This report offers a comparative valuation of two bitumen production technologies, using real options analysis (ROA) techniques to incorporate strategic flexibility into the investment scenario. By integrating a probabilistic cost model into a real options framework, the value of an oil recovery facility is modeled to reflect the realistic alternatives available to decision-makers, where the course of the investment can be altered as new information becomes available. This approach represents a distinct advantage to traditional discounted cash flow (DCF) estimation, which is unable to capture operational adaptability, including the ability to expand, delay, or abandon a project. The analysis focuses on the energy inputs required for the recovery of heavy oil bitumen from Alberta, Canada, and examines both natural gas and nuclear steam plants as heat sources. The ACR-1000 reactor is highlighted as a substitute for conventional natural gas-fueled means of production, in light of the recent volatility of natural gas prices and the potential for emissions compliance charges. The methodology includes a levelized cost assessment per barrel of bitumen and estimation of cost ranges for each component. A mean-reversion stochastic price model was also derived for the both natural gas and oil price. By incorporating cost ranges into a ROA framework, the benefit of retaining project flexibility is included in its valuation. Formulated as a decision tree, built-in options include the initial selection to pursue nuclear or natural gas, site selection and licensing, the ability to switch heat source in the planning stage, and the final commitment to construct. Each decision is influenced by uncertainties, including the course of bitumen and natural gas price, as well as emissions policy. By structuring the investment scenario to include these options, the overall value of the project increases by over $150 million. The ability to switch technology type allows for an assessment of the viability of nuclear steam, which becomes economically favorable given high natural gas prices or high emissions taxes. Given an initial selection of natural gas SAGD, there is a 25% probability that a switch to nuclear steam will occur, as evolving financial conditions make nuclear the optimal technology. / text

This thesis investigates relationships between the European Union Emission Trading Scheme (EU ETS) and energy markets. A special focus is given to fuel switching, the main shortterm abatement measure within the EU ETS. This consists in substituting Combined Cycle Gas Turbines (CCGTs) for hard-coal plants in off-peak power generation. Thereby coal plants run for shorter periods, which allows power producers to reduce their CO2 emissions. In Chapter 1, we outline different approaches explaining relationships between carbon and energy markets. We also review the literature relating to these issues. Next, we further describe the fuel switching process and, in particular, we analyze the influence of energy and environmental efficiency of thermal power plants (coal and gas) on fuel switching. In Chapter 2, we provide a theoretical analysis that shows how differences in the efficiency of CCGTs can rule interactions between gas and carbon prices. The main result shows that the allowance price becomes more sensitive to the gas price when the level of CO2 emissions increases. In Chapter 3, we examine interactions between carbon, coal, gas and electricity prices in an empirical study. Among the main results, we find that there is a significant link between carbon and gas prices in the long-run equilibrium.In Chapter 4, we analyze the cross-market price discovery process between gas and CO2 markets. We identified in previous chapters that there is a robust significant link between gas and CO2 markets. They are linked commodities, and their prices are affected by the same information. In an empirical analysis, we find that the carbon market is the leader in cross-market price discovery process.

