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Quantification of the model risk in finance and related problems / Quantification du risque de modèle en finance et problèmes reliésLaachir, Ismail 02 July 2015 (has links)
L’objectif central de la thèse est d’étudier diverses mesures du risque de modèle, exprimées en terme monétaire, qui puissent être appliquées de façon cohérente à une collection hétérogène de produits financiers. Les deux premiers chapitres traitent cette problématique, premièrement d’un point de vue théorique, ensuite en menant un étude empirique centrée sur le marché du gaz naturel. Le troisième chapitre se concentre sur une étude théorique du risque dit de base (en anglais basis risk). Dans le premier chapitre, nous nous sommes intéressés à l’évaluation de produits financiers complexes, qui prend en compte le risque de modèle et la disponibilité dans le marché de produits dérivés basiques, appelés aussi vanille. Nous avons en particulier poursuivi l’approche du transport optimal (connue dans la littérature) pour le calcul des bornes de prix et des stratégies de sur (sous)-couverture robustes au risque de modèle. Nous reprenons en particulier une construction de probabilités martingales sous lesquelles le prix d’une option exotique atteint les dites bornes de prix, en se concentrant sur le cas des martingales positives. Nous mettons aussi en évidence des propriétés significatives de symétrie dans l’étude de ce problème. Dans le deuxième chapitre, nous approchons le problème du risque de modèle d’un point de vue empirique, en étudiant la gestion optimale d’une unité de gaz naturel et en quantifiant l’effet de ce risque sur sa valeur optimale. Lors de cette étude, l’évaluation de l’unité de stockage est basée sur le prix spot, alors que sa couverture est réalisée avec des contrats à termes. Comme mentionné auparavant, le troisième chapitre met l’accent sur le risque de base, qui intervient lorsque l’on veut couvrir un actif conditionnel basé sur un actif non traité (par exemple la température) en se servant d’un portefeuille constitué d’actifs traités sur le marché. Un critère de couverture dans ce contexte est celui de la minimisation de la variance qui est étroitement lié à la décomposition dite de Föllmer-Schweizer. Cette décomposition peut être déduite de la résolution d’une certaine équation différentielle stochastique rétrograde (EDSR) dirigée par une martingale éventuellement à sauts. Lorsque cette martingale est un mouvement brownien standard, les EDSR sont fortement associées aux EDP paraboliques semi linéaires. Dans le cas général nous formulons un problème déterministe qui étend les EDPs mentionnées. Nous appliquons cette démarche à l’important cas particulier de la décomposition de Föllmer-Schweizer, dont nous donnons des expressions explicites de la décomposition du payoff d’une option lorsque les sous-jacents sont exponentielles de processus additifs. / The main objective of this thesis is the study of the model risk and its quantification through monetary measures. On the other hand we expect it to fit a large set of complex (exotic) financial products. The first two chapters treat the model risk problem both from the empirical and the theoretical point of view, while the third chapter concentrates on a theoretical study of another financial risk called basis risk. In the first chapter of this thesis, we are interested in the model-independent pricing and hedging of complex financial products, when a set of standard (vanilla) products are available in the market. We follow the optimal transport approach for the computation of the option bounds and the super (sub)-hedging strategies. We characterize the optimal martingale probability measures, under which the exotic option price attains the model-free bounds; we devote special interest to the case when the martingales are positive. We stress in particular on the symmetry relations that arise when studying the option bounds. In the second chapter, we approach the model risk problem from an empirical point of view. We study the optimal management of a natural gas storage and we quantify the impact of that risk on the gas storage value. As already mentioned, the last chapter concentrates on the basis risk, which is the risk that arises when one hedges a contingent claim written on a non-tradable but observable asset (e.g. the temperature) using a portfolio of correlated tradable assets. One hedging criterion is the mean-variance minimization, which is closely related to the celebrated Föllmer-Schweizer decomposition. That decomposition can be deduced from the resolution of a special Backward Stochastic Differential Equations (BSDEs) driven by a càdlàg martingale. When this martingale is a standard Brownian motion, the related BSDEs are strongly related to semi-linear parabolic PDEs. In that chapter, we formulate a deterministic problem generalizing those PDEs to the general context of martingales and we apply this methodology to discuss some properties of the Föllmer-Schweizer decomposition. We also give an explicit expression of such decomposition of the option payoff when the underlying prices are exponential of additives processes.
