Real Options and Energy Management

Using Options Methodology to Enhance Capital Budgeting Decisions

Publication Date	November 2002
Publisher	Risk Books
Product Type	Book
Pages	712
ISBN Number	1899332987
Product Code	RIS00300

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Summary

Designed to specifically aid valuation and investment decision-making within the energy industry
Brings together the leading practitioners, consultants and academics from the energy sector who present the most up-to-date real option approaches and techniques, such as the diagrammatical approach, to help the industry move away from the current climate of uncertainty in the market
Provides brand new case-studies and examples of the use of real options in the industry to demonstrate how the latest techniques can be applied to power generation, fuel supply and demand issues, and strategic as well as environmental issues in the energy sector
Additionally, includes the fundamentals of real option pricing and modelling, such as option valuation, modelling approaches, and optimisation
Emphasises applications of theory to practical situations with worked examples that enable the reader to adopt them in their own projects

Content

Introduction
Ehud Ronn
Part I: Options from Options: Financial Options Meet Real Options
- 1 Risk-Neutral Stochastic Processes for Commodity Derivative Pricing: An Introduction and Survey
  - Duane J. Seppi
- 2 Options and Option Valuation Techniques
  - Steve Leppard
- 3 Diagrammatic Approach to Real Options
  - Steve Leppard and Fabio Cannizzo
- 4 Optimisation and Optimisation Techniques
  - Shannon Burchett and Deepankar Biswas
- 5 Applying Stochastic Dynamic Programming to the Valuation of Gas Storage and Generation Assets
  - Tom Weston
- 6 Derivative Modelling Approaches in Real Asset Valuation
  - Sailesh Ramamurtie, Aram Sogomonian, Adrian Dragulescu and Larry Li
Part Ii: Real Options and The Energy Industry: Applying Real Option Valuation to Power Generation and Ancillary Services
- 7 Operating and Risk Managing Power Plants
  - Alexander Eydeland and Krzysztof Wolyniec
- 8 Power Plant Operations and Real Options
  - Chung-Li Tseng and Graydon Barz
- 9 Valuing and Hedging Real Options
  - B. Sailesh Ramamurtie and Brian Bizzano
- 10 Peaking Plant Valuation: A Discounted Cashflow/Real Option Comparison
  - J.P. St. Germain and H. Brett Humphreys
- 11 Price Spikes and Real Options: Transmission Valuation
  - Michael Rosenberg, Joseph D. Bryngelson, Nikolai Sidorenko and Michael Baron
- 12 Price Interactions of Baseload Supply Changes and Electricity Demand Shocks
  - Robert Elliott, Gordon Sick and Michael Stein
- 13 Modelling Generation Assets
  - Blake Johnson and Mara Ins De Miranda
Part Iii: Primary Inputs: Gas and Oil
- 14 Valuation of the Operational Flexibility of Natural Gas Storage Reservoirs
  - Spyros Maragos
- 15 The Growth of Flexible Offshore Oil Fields
  - Larry Chorn and Shashidhar Rajagopalan
- 16 Valuing Proven Undeveloped Petroleum Reserves using Real Options
  - John McCormack, Gordon Sick and Dan Calistrate
- 17 Valuation of Petroleum Reserves with Quantity and Price Uncertainties: The Case of Woodside Energy
  - Stuart Connell
Part Iv: Strategy and Environmental Issues in Electric Power
- 18 Real Options for Real Assets - A No Arbitrage Approach
  - Chris Harris
- 19 Schemes of Emissions Management, Bottom up Approaches to Internalising the Cost of Sulphur Dioxide Emissions
  - Shannon Burchett and Deepankar Biswas
Part V: Case Studies
- 20 Valuing Generation Assets Using Real Option Competitive Price Analysis: A Step-by-Step Valuation Example for a Portfolio of Generation Assets
  - Frank S. Li and Wang Chiu
- 21 Analytical Valuation of a Full Requirements Contract as a Real Option by the Method of Eigenclaims
  - Valery A. Kholodnyi
Appendix
- Probability and Stochastic Calculus: Review of Probability Concepts
  - Michael Rosenberg, Joseph D. Bryngelson and Michael Baron
- An Efficient and Accurate Computational Technique for Dynamic Programming with Markov Processes
  - Alexander Eydeland and Daniel Mahoney
Index