Depuis plusieurs décennies, les prix des énergies sont sujets à une volatilité croissante pesant considérablement sur l’ensemble de l’économie. Comparée aux prix des autres matières premières (comme, par exemple, les métaux précieux, ou encore les produits agricoles), l’évolution des produits énergétiques est apparue exceptionnellement incertaine, tant à long terme qu’à court terme. Dans un contexte économique global, ce phénomène acquiert toute son importance tant les dommages sur l’économie réelle d’une forte variation des prix des matières premières peuvent être conséquents. Cette thèse s’intéresse donc aux causes profondes expliquant ces fluctuations. Plus spécifiquement, en unissant les différents champs de l’économie de l’énergie, de l’économétrie, de la finance et de la psychologie, elle s’attache à comprendre le phénomène de financiarisation des commodités et les relations étroites entre marchés financiers et marchés des matières premières. Cette réflexion s’articule en trois thèmes : d’une part la relation entre les prix des différentes énergies et leurs propriétés financières est analysée, d’autre part les aspects émotionnels et comportementaux des marchés sont étudiés, enfin les liens directs entre marchés boursiers et marchés de commodités sont abordés. / Since decades, energy prices are subject to increasing volatility affecting the whole economy. Compared to other commodity prices (for example precious metals and agro-industrial), energy price dynamics appear to be extremely uncertain both at short and long run. In a global economic context, this phenomenon is very important since intense variations of commodity prices can be tragic to real economy. This thesis focuses on the true nature of these movements. More formally, we investigate the commodity markets’ financialization, as well as the relationships between commodity and stock markets by unifying the fields of energy economics, econometrics, finance and psychology. This analysis is based on three themes: first energy prices relationships and their financial properties are analyzed, and then the behavioral and emotional specification of energy markets are studied, finally comovements between stock and commodity markets’ volatility are considered

La plupart des exercices d’analyse de politiques climatiques ou énergétiques font appelà des modèles dits "d’évaluation intégrée" (MEIs). Ces modèles économie-énergie-climat sont des modèles numériques pluridisciplinaires destinés à étudier lesquestions liées au changement climatique et à sa gestion. Socles d’une accumulationde connaissance, ils ont une visée prospective et aident à traduire les débatsqualitatifs des instances de décisions nationales et internationales en un ensemble dedonnées quantitatives, scientifiquement vérifiables. Leur faible capacité à prendre encompte les incertitudes inhérentes à tout exercice de prospective mais aussi leur tropgrande complexité expliquent pourquoi ces MEIs sont si souvent décriés et leurutilisation remise en question.Ce constat a guidé nos travaux dont l’objectif était de contribuer à améliorer larobustesse des MEIs, afin de renforcer la pertinence de leur utilisation pour l’analysede l’impact de politiques économiques sur le climat-énergie. Nous avons d’abordexaminé comment ces modèles participent aux débats sur le changement climatique etcomment améliorer leur utilisation. Nous avons retracé la genèse de ces modèles etleur évolution et analysé les principales critiques qui leur sont adressées. Dans unsecond temps, nous nous sommes focalisés sur l’un des principaux reproches faits auxMEIs : le traitement de l’incertitude. Sur la base de ces analyses, nous avons mis enoeuvre une approche récente de traitement des problèmes d’incertitude paramétrique:l’optimisation robuste, méthode encore très peu utilisée dans le cadre d’étudesprospectives. / Energy-economy and energy-economy-environment models are widely used to assessenergy and climate policies. Developed during the last forty years, these models allowthe study of the interactions between the energy-transport system, the economy andthe climate system. These interactions are very complex as they involve linkages,feedback loops and delays that are not perfectly known and that take place over a longtime horizon.This complexity along with the large uncertainties weighing on the model parametersand main assumptions explain why the use of models in the policy debate, (where themodels address issues on climate change scenarios and on energy planning), is largelycriticized.Based on this observation, our work aimed primarily at increasing the robustness ofthese models, to reinforce the relevance of their use to evaluate economic policyimpacts. At first, we examine how these models should be used to contributeeffectively to the climate and energy policy analysis debate. We review the evolution ofthe modeling practice and question it, discussing its relevance. We then focus on theuncertainty treatment and on the basis of this review, we implement an alternativeway of considering parameter uncertainty when "modeling the future" using robustoptimization.

