Energyforum
Power Generation Assets & Hedging
5-6 October 2010, Barcelona (FULLY BOOKED)
Please note that this course is fully booked and we can no longer accept registrations to this course!
The course is highly practical: throughout the course you will work on case studies with specialized analysis models for plant valuation and hedging analysis. The models will be provided to you for the duration of the course plus a month thereafter. Apart from case studies, the course also features an energy trading game. The goal is to optimize a portfolio of power plants, while hedging in the market and responding to news.
Session 1: Power generation and power contract types: technical and commercial issues
- Technical (physical) constraints: efficiency curves, ramp rates, min runtime/offtime, seasonal effects, degradation, outages & maintenance
- Commercial constraints: start costs and start limitations, gas Take-or-Pay contracts
Session 2: Dispatch optimization of thermal power plants: optimization techniques and practical limitations
- Extreme approaches: power plant as a simple spark/dark spread versus power plant as an hourly option
- Linear Programming versus Dynamic Programming techniques
- Impact of construction forward curve on intrinsic value
- Impact efficiency curve on optimal dispatch
Session 3: Price and spread dynamics: volatility, correlations, cointegration
- Price modeling approaches: oil, gas, power, coal, CO2
- Cointegration: combine fundamental information in a simulation framework
- Parameter estimation: volatility, correlation, mean reversion
- Spark spreads: distribution with and without cointegration
Session 4: Power plant hedging strategies and portfolio effects
- Hedging of generation assets
- Static versus dynamic hedging: calculate delta positions
- Impact of hedging on risk profile
Session 5: Wind & Hydro power analysis
- Characteristics and impact of wind power
- Least squares Monte Carlo for hydro power
- Optimization of multiple hydro power plants
Session 6: Practical case study - investment analysis
- Developing a cash-flow valuation model for a power plant investment
Power Generation Assets & Hedging - Brochure
