Essays on energy derivatives pricing and financial risk management

This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing evidence for utility gains increases with investor’s preference over risk. Deregulation of electricity markets has led to higher uncertainty in electricity prices and by presenting these essays we try to shed new lights about structuring, pricing and hedging in this type of markets.

Optimization models for a short sea fuel oil distribution problem

O transporte marítimo e o principal meio de transporte de mercadorias em todo o mundo. Combustíveis e produtos petrolíferos representam grande parte das mercadorias transportadas por via marítima. Sendo Cabo Verde um arquipelago o transporte por mar desempenha um papel de grande relevância na economia do país. Consideramos o problema da distribuicao de combustíveis em Cabo Verde, onde uma companhia e responsavel por coordenar a distribuicao de produtos petrolíferos com a gestão dos respetivos níveis armazenados em cada porto, de modo a satisfazer a procura dos varios produtos. O objetivo consiste em determinar políticas de distribuicão de combustíveis que minimizam o custo total de distribuiçao (transporte e operacões) enquanto os n íveis de armazenamento sao mantidos nos n íveis desejados. Por conveniencia, de acordo com o planeamento temporal, o prob¬lema e divido em dois sub-problemas interligados. Um de curto prazo e outro de medio prazo. Para o problema de curto prazo sao discutidos modelos matemáticos de programacao inteira mista, que consideram simultaneamente uma medicao temporal cont ínua e uma discreta de modo a modelar multiplas janelas temporais e taxas de consumo que variam diariamente. Os modelos sao fortalecidos com a inclusão de desigualdades validas. O problema e então resolvido usando um "software" comercial. Para o problema de medio prazo sao inicialmente discutidos e comparados varios modelos de programacao inteira mista para um horizonte temporal curto assumindo agora uma taxa de consumo constante, e sao introduzidas novas desigualdades validas. Com base no modelo escolhido sao compara¬das estrategias heurísticas que combinam três heur ísticas bem conhecidas: "Rolling Horizon", "Feasibility Pump" e "Local Branching", de modo a gerar boas soluçoes admissíveis para planeamentos com horizontes temporais de varios meses. Finalmente, de modo a lidar com situaçoes imprevistas, mas impor¬tantes no transporte marítimo, como as mas condicões meteorológicas e congestionamento dos portos, apresentamos um modelo estocastico para um problema de curto prazo, onde os tempos de viagens e os tempos de espera nos portos sao aleatórios. O problema e formulado como um modelo em duas etapas, onde na primeira etapa sao tomadas as decisões relativas as rotas do navio e quantidades a carregar e descarregar e na segunda etapa (designada por sub-problema) sao consideradas as decisoes (com recurso) relativas ao escalonamento das operacões. O problema e resolvido por um metodo de decomposto que usa um algoritmo eficiente para separar as desigualdades violadas no sub-problema.

Energy Management in UK Non-Domestic Buildings - a New Perspective to Provoke Reduced Carbon Emissions

Politicians, industry and the public generally accept the need for energy consumption to be cut to deliver climate change mitigation measures essential for us to avoid climate disaster. For non-domestic fuel users current energy policy has attempted to drive this through rational economic responses to energy cost pressures. This reliance on voluntary action has created an “Energy Inconsistency”, that is a marked difference between energy opportunities that have been proven technically viable, financially rational and retrofit feasible and those actually adopted. Other factors must therefore be involved to influence what appear to be simple carbon and cost saving opportunities. This paper presents a new approach to energy efficiency and consumption in non-domestic buildings, viewing attitudes and behaviours of building owners and users as the key driver of energy consumption. A new framework is proposed as a method to examine the impact of building ownership on the users’ and owners’ abilities to improve energy efficiency and consumption and identify opportunities to overcome the barriers inherent in these ownership structures.

Space-time monitoring of prescribed burnt soils performance – an effective tool for forest management

Among the most important measures to prevent wild forest fires is the use of prescribed and controlled burning actions in order to reduce the availability of fuel mass. However, the impact of these activities on soil physical and chemical properties varies according to the type of both soil and vegetation and is not fully understood. Therefore, soil monitoring campaigns are often used to measure these impacts. In this paper we have successfully used three statistical data treatments - the Kolmogorov-Smirnov test followed by the ANOVA and the Kruskall-Wallis tests – to investigate the variability among the soil pH, soil moisture, soil organic matter and soil iron variables for different monitoring times and sampling procedures.