Este trabalho tem o objetivo de relatar e analisar a história dos projetos hidrelétricos conhecidos por \"botox\" (expressão cunhada aos projetos mais velhos com roupagem de novos), desde sua origem, ainda na primeira reforma do setor elétrico brasileiro em 1998, até seu desfecho, no leilão de energia nova de 2007, já no âmbito da segunda reforma do setor elétrico iniciada em 2004. Para sua total compreensão, é feita a historiografia do setor elétrico desde o Código de Águas, vis-à-vis da política econômica mundial e de seus reflexos na economia nacional. A dissertação prossegue com a descrição das alterações regulatórias, principalmente no que se refere ao critério de licitação de concessões de aproveitamentos hidrelétricos, caracterizando e identificando como se formou essa categoria de empreendimentos \"botox\". Após a conceituação teórica de leilões, são analisadas as participações desse tipo de projeto nos cinco leilões de energia nova, ocorridos entre 2005 e 2007. Além de uma abordagem sob o ponto de vista do produtor independente de energia elétrica, também é feita análise de que forma a alteração da regulamentação para outorga de concessões de geração e para comercialização de energia modificou a perspectiva de evolução do valor da energia elétrica para os autoprodutores. Por fim, é feita breve discussão sobre o processo de licenciamento ambiental desses projetos, com ênfase em seus aspectos regulatórios. / This thesis aims to discuss and analyze the history of a particularly hydroelectric power plants group, nicknamed as \"botox\". This expression comes from the fact that those projects were old ones, which have been previously conceived, that were treated as brand new by the Brazilian regulatory framework. Its history has began from the Brazilian electricity industry reform in the 1990s. This history reaches its final step in the 2007 auction, already under the revised power sector model launched in 2004, which marked the last opportunity of the so-called \"botox\" projects to participate closing deals to sell long term energy in a specially designed auction. To perform this analysis, it is firstly reported the context were the \"botox\" were conceived in the recent history of Brazilin Electricity Sector, and how power plants group was impacted by the shifts of international economic trends. The next section discusses the last two power sector reforms, particularly addressing the shifts hydro-plants investors faced on having access to concession auctions for new projects. After providing the background of the auction mechanism theory, it is examined the newly designed electricity auction adopted in Brazil as well as the results of the auctions that took place between 2004 up to 2007. Finally, it is discussed implications of the rules regarding the latest industry reform and regulatory issues towards environmental licenses, focusing on their impacts on the willingness to invest of self-generators owners of \"botox\" projects.

Orientadores: Joaquim Eugênio Abel Seabra, Manoel Regis Lima Verde Leal / Dissertação (mestrado) - Universidade Estadual de Campinas, Faculdade de Engenharia Mecânica / Made available in DSpace on 2018-08-24T13:24:02Z (GMT). No. of bitstreams: 1 Pereira_TassiaPenha_M.pdf: 1594617 bytes, checksum: a3dc43286048d664f65908f6a7e2bc71 (MD5) Previous issue date: 2014 / Resumo: Em 2011 a cana-de-açúcar foi confirmada como a fonte renovável primária mais importante para a oferta interna de energia no Brasil (15,7% suplantando os 14,7% da energia hidráulica). Atualmente, as formas de energia resultantes do processamento da cana são o etanol e a eletricidade. Com o aumento da mecanização uma quantidade considerável de biomassa se torna disponível na lavoura. Algumas usinas já tentam recuperar economicamente parte dessa biomassa para uso como combustível suplementar ao bagaço, estendendo o período de geração de energia para além do período de colheita. Adicionalmente, há um esforço em pesquisa em desenvolvimento para se ter alternativas para o aproveitamento do material lignocelulósico da cana (bagaço e palha) integrando processos tecnológicos e, assim, utilizar a biomassa como matéria-prima para a obtenção de artigos de maior valor agregado. Diante dessas opções, há a preocupação em saber qual forma de conversão da biomassa é mais eficiente não só do ponto de vista técnico-econômico, mas também ambiental. A Avaliação de Ciclo de Vida (ACV) é uma técnica que pode ser usada para analisar a eficiência e sustentabilidade de alternativas quando comparadas com tecnologias convencionais. Neste trabalho, seis cenários tecnológicos para conversão da biomassa da cana-de-açúcar foram confrontados quanto ao potencial de mitigação de gases de efeito estufa (GEE) e aos respectivos custos de mitigação: ciclo a vapor (Rankine) e sistema BIG-GT, para a geração de energia excedente durante todo o ano; síntese de combustíveis, para produção de etanol e álcoois superiores; conversão bioquímica a partir da hidrólise enzimática para produção de etanol; pirólise lenta para a produção de biocarvão (utilizado como condicionador de solo); e produção de peletes para exportação para a Europa. Tais cenários foram comparados com a configuração mais comum de uma destilaria de etanol na nova expansão do setor brasileiro. Análises de incertezas e de sensibilidade também foram realizadas. Os resultados mostram que a peletização da biomassa é a opção tecnológica mais promissora devido ao bom potencial de mitigação (23 t