study was designed to evaluate potential changes in soil properties after approximately 20 years of treatment in the forested spray irrigation site and three years of treatment in the field Snowfluent™ site. In addition, grass yield and composition were evaluated on the field study sites. After treatment with effluent or Snowfluent™, soils showed an increase in soil exchangeable Ca, Mg, Na, and K, base saturation, and pH. While most constituents were higher in treated soils, available P was lower in treated soils compared to the controls. This difference was attributed to higher rates of P mineralization from soil organic matter due to an irrigation effect of the treatment, depleting available P pools despite the P addition with the treatment. Most of the differences due to treatment were greatest at the surface and diminished with depth. Depth patterns in soil properties mostly reflected the decreasing influence of organic matter and its decomposition products with depth as evidenced by significantly higher total C in the surface compared to lower horizons. There were decreasing concentrations of total N, and exchangeable or extractable Ca, Mg, Na, K, Mn, Zn, and P with depth. In addition, there was decreasing BS with depth, driven primarily by declining exchangeable Ca and Mg. Imgation with Snowfluent™ altered the chemical composition of the grass on the site. All element concentrations were significantly higher in the grass foliage except for Ca. The differences were attributed to the additional nutrients and moisture derived from the Snowfluent™. The use of forest spray imgation and Snowfluent™ as a wastewater treatment strategy appears to work well. The soil and vegetation were able to retain most of the applied nutrients, and do not appear to be moving toward saturation. Vegetation management may be a key tool for managing nutrient accumulation on the grass sites as the system ages.

Complementary and Alternative Medicine and Pain Management

Over the past several years, there has been a growing interest in CAM therapies at UCHC. There are doctors, nurses, researchers and students all actively learning about, researching and using CAM modalities. Among them is Dr. Mitch Kennedy, the first Naturopathic Physician to treat patients at the University of Connecticut Health Center.

Evaluation of the influence of toll systems on energy consumption and CO2 emissions: A case study of a Spanish highway

This paper studies the energy consumption and subsequent CO2 emissions of road highway transportation under three toll systems in Spain for four categories of vehicles: cars, vans, buses and articulated trucks. The influence of toll systems is tested for a section of AP-41 highway between Toledo and Madrid. One system is free flow, other is traditional stop and go and the last toll system operates with an electronic toll collection (ETC) technology. Energy consumption and CO2 emissions were found to be closely related to vehicle mass, wind exposure, engine efficiency and acceleration rate. These parameters affect, directly or indirectly, the external forces which determine the energy consumption. Reducing the magnitude of these forces through an appropriate toll management is an important way of improving the energy performance of vehicles. The type of toll system used can have a major influence on the energy efficiency of highway transportation and therefore it is necessary to consider free flow.

Accident Management Actions In An Upper-Head Small-Break Loss-Of-Coolant Accident With High-Pressure Safety Injection Failed

Since the Three Mile Island accident, an important focus of pressurized water reactor (PWR) transient analyses has been a small-break loss-of-coolant accident (SBLOCA). In 2002, the discovery of thinning of the vessel head wall at the Davis Besse nuclear power plant reactor indicated the possibility of an SBLOCA in the upper head of the reactor vessel as a result of circumferential cracking of a control rod drive mechanism penetration nozzle - which has cast even greater importance on the study of SBLOCAs. Several experimental tests have been performed at the Large Scale Test Facility to simulate the behavior of a PWR during an upper-head SBLOCA. The last of these tests, Organisation for Economic Co-operation and Development Nuclear Energy Agency Rig of Safety Assessment (OECD/NEA ROSA) Test 6.1, was performed in 2005. This test was simulated with the TRACE 5.0 code, and good agreement with the experimental results was obtained. Additionally, a broad analysis of an upper-head SBLOCA with high-pressure safety injection failed in a Westinghouse PWR was performed taking into account different accident management actions and conditions in order to check their suitability. This issue has been analyzed also in the framework of the OECD/NEA ROSA project and the Code Applications and Maintenance Program (CAMP). The main conclusion is that the current emergency operating procedures for Westinghouse reactor design are adequate for these kinds of sequences, and they do not need to be modified.

Performance of a transmutation advanced device for sustainable energy application

Preliminary studies have been performed to design a device for nuclear waste transmutation and hydrogen generation based on a gas-cooled pebble bed accelerator driven system, TADSEA (Transmutation Advanced Device for Sustainable Energy Application). In previous studies we have addressed the viability of an ADS Transmutation device that uses as fuel wastes from the existing LWR power plants, encapsulated in graphite in the form of pebble beds, cooled by helium which enables high temperatures (in the order of 1200 K), to generate hydrogen from water either by high temperature electrolysis or by thermochemical cycles. For designing this device several configurations were studied, including several reflectors thickness, to achieve the desired parameters, the transmutation of nuclear waste and the production of 100 MW of thermal power. In this paper new studies performed on deep burn in-core fuel management strategy for LWR waste are presented. The fuel cycle on TADSEA device has been analyzed based on both: driven and transmutation fuel that had been proposed by the General Atomic design of a gas turbine-modular helium reactor. The transmutation results of the three fuel management strategies, using driven, transmutation and standard LWR spent fuel were compared, and several parameters describing the neutron performance of TADSEA nuclear core as the fuel and moderator temperature reactivity coefficients and transmutation chain, are also presented