ETRM Webinar Final

8/2/2019 ETRM Webinar Final

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Energy Trading and RiskManagement with MATLAB

Ameya Deoras


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MATLAB in Energy Trading

Case Study: Generation Asset Risk Analysis Simulation of Natural Gas and Electricity Prices

Simulation of plant dispatch to generate cash-flows

Plant valuation and risk measurement

Additional Resources

Q&A


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Generation Asset Risk Analysis

Hybrid

Seasonal Patterns

Electricity Model

Dispatch Algorithm

Simulated Cash-flows

Cash-flow at Risk

Simulated Electricity Prices

Mean reverting SDE

Natural Gas Model

Parametric non-linear

Temperature Model

SimulatedNatural Gas

Prices

SimulatedTemperatures

Goal: Develop a tool that can be used for fastand easycomputationof Cash-flow at risk for a portfolio of gas-fired plants


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Business Challenges

Inability to customize models

Long development time

Need for complex, numerically-intensive computations

Time and cost of deploying applications


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Computational Finance Workflow

Research and Quantify

Data Analysis& Visualization

FinancialModeling

Application

Development

Reporting

Applications

Production

Share

Automate

Files

Databases

Datafeeds

Access


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Task 1: Modeling Natural Gas Prices

Hybrid

Seasonal Patterns

Electricity Model

Dispatch Algorithm


Cash-flow at Risk


Mean reverting SDE

Natural Gas Model


Temperature Model


Prices

Simulated

Temperature


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Task 1: Modeling Natural Gas Prices

Goal: Calibrate & Simulate a Mean-Reverting Brownian Motion Model


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Task 2: Modeling Temperatures

Hybrid

Seasonal Patterns

Electricity Model

Dispatch Algorithm


Cash-flow at Risk


Mean reverting SDE

Natural Gas Model


Temperature Model


Prices

Simulated

Temperature


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Task 3: Modeling Electricity Prices

Hybrid

Seasonal Patterns

Electricity Model

Dispatch Algorithm


Cash-flow at Risk


Mean reverting SDE

Natural Gas Model


Temperature Model


Prices

Simulated

Temperature


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Task 4: Simulation & Dispatch

Hybrid

Seasonal Patterns

Electricity Model

Dispatch Algorithm


Cash-flow at Risk


Mean reverting SDE

Natural Gas Model


Temperature Model


Prices

Simulated

Temperature


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Computational Finance Workflow

Research and Quantify

Data Analysis& Visualization

FinancialModeling

Application

Development

Reporting

Applications

Production

Share

Automate

Files

Databases

Datafeeds

Access


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MATLAB solutions

Flexible modeling environment Viewable-source functions

Customizable algorithms

Quick Prototyping Environment Extensive library of algorithms

Fast and efficient to develop, debug, and optimize programs

Fast Computational Engine

Optimized for matrix operations

Powerful engine for Monte Carlo simulation

Easy to Integrate and Deploy

Easily deploy for use with other programs such as Excel

Royalty free deployment


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Additional Resources

Recorded webinars:

RWE AG Integrates a MATLAB Based Energy Pricing Engine with SAP

Credit Risk Modeling with MATLAB

Application Deployment with MATLAB

and others, at http://mathworks.com/recordedwebinars

User stories:

Horizon Wind Energy Develops Revenue Forecasting and RiskAnalysis Tools for Wind Farms

UNION FENOSA Predicts Energy Supply and Demand UsingMathWorks Tools

and others, at http://mathworks.com/energy-production
http://mathworks.com/recordedwebinarshttp://mathworks.com/energy-productionhttp://mathworks.com/energy-productionhttp://mathworks.com/energy-productionhttp://mathworks.com/energy-productionhttp://mathworks.com/recordedwebinars


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Questions?
http://mathworks.com/energy-productionhttp://mathworks.com/energy-production

ETRM Webinar Final

Documents

Transcript of ETRM Webinar Final