CO2eq/ha.a) e baixo custo (-7 R$/t CO2eq). A pirólise lenta, apesar da grande incerteza, apresenta o segundo melhor potencial de mitigação (21 t CO2eq/ha.a) através do sequestro promovido pelo biocarvão, porém é a alternativa mais onerosa (260 R$/t CO2eq). De forma geral, dentre as opções investigadas, aquelas mais viáveis economicamente são as que apresentam os menores potenciais de redução de emissões de GEE / Abstract: In 2011 sugarcane was confirmed as the main renewable source in the domestic energy supply in Brazil (15.7% against 14.7% from hydropower). Currently, the energy products resulting from sugarcane processing are ethanol and electricity. With the increased mechanized harvesting, a considerable amount of biomass becomes available in the field, and some mills have already started to recover and use that biomass as supplementary fuel to bagasse, extending the period of power generation beyond the sugarcane season. Additionally, there are ongoing research efforts aimed at the better utilization of the sugarcane lignocellulosic material (bagasse and straw), enabling the production of higher value-added products through the integration of new conversion technologies. In face of these alternatives, debates arise about which would be the most efficient, cost effective and environmental friendly conversion alternative. The Life Cycle Assessment (LCA) is a technique that can be used to analyze the efficiency and sustainability of alternatives when compared to conventional technologies. In this work, six technology scenarios for sugarcane biomass conversion were compared in terms of GHG emissions mitigation and costs: steam cycle and BIG-GT systems, for electricity generation; production of ethanol via biochemical and thermochemical conversion; slow pyrolysis for the production of biochar (to be used as soil conditioner); and production of pellets (to be exported to Europe). Such scenarios were compared with the most common configuration of an ethanol distillery in the new expansion of the Brazilian industry. Uncertainty and sensitivity analyses were also performed. The results show that the biomass pelletizing is the most interesting option due to the good mitigation potential (23 tCO2eq/ha.a) and low required carbon price (-7 R$/t CO2eq). Slow pyrolysis, despite the high uncertainties, features the second largest mitigation potential (21 t CO2eq/ha.a) through the carbon sequestration promoted by biochar, although it is the most expensive option (260 R$/t CO2eq). In general, among the alternatives investigated in this study, those featuring the lowest mitigation costs are also those with the lowest mitigation potential / Mestrado / Planejamento de Sistemas Energeticos / Mestra em Planejamento de Sistemas Energéticos

Die kumulative Dissertationsschrift besteht aus zwei Teilen. Der erste Teil beleuchtet die Auswirkungen von erhöhten Mengen stromerzeugender erneuerbarer Energien auf den deutschen Strommarkt. In drei Papieren werden die Effekte von erneuerbaren Energien auf die Handelsbilanz, die Emissionsreduktionen und die Preisunsicherheit im Intraday-Markt in Deutschland mit Hilfe von Regressionsanalysen quantifiziert. Der zweite Teil adressiert die Kapazitätsberechnungen für internationalen Stromhandel im Rahmen von Flow-based Market Coupling. Diese Methodik löst sukzessive die bilateralen Handelskapazitäten ab und basiert ihre Kapazitätsbestimmung auf Netzberechnungen und einer Quantifizierung, wie sich Handel auf einzelne kritische Netzwerkelemente auswirkt. Dies ermöglicht im Durchschnitt höhere Handelskapazitäten, was zur Erreichung der deutschen und europäischen Ziele – hohe Versorgungssicherheit, bezahlbare Strompreise, bessere Integration von erneuerbaren Energien und schließlich die Dekarbonisierung der Stromsysteme – einen sehr wichtigen Beitrag leistet. In fünf Papieren werden einerseits statistische Ansätze für wichtige Prognoseparameter im Flow-based Market Coupling entwickelt, insbesondere Generation Shift Keys und die Prognose von konventionellem Kraftwerkseinsatz. Andererseits werden Optimierungsmodelle entwickelt, die den Prozess von Flow-based Market Coupling – Engpassprognose und Marktkopplung – komplett abbilden. Diese Schritte werden durch Engpassmanagement-Berechnungen ergänzt, um aktuelle Fragestellungen zu beantworten, wie z.B. die Wohlfahrtseffekte von Mindesthandelskapazitäten.:Summary Acknowledgments List of Figures Nomenclature and short definitions A Introductory background, research questions and conjunction of research articles A.1 Energy political goals and challenges of the European Union A.2 Fundamentals of electricity price formation, market coupling and congestion management A.2.1 The merit order: Formation of electricity prices in a country A.2.2 Market coupling: Enabling cross-border trade of electricity A.2.3 Congestion management: Averting the violation of physical grid constraints A.2.4 Trading capacities: Limiting cross-border exchange of electricity as a form of preventative congestion management A.2.5 Flow-based market coupling: Combining trading capacities, market coupling and congestion management A.3 Addressing the research questions A.3.1 Overview of articles as part of this cumulative dissertation A.3.2 Brief overview of used methods to address the research questions A.3.3 Relation and coherence of articles A.3.4 Main findings of articles A.3.5 Concluding remarks and further research References B Published and submitted articles B.1 Parsing the Effects of Wind