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Ultrahigh porosity in mesoporous MOFs: promises and limitationsSenkovska, Irena, Kaskel, Stefan 26 November 2019 (has links)
Mesoporous MOFs are currently record holders in terms of the specific surface area with values exceeding 7000 m2 gˉ¹, a textural feature unattained by traditional porous solids such as zeolites, carbons and even by graphene. They are promising candidates for high pressure gas storage and also for conversion or separation of larger molecules, whose size exceeds the pore size of zeolites. The rational strategies for synthesis of mesoporous MOF are outlined and the unambiguous consistent assessment of the surface area of such ultrahighly porous materials, as well as present challenges in the exciting research field, of mesoporous MOFs are discussed. The crystallinity, dynamic properties, functional groups, and wide range tunability render these materials as exceptional solids, but for the implementation in functional devices and even in industrial processes several aspects and effective characteristics (such as volumetric storage capacities, recyclability, mechanical and chemical stability, activation) should be addressed.
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A highly porous metal–organic framework, constructed from a cuboctahedral super-molecular building block, with exceptionally high methane uptakeStoeck, Ulrich, Krause, Simon, Bon, Volodymyr, Senkovska, Irena, Kaskel, Stefan January 2012 (has links)
A highly porous metal–organic framework Cu2(BBCDC) (BBCDC = 9,9′-([1,1′-[b with combining low line]iphenyl]-4,4′-diyl)[b with combining low line]is(9H-[c with combining low line]arbazole-3,6-[d with combining low line]i[c with combining low line]arboxylate) (DUT-49) with a specific surface area of 5476 m2 g−1, a pore volume of 2.91 cm3 g−1, a H2 excess uptake of 80 mg g−1 (77 K, 50 bar), a CO2 excess uptake of 2.01 g g−1 (298 K, 50 bar) and an exceptionally high excess methane storage capacity of 308 mg g−1 (298 K, 110 bar) was obtained using an extended tetratopic linker. / Dieser Beitrag ist mit Zustimmung des Rechteinhabers aufgrund einer (DFG-geförderten) Allianz- bzw. Nationallizenz frei zugänglich.
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Untersuchungen zur Bohrungsintegrität sowie dem Gasverhalten von Wasserstoff in Salzkavernen unter Berücksichtigung variabler RandbedingungenKirch, Martin 19 May 2023 (has links)
Salzkavernen gelten als vielversprechende Möglichkeit Wasserstoff unter Tage zu speichern. Da aktuell keine Salzkaverne zur kommerziellen Wasserstoffspeicherung in Deutschland existiert, wurden Forschungsvorhaben initiiert, um offene Fragen in diesem Bereich zu klären. Die vorliegende Arbeit beschäftigt sich mit der Bestimmung der Dichtheit eines ausgewählten technischen Bohrungsbarriereelements: der letzten zementierten Rohrtour. Laborative Permeabilitätsmessungen stellen eine Möglichkeit dar, den Nachweis der Dichtheit zu erbringen. Zur Messung der Permeabilität werden zwei Versuchsanlagen gebaut, die auf einem instationären Messprinzip basieren. Mit Hilfe dieser Anlagen wird die Durchlässigkeit von Einzelmaterialproben und Verbundproben bestehend aus Steinsalz, Anhydrit, Zementstein und Futterrohr bestimmt und bewertet. Zur Auswertung der Versuche wird eine Software programmiert, die die eindimensionale Strömungsgleichung mit Hilfe der Finiten-Volumen-Methode numerisch löst.
Die Arbeit beschreibt die weltweiten Erfahrungen im Bereich untertägiger Wasserstoffspeicherung. Weiterhin wird der Stand der Technik von Permeabilitätsmessungen dargestellt und die Eigenschaften des verwendeten Messverfahrens beschrieben. Mit Hilfe der Auswertung von Dichtheitstest kann gezeigt werden, dass die Anlagen zum Nachweis niedrigster Permeabilitäten geeignet sind. Das grundliegende mathematische Modell und dessen numerische Approximation wird hergeleitet. Die numerischen Fehler und der Modellfehler werden mit Hilfe einer Genauigkeitsanalyse bestimmt. Über die Analyse der Messunsicherheiten der Eingangsparameter erfolgt eine Abschätzung der Messunsicherheit der berechneten Permeabilität.
Die Ergebnisse der Permeabilitätsmessungen zeigen, dass der untersuchte Zementstein dichte Verbunde mit Steinsalz und Futterrohr gegenüber Wasserstoff ausbilden kann. Als wichtigste Einflussgröße auf die Permeabilität wird der Effektivdruck identifiziert. Ein Einfluss der Messgase (Wasserstoff und Methan) auf das Strömungsverhalten kann, mit Ausnahme des Klinkenberg-Effekts, nicht nachgewiesen werden. Erfahrungen aus dem Bereich der Erdgasspeicherung sind prinzipiell auf die Wasserstoffspeicherung übertragbar. Die Ergebnisse der Untersuchungen sind in die Erstellung eines Leitfadens zur Errichtung von Wasserstoffkavernen für Genehmigungsbehörden und zukünftige Investoren eingeflossen.