Management consulting labs- Galp loyalty

The purpose of this project was to diagnose and estimate the possible value to add to the current loyalty program of Galp and to explore possible redefinitions to the loyalty approach. In order to do that it was performed a deep benchmarking about the company, exhaustive research on the existent data about loyalty and loyalty programs, new data mining with quantitative and qualitative analysis, exploratory market research and ideation sessions. Based on all the work developed, a group of five changes of paradigm were suggested through structured and innovative ideas to answer the challenge proposed.

Management consulting labs-Galp loyalty

The objective of this consulting project was to assist Galp Energia in its approach to loyalty. In order to do so, two hypotheses were defined. The first assumed there was value to capture in the existing approach. The second held that it was possible to create value through a radically innovative approach. The methodology used to corroborate those hypotheses encompassed several quantitative analyses, as well as desk research and market research. As a result, a compilation of recommendations comprising implementation proposals that considered both hypotheses as valid was presented in order to suggest a paradigm change

Management consulting labs Galp loyalty

The main objective of this project was to investigate methods to create a new loyalty approach for Galp Energia in order to improve customer retention and reduce churn, related with the expansion of hypermarket chains’ in the Fuel Retail Market and the country’s economical situation. The team carried out on-spot surveys and focus groups, researched loyalty programs’ best practices, analyzed peers practices and the company’s past performance in order to find important customer insights. These were used to develop the final recommendations resulting in a new paradigm to the group’s loyalty approach alongside incremental improvements to the current loyalty solutions.

Management consulting labs-Galp loyalty learning experience

The purpose of this project was to analyze Galp’s loyalty approach in the Portuguese fuel market given the industry context, namely the entry of hypermarket and the resulting increase in competitiveness. The team performed analyses based on analytical models, qualitative research and internal interviews in order to assess Galp’s potential in the field of loyalty and consumers’ behavior. The final recommendations were based on incremental improvements to the Galp’s existing loyalty tool and an innovative paradigm change of the approach to loyalty.

More than irrigation - The Balinese Subak system as a unique form of cooperative water resource management in Indonesia

For over 1,000 years, the Balinese have developed a unique system of democratic and sustainable water irrigation. It has shaped the cultural landscapes of Bali and enables local communities to manage the ecology of terraced rice fields at the scale of whole watersheds. The Subak system has made the Balinese the most productive rice growers in Indonesia and ensures a high level of food sovereignty for a dense population on the volcanic island. The Subak system provides a vibrant example of a diverse, ecologically sustainable, economically productive and democratic water management system that is also characterized by its nonreliance on fossil fuel derivatives or heavy machinery. In 2012, UNESCO has recognized five rice terraces and their water temples as World Heritage site and supports its conservation and protection. However, the fragile Subak system is threatened for its complexity and interconnectedness by new agricultural practices and increasing tourism on the island.

Nitrogen management is essential to prevent tropical oil palm plantations from causing ozone pollution

More than half the world's rainforest has been lost to agriculture since the Industrial Revolution. Among the most widespread tropical crops is oil palm (Elaeis guineensis): global production now exceeds 35 million tonnes per year. In Malaysia, for example, 13% of land area is now oil palm plantation, compared with 1% in 1974. There are enormous pressures to increase palm oil production for food, domestic products, and, especially, biofuels. Greater use of palm oil for biofuel production is predicated on the assumption that palm oil is an “environmentally friendly” fuel feedstock. Here we show, using measurements and models, that oil palm plantations in Malaysia directly emit more oxides of nitrogen and volatile organic compounds than rainforest. These compounds lead to the production of ground-level ozone (O3), an air pollutant that damages human health, plants, and materials, reduces crop productivity, and has effects on the Earth's climate. Our measurements show that, at present, O3 concentrations do not differ significantly over rainforest and adjacent oil palm plantation landscapes. However, our model calculations predict that if concentrations of oxides of nitrogen in Borneo are allowed to reach those currently seen over rural North America and Europe, ground-level O3 concentrations will reach 100 parts per billion (109) volume (ppbv) and exceed levels known to be harmful to human health. Our study provides an early warning of the urgent need to develop policies that manage nitrogen emissions if the detrimental effects of palm oil production on air quality and climate are to be avoided.