and Solar Generation on the German Electricity Trade Surplus B.2 What caused 2019’s drop in German carbon emissions: Sustainable transition or short-term market developments? B.3 The effect of corrective short-term updates for wind energy forecasts on intraday electricity prices B.4 The impact of different strategies for generation shift keys (GSKs) on the flow-based market coupling domain: A model-based analysis of Central Western Europe B.5 Zone-wide prediction of generating unit-specific power outputs for electric grid congestion forecasts B.6 An Improved Statistical Approach to Generation Shift Keys: Lessons Learned from an Analysis of the Austrian Control Zone B.7 Do minimum trading capacities for the cross-zonal exchange of electricity lead to welfare losses? B.8 Toward a fundamental understanding flow-based market coupling for crossborder electricity trading

This dissertation applies a variety of quantitative methods to European electricity market data to enable us to detect, understand, and eventually mitigate market imperfections. The empirical data indicate that market power and barriers to cross-border trade partially explain today’s market failures. Briefly, the five key findings of this dissertation are: First, we observe a decoupling between German electricity prices and fuel cost, even though British electricity prices are largely explained by short-run cost factors. Second, we demonstrate that rising prices of European Union emission allowances (EUA) have a greater impact on German wholesale electricity prices than falling EUA prices. Third, we reject the assumption of full integration of European wholesale electricity markets in 2002-2006; for several pairs of countries, the weaker hypothesis of (bilateral) convergence is accepted (i.e. efforts to develop a single European market for electricity have been only partially successful). Fourth, we observe that daily auction prices of scarce cross-border transmission capacities are insufficient to explain the persistence of international price differentials. Empirically, our findings confirm the insufficiency of explicit capacity auctions as stated in the theoretical literature. Fifth, we identify inefficiencies in the market behavior for the interconnector linking France and the United Kingdom (UK), for which several explanations, including market power, may be plausible.

Co-location of offshore wind turbines at sites being developed for tidal stream arrays has been proposed as a method to increase capacity and potentially reduce the cost of electricity compared to operating either technology independently. This research evaluates the cost of energy based on capital expenditure and energy yield. It is found that, within the space required around a single 3 MW wind turbine, co-location provides a 10-16% cost saving compared to operating the same size tidal-only array without a wind turbine. Furthermore, for the same cost of electricity, a co-located farm could generate 20% more yield than a tidal-only array. These results are based on analysis of a case-study site in the Pentland Firth. Wind energy is assessed using an eddy viscosity wake model in OpenWind, with a 3 MW rated power curve and thrust coefficient from a Vestas V90 turbine. Three years of wind resource data is from the UK Met Office UK Variable (UKV) 1.5 km numerical model and corrected against a 400 m Weather Research and Forecasting (WRF) model run over the site. Tidal stream energy is modelled using a semi-empirical superposition of self-similar plane wakes, with a generic 1 MW rated power curve and thrust based on a full-scale, fixed-pitch turbine. Coincident tidal resource data is from the Forecasting Ocean Assimilation Model (FOAM) at 7.5 km resolution and correlated with a 150 m ADvanced CIRCulation model (ADCIRC). Wave parameters are corrected from ERA-Interim data with six months of wave buoy data. Multiple tidal turbine array layouts are considered, with maximum tidal energy generated for a staggered array with spacing of 20 tidal turbine diameters, Dt , streamwise and 1.5Dt cross-stream. However, cheapest cost of electricity from the tidal-only array, was found for a single row of turbines, due to minimal wake effects. Laboratory experiments were undertaken to validate the superposition wake model for use with large, shared support structures. Two rotors mounted either side of a central tower generate a peak wake velocity deficit 70% greater than predicted by superposition. This was due to high local blockage and a complex near-wake structure, with a corresponding increase in tower drag of 9%. Further experiments evaluated the impact of oblique inflow on turbines yawed at +/-15 degrees. These results validated a theoretical cosine correction for thrust coefficient and characterised the centreline wake drift with downstream distance. Extreme environmental loads for a shared support structure, compared to structures for wind-only and tidal-only, have also been modelled. A non-linear wave model was used to represent a single wave form with 1% occurrence for each hour of time-series data. Overturning moment about the base of a shared support, with one wind and two tidal turbines, was found to be 4.5% larger than for a wind-only turbine in strong current and with turbines in different operational states. Peak loads across the tidal array were found to vary by 2.5% and so little load reduction benefit could be gained by locating a shared support in a more sheltered area of the array.