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Glacial Drift Thickness and Vs Characterized Using Three-Component Passive Seismic Data at the Dominion Stark-Summit Gas Storage Field, North Canton, OhioBoggs , Cheryle Ann January 2014 (has links)
No description available.
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[en] ASSESSING THE VALUE OF NATURAL GAS UNDERGROUND STORAGE IN THE BRAZILIAN SYSTEM: A STOCHASTIC DUAL DYNAMIC PROGRAMMING APPROACH / [pt] ESTIMANDO O VALOR DO ARMAZENAMENTO SUBTERRÂNEO DE GÁS NATURAL NO SISTEMA BRASILEIRO: UMA ABORDAGEM DE PROGRAMAÇÃO DINÂMICA DUAL ESTOCÁSTICALARISSA DE OLIVEIRA RESENDE 04 May 2020 (has links)
[pt] O cenário atual da indústria de gás natural brasileira é caracterizado por baixa maturidade e dinamismo de mercado. O comportamento estocástico da demanda por gás, somado volatilidade do preço de mercado do
GNL, motiva a utilização de estocagem subterrânea como forma de inserir flexibilidade no suprimento, além de promover proteção contra flutuação no preço. No entanto, a literatura existente carece de uma uma ferramenta analítica mais robusta para apoiar uma análise quantitativa dos benefícios que
a atividade UNGS poderia proporcionar à indústria de gás natural. Nesta tese, propomos um modelo de programação dinâmica estocástica para planejamento de longo/médio prazo, a fim de determinar a política ótima de fornecimento juntamente com a possibilidade de armazenamento de gás. Um modelo markoviano caracteriza a demanda termoelétrica, enquanto o preço de GNL é representado por um processo estocástico temporalmente independente. O modelo proposto é eficientemente resolvido usando o algoritmo de programação dinâmica dual estocástica para o estudo de caso brasileiro, considerando dados dos setores de gás e setor elétrico. Para uma escolha exógena, mas significativa, da localização e tamanho do armazenamento subterrâneo, observamos os benefícios operacionais e econômicos da
flexibilidade que esta atividade poderia proporcionar. Além disso, comparando os custos de OPEX e CAPEX de investimentos em infraestrutura de armazenamento em campos depletados e cavernas de sal com as economias proporcionadas pelo armazenamento na operação de fornecimento, é possível observar o benefício econômico da atividade de estocagem. A estrutura proposta fornece suporte quantitativo importante para discussões sobre precificação de infraestrutura e modelo de negócios para Armazenamento
Subterrâneo de Gás Natural. / [en] The current scenario of the Brazilian natural gas industry is characterized by low maturity and dynamism of the market.The stochastic behavior of Brazilian demand for natural gas, added to its associated market price volatility, motivates the usage of underground storage due to supply flexibility and protection against price fluctuations. However, the existing literature lacks a more robust analytical tool to support a quantitative analysis of the benefits that the UNGS activity could provide to the natural gas industry.
In this thesis, we propose a stochastic dynamic programming model for long/medium term planning to determine the supply optimal policy together with the possibility of storing gas. A markovian model characterizes thermoelectric demand while market price is represented by a stagewise independent
stochastic process. The proposed model is efficiently solved using the Stochastic Dual Dynamic Programming algorithm for the Brazilian case study considering realistic data for the actual gas network and electric power system. For an exogenous but meaningful choice of underground storage location
and size, we observe the operational and economic benefits of the provided storage flexibility. Additionally, comparing the OPEX and CAPEX costs of investments in storage infrastructure in depleted fields and
salt caverns with the savings provided by storage in the supply operation, it is possible to observe the economic benefit of storage. The proposed framework provides an important quantitative support for discussion about Underground Natural Gas Storage infrastructure pricing and business models.
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Analýza možností akumulační tepelné elektrárny v podmínkách ČR / Use storage thermal power in Czech republicBednář, František January 2014 (has links)
This diploma’s thesis analyzes the possibility of accumulation of thermal power plants in the Czech Republic. The thesis is divided into several parts. The first part describes the different types of storage power plants, the historical development of power storage for compressed air and the appropriateness of their location. The second part is devoted to the design of storage power plant for compressed air in South Moravia. In the next chapter, a calculation is made of all equipment storage power plant, including turbo-compressor, combustion chamber, combustion turbines, the volume of storage tanks and two heat exchangers. The last part is the economic analysis of the return on investment of such a project.
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