Nitrogen management is essential to prevent tropical oil palm plantations from causing ground-level ozone pollution

More than half the world's rainforest has been lost to agriculture since the Industrial Revolution. Among the most widespread tropical crops is oil palm (Elaeis guineensis): global production now exceeds 35 million tonnes per year. In Malaysia, for example, 13% of land area is now oil palm plantation, compared with 1% in 1974. There are enormous pressures to increase palm oil production for food, domestic products, and, especially, biofuels. Greater use of palm oil for biofuel production is predicated on the assumption that palm oil is an "environmentally friendly'' fuel feedstock. Here we show, using measurements and models, that oil palm plantations in Malaysia directly emit more oxides of nitrogen and volatile organic compounds than rainforest. These compounds lead to the production of ground-level ozone (O-3), an air pollutant that damages human health, plants, and materials, reduces crop productivity, and has effects on the Earth's climate. Our measurements show that, at present, O-3 concentrations do not differ significantly over rainforest and adjacent oil palm plantation landscapes. However, our model calculations predict that if concentrations of oxides of nitrogen in Borneo are allowed to reach those currently seen over rural North America and Europe, ground-level O-3 concentrations will reach 100 parts per billion (10(9)) volume (ppbv) and exceed levels known to be harmful to human health. Our study provides an early warning of the urgent need to develop policies that manage nitrogen emissions if the detrimental effects of palm oil production on air quality and climate are to be avoided.

Development of highly selective ligands for separations of actinides from lanthanides in the nuclear fuel cycle

This account summarizes recent work by us and others on the development of ligands for the separation of actinides from lanthanides contained in nuclear waste streams in the context of a future European strategy for nuclear waste management. The current status of actinide/lanthanide separations worldwide is briefly discussed, and the synthesis, development, and testing of different classes of heterocyclic soft N- and S-donor ligands in Europe over the last 20 years is presented. This work has led to the current benchmark ligand that displays many of the desirable qualities for industrial use. The improvement of radiolytic stability through ligand design is also discussed.

Nuclear fuel cycles: interfaces with the environment

The waste materials generated in the nuclear fuel cycle are very varied,ranging from the tailings arising from mining and processing uranium ore, depleted uranium in a range of chemical forms, to a range of process wastes of differing activities and properties. Indeed, the wastes generated are intimately linked to the options selected in operating the nuclear fuel cycle, most obviously to the management of spent fuel. An open fuel cycle implies the disposal of highly radioactive spent fuel, whereas a closed fuel cycle generates a complex array of waste streams. On the other hand, a closed fuel cycle offers options for waste management, for example reduction in highly active waste volume, decreased radiotoxicity, and removal of fissile material. Many technological options have been proposed or explored, and each brings its own particular mix of wastes and environmental challenges.

An intelligent energy management model for a parallel hybrid vehicle under combined loads

To exploit the benefits offered by parallel HEVs, an intelligent energy management model is developed and evaluated in this paper. Despite most existing works, the developed model incorporates combined wind/drag, slope, rolling, and accessories loads to minimise the fuel consumption under varying driving conditions. A slope prediction unit is also employed. The engine and the electric motor can output power simultaneously under a heavy-load or a slopped road condition. Two simulation were conducted namely slopped-windy-prediction and slopped-windy-prediction-hybrid. The results indicate that the vehicle speed and acceleration is smoother where the hybrid component was included. The average fuel consumption for the first and second simulations were 7.94 and 7.46 liter/100 km, respectively.

A rule-based intelligent energy management system for an internal combustion engine vehicle

An intelligent energy management system (IEMS) is developed to improve fuel efficiency of an internal combustion engine vehicle. It helps determine the best approach to run the engine system through dynamically analysing various factors relating to vehicle. The energy balance technique is implemented and utilised. The simulation outcome of the IEMS is compared against that of a conventional system under the same driving factors. The results show that the IEMS reduces the fuel consumption around 5.6% for the tested conditions.