Abstracts of the seminar papers
THIJS VAN DEN BERG (SITMO)
Address
Sitmo
Oude Langendijk 30
2611 GL Delft
info@sitmo.nl
Thijs van den Berg is the founder of Sitmo financial engineering a software and consultancy firms that designs and implement mathematical models for financial institutes and industries throughout Europe. The modeling activities focus on financial aspects of projects and contracts; these include valuation, optimization, risk management, hedging and structuring. Before Sitmo, Thijs has been a derivative trader (market maker) at the EOE/AEX, a derivatives risk management sotware engineer, and head of applied research and technology / modeling of a large energy company.
Title
Wind Energy: Valuation and Risk Management
Abstract
Wind energy is the fastest growing renewable source of energy, however good valuation models and risk management tools are hardly ever used. The reason for this is that a wide variety of new models are needed that go beyond the classical models used in finance and risk management. In this talk I will discuss a variety of models that can be used when dealing with wind energy. These models include: short- and long-term forecast for wind speed and electricity production, methods on how to value expected future production against forward curves, spot markets, as well as methods on how to manage the related risks.
SONJA BOUWMAN (KEMA, ARNHEM)
Address
KEMA Nederland BV
Utrechtseweg 310
P.O. Box 9035
6800 ET Arnhem
sonja.bouwman@kema.com
Short bio
Sonja Bouwman received the M.Sc. degree in applied mathematics in 1999
from the University of Twente, Enschede, The Netherlands. After her
studies she worked for B-SIM in Enschede (a company who makes logistic
simulations) and she did an extra practical training period in
financial mathematics at INA, in Rome, Italy. She is currently working
as a consultant at KEMA. KEMA is an international company that is
closely involved in the way power is supplied the future of and how
energy is used around the world. Its clients are major utilities, heavy
industries and regulators and governments, as well as electrical and
electronic manufacturing companies. At KEMA Sonja Bouwman is involved
in projects in the field of: forecasting, statistics, data analysis,
(replacement and maintenance) optimization, operations research and
decision-making theory.
A survey of OR models and techniques for electrical grid companies
Abstract
In this presentation, an overview will be given of projects for the electricity sector that are strongly OR related. The main goal of this presentation is to show how we used OR techniques in the electricity sector and the way our clients have benefited from this approach. Some examples are:
- Optimization model for replacement and maintenance strategies of transformers (in cooperation with the University of Twente)
- Determination of optimal locations for "Distribution Automation"
- Determining worst-case scenario’s of production locations for power supply network operators
- Demand forecasting
CYRIEL DE JONG (MAYCROFT CONSULTING, ERASMUS UNIVERSITY ROTTERDAM)
Address
Maycroft Consulting
Brouwersgracht 131 sous
1015 GE Amsterdam
dejong@maycroft.com
Short bio
Dr Cyriel de Jong is partner at Maycroft Consulting and affiliated to Erasmus University Rotterdam. He studied econometrics and completed a Ph.D. thesis on financial derivatives. Since 2002 he has worked on a great number of projects related to energy derivative valuation, risk management, and investment analysis (primarily involving real options). He is particularly active in the application of energy simulation methodologies to value energy assets, contracts and tradable products.
Title
Gas Storage Valuation and Optimization
Developed countries increasingly rely on gas storage for security of supply. Widespread deregulation has created markets that help assign an objective value to existing and new to build storages. Storage valuation is nevertheless a challenging task if we consider both the financial and physical aspects of storage. In this paper we develop a Monte Carlo valuation method, which can incorporate realistic gas price dynamics and complex physical constraints. In particular, we extend the Least Squares Monte Carlo method for American options to storage valuation. We include numerical results on different markets and discuss how market-based storage valuation can be included in overall portfolio management.
WIL KLING (TENNET)
Address
TenneT TSO BV
Afdeling Assetmanagement
Postbus 718
6800 AS Arnhem
w.kling@tennet.org
Short bio
Prof. Wil Kling received his M.Sc. degree in electrical engineering from the Technical University of Eindhoven, The Netherlands, in 1978. Since 1993, he is a part-time Professor at the Electric Power Systems Laboratory, Delft University of Technology, Delft, The Netherlands and since 2000, also at the Eindhoven University of Technology. Furthermore he is with TenneT, the Dutch Transmission System Operator, in the Asset Management Department responsible for network strategy. His experience is in the area of planning and operation of power systems. Prof. Kling is involved in scientific organizations such as Cigré and IEEE. He is the Dutch Representative in the Cigré Study Committee C6 Dispersed Generation and Distribution Systems and the Eurelectric/UCTE WG SYSTINT.
