From valuation to market analysis

Valuation of Assets and Asset Portfolios

Extrinsic valuation of complex supply contracts:

  • Integrated Valuation in Spot and Forward Markets (stochastic modelling of spot and forward markets)
  • Valuation of Asset Backed Trading Strategies
  • Valuation under Consideration of Conditional-Value-at-Risk-Limits
  • Valuation under Consideration of limits for open Trading Positions
  • Integrierted Valuation in Multiple Market Areas

Real Option Valuation of Thermal Power Plants, Gas Storages, Hydro Generation Systems and other Energy Assets under Consideration of relevant Uncertain Future Impacts

Sensitivity analyses of the value of flexible assets with respect to uncertain spot and forward market evolutions

Investment analyses for thermal power plants, gas storages, hydro plants, pumped storage plants and other assets in the energy industry based on stochastic optimization considering all relevant future uncertainties

Risk Management

Monte Carlo and analytic cross commodity Value-at-Risk calculations for asset portfolios

Stress testing for assets and asset portfolios

Valuation of trading strategies considering future price and resource uncertainties

Calculation of Delta, Vega, Theta and Gamma positions in day ahead and forward markets

Dispatch and Portfolio Optimization

Cross-Market-Optimization for complex hydro power systems:

  • Integrated optimization in spot and ancillary services markets (primary, secondary, tertiary reserve)
  • Price-dependent spot market offer optimization
  • Spot and intraday market optimization considering delivery and reserve obligations for ancillary services
  • Stochastic long term optimization with seasonal reservoirs

Integrated Optimization of thermal power plants and of the upstream fuel supply chain:

  • Detailed modeling of multiple coal blocks
  • Modeling of several coal stores and silos
  • Modeling of different quality grades of coal
  • Modeling of coal transportation (e.g. via ship or train)

Cross-Market-Optimization of combined heat and power generation systems considering the district heating supply:

  • Detaillierte Abbildung aller Kraftwerke im Kraft-Wärme-Kopplungsbetrieb (turbinengenaue Modellierung,  ? Detailed modeling of all power plants in cogeneration (with exact modeling of each turbine and of the thermodynamic processes of steam)
  • Modeling of the district heating network
  • Modeling heat storages
  • Abbildung von dritten Fernwärmeeinspeisern
  • Modeling of external district heating suppliers

Optimal dispatch of thermal power plants considering future power price, fuel price, emission price and outage uncertainties considering time integral constraints on fuel, operational hours, number of starts

Optimal dispatch of hydro systems in spot, forward and reserve markets considering future price and inflow uncertainties

Optimal operation of gas storages, LNG terminals, gas procurement portfolios, gas supply contracts and gas swing options considering uncertain prices on future day ahead markets, forward markets and reserve markets, uncertain gas demand

Optimal price dependent bids and offers to spot markets, i.e. EPEX

Stochastic optimization of procurement and generation portfolios considering uncertain spot and forward prices

Integrated stochastic optimization of power plant dispatch, spot and forward trading

CVaR control (Conditional Value at Risk) in the operation of open positions in generation or procurement portfolios (power/gas)

Market price analysis and modeling, Price Forward Curves, price forecasts and scenario generation

Model based generation and optimization of arbitrage free price forward curves for gas and power markets considering standard and non-standard products in forward markets, consideration of renewable production in the shape of power price forward curves

Specialized high dimensional stochastic price processes for correlated markets, including calibration (estimation of volatilities, mean reversion, jump parameters etc.)

Scenario generation for spot and forward markets based on stochastic processes

Spot price forecasts based on multivariate regression models