Cette thèse porte sur les relations entre le Système Communautaire d'Échange de Quotas d'Émission (SCEQE) et les marchés de l'énergie. Une attention particulière est donnée au changement de combustible, le principal moyen de réduire les émissions de CO2 à court-terme dans le SCEQE. Cela consiste à substituer des centrales gaz aux centrales charbon dans la production d'électricité en dehors des heures de pointes. Ainsi, les centrales charbon fonctionnent sur de plus courtes périodes, ce qui permet de réduire les émissions de CO2. Le Chapitre 1 décrit différentes approches expliquant les relations entre les marchés de l'énergie et du CO2. Une revue de littérature est ensuite présentée. Nous donnons une description détaillée du processus de changement de combustible. En particulier, l'influence de l'efficacité des centrales est analysée. Le Chapitre 2 fournit une étude théorique de l'impact des différences d'efficacité parmi les centrales gaz pour le changement de combustible. Le principal résultat montre que la sensibilité du prix du CO2 vis-à-vis du prix du gaz dépend du niveau des émissions de CO2.Le Chapitre 3 examine les interactions entre les prix de l'électricité, du charbon, du gaz et du CO2 dans une étude empirique. Les résultats montrent une qu'il existe une relation significative entre le gaz et le CO2 à l'équilibre de long-terme. Le Chapitre 4 étudie le processus de découverte des informations qui influencent laformation des prix du gaz et du CO2. La forte relation entre le gaz et le CO2 indique que leurs prix sont affectés par les mêmes informations. Nous montrons dans une étude empirique que le marché du CO2 domine le processus de découverte de ces informations. / This thesis investigates relationships between the European Union Emission Trading Scheme (EU ETS) and energy markets. A special focus is given to fuel switching, the main shortterm abatement measure within the EU ETS. This consists in substituting Combined Cycle Gas Turbines (CCGTs) for hard-coal plants in off-peak power generation. Thereby coal plants run for shorter periods, which allows power producers to reduce their CO2 emissions. In Chapter 1, we outline different approaches explaining relationships between carbon and energy markets. We also review the literature relating to these issues. Next, we further describe the fuel switching process and, in particular, we analyze the influence of energy and environmental efficiency of thermal power plants (coal and gas) on fuel switching. In Chapter 2, we provide a theoretical analysis that shows how differences in the efficiency of CCGTs can rule interactions between gas and carbon prices. The main result shows that the allowance price becomes more sensitive to the gas price when the level of CO2 emissions increases. In Chapter 3, we examine interactions between carbon, coal, gas and electricity prices in an empirical study. Among the main results, we find that there is a significant link between carbon and gas prices in the long-run equilibrium.In Chapter 4, we analyze the cross-market price discovery process between gas and CO2 markets. We identified in previous chapters that there is a robust significant link between gas and CO2 markets. They are linked commodities, and their prices are affected by the same information. In an empirical analysis, we find that the carbon market is the leader in cross-market price discovery process.