Title
Long-term and short-term decision making on the structure of the Dutch
electricity network
Not yet available.
HAN LA POUTRE (CWI, EINDHOVEN UNIVERSITY OF TECHNOLOGY)
Address
CWI
PO Box 94079
1090 GB Amsterdam
han.la.poutre@cwi.nl
Short bio
Han La Poutré is research group leader at CWI, for the
research group "Computational Intelligence and Multi-agent Games
(SEN4)". He is also full professor at Eindhoven University of
Technology. His research group has been rated excellent both in 1999
and 2005, in the six-yearly evaluations of the CWI by NWO. Han La
Poutré is member of several editorial boards (ACM
Transactions on Internet Technology, Computational Management Science,
Netnomics) and chair of the IEEE Computational Finance and Economics
Technical Committee.
His research group has research lines for both
fundamental and applied research, in multi-agent games (including
auctions, negotations, and market simulations), computational
intelligence, and multi-agent systems. The design of market mechanisms
en simulations, as well as corresponding software agents belong to the
core research areas of his group. The application of the research
activities into real-world problems is an important activity of the
group, in cooperation with industry and government.
Market-mechanisms for decentralized control and allocation of energy
Abstract
Market-mechanisms are important techniques for the decentralized control and allocation of resources. This area of research has its roots in economics, and has recently received substantial attention in computer science. Focus areas are the design of appropriate market mechanisms, simulation of markets, and the design of software agents to act automatically in these markets. Market-based techniques also play an important role for energy and emission issues, like for the decentralized production and consumption of electricity, or the reduction of CO2 emission. We present results on the reduction of CO2 emission by intelligent truck usage, as part of the Dutch research program Energy, Ecology, and Technology. We describe market-based, automated techniques for cargo allocation, and we present agent-based models and interactive simulation systems. We model the players by agents and design bidding strategies. We also describe market mechanisms and simulations for decentralized electricity production and consumption. We describe market-based techniques for controlling the electricity supply and demand, and we model the various parties involved as agents. Furthermore, we design market strategies for several agents and present a simulation system for these markets.
JANNEKE MEESTERS (ORTEC CONSULTANTS, GOUDA)
Address
Janneke Meesters
ORTEC BV
Groningenweg 6k
PO Box 490
2800 AL Gouda
jmeesters@ortec.nl
Short bio
Janneke Meesters studied Econometrics and Operations Research at the
University of Maastricht. She works as Senior Consultant for ORTEC. She
is project manager of many projects in the Oil&Gas industry
(with large customers, such as BP and SHV Gas), where optimisation of
logistics processes are her main task.
Cost effective Product Replenishment in the Oil & Gas Industry
Abstract
For companies in the Oil & Gas industry a scheduler is responsible for the keeping fuel stations and wholesale customers stocked at all times. When customers do not call in orders it is up to the scheduler to determine when to supply each station from the available refineries, terminals and stock depots. He/she does this by calculating expected demand (per product/tank) for weeks into the future for each customer. With this information he/she can then determine on which day the safety stock will be reached, and thus when this customer needs to be delivered latest. The safety stock is a buffer volume against stock-outs, usually around 15% of the maximum tank capacity.
Delivery orders are created just before each customer reaches the safety stock and these orders are used for route optimization. In other words the scheduler minimizes his/her distribution costs by minimizing the number of visits, i.e. a delivery is planned close to the time a tank will reach his safety stock. As demand in the Oil & Gas business is extremely volatile it may be beneficial to plan a delivery before the due date as this would limit the risk of stock-outs in periods of peak demand. This requires a more long term approach in which expected future delivery volumes are taken into account. The main question though is: is it beneficial to accept extra costs in the short term planning to avoid possible higher costs in the long term in these peak periods?
CASPER MIDDELKAMP (NUON)
Address
Nuon
Postbus 41920
1009 DC Amsterdam
casper.middelkamp@nuon.com
Short bio
Casper Middelkamp studied Applied Mathematics at the University of
Twente from 1999 to 2005. From early 2006 on he has worked at Nuon as a
Risk Analyst. Long-term dispatch of power plants is his main task, but
he has also been involved in other energy market related quantitative
subjects.
Title
Optimisation of a Dutch power plant portfolio (Nuon)
The transition of energy production and delivery in The Netherlands from a state owned process into a market has mostly taken place in only the last five years. This meant a lot of market insight had to be developed and hired from abroad. The market also faces new developments, varying from the regular distribution of CO2 emission rights to the building of an underwater power connection with Norway. Nuon is a vertically integrated power company; this means it plays a role in as well power generation, trading and supply. This presentation gives an overview of the company’s one to three year ahead planning of the power plants and the relation to its other processes.