Fundamental power market modelling explained. Inc start costs, energy storage and many more important features of real-life power markets. Read more ›

Find here all articles published in our PPA Insights series about the financials of renewable power. Covers all aspects about power purchase agreements. Read more ›

When negotiating a PPA, you want to know the future power price as the contract price is fixed. Let's start with the merit order approach.  Read more ›

How to create a price forward curve for (renewable) power? We discuss four statistical methodologies, starting with market prices, going up in complexity. Read more ›

This article presents a methodology for wind and solar simulations based on sampling from historical data, inc how to generate stats as P50 and P90. Read more ›

Article in our serie "The financials of renewable power and PPA contracts" which explains more about the impact of solar radiation and wind speed. Read more ›

Article about the production patterns of electricity generation from wind turbines and solar PV, and influencing factors on outage. Read more ›

Author: Cyriel de Jong, KYOS Energy Analytics PPA contract structures and valuation The financials of renewable... Read more ›

Many gas companies saw a loss in 2020 due to a warm winter and low prices. What would have been the optimal hedging? We explore different strategies. Read more ›

This article is the first in a series about the financials of renewable power and PPAs(Power Purchase Agreements). We will cover all aspects involved in a financial analysis of renewable electricity, such as solar and wind power. Read more ›

LNG imports into Northwest Europe sharply increased since the fourth quarter of 2018. How much room is there for LNG regas terminals in Northwest Europe? Read more ›

TTF gas spot prices recently showed a lot of movement. To better reflect these swings, we slightly changed the mean-reversion rate model. Read more ›

Are the high gas transport costs hampering the business case for Dutch gas storages? The ACM asked KYOS to investigate this situation. Read more ›

KYOS calculated that in the German market the speed of cointegration between power and fuel prices increased. This is contrary to the common belief that power prices become less dependent on fuel prices due to the renewables penetration. Read more ›

In the years 2000 energy companies built up large trading teams, with even larger teams for back office, middle office, portfolio management and risk management. Now that the times have changed, energy companies are forced to scale down rapidly. In this white paper publication, we describe how energy companies can reduce costs while improving their analytic capabilities and take better decisions. Read more ›

The UK carbon floor raises the cost of CO2 emissions by power producers and thereby increase power prices. The mechanism has important implications for the valuation of power stations. KYOS explains how the UK carbon floor impacts delta hedging of power stations. Read more ›

Cyriel de Jong has completely rewritten his chapter on gas storage pricing and hedging, which provides an excellent description of the best-practice trading and valuation strategies for gas storage. Read more ›

Various approaches have been suggested for the valuation of gas storage. Of those approaches, the most general ones are based on Monte Carlo price simulations. These approaches allow the evaluation of different market trading strategies and different assumptions about the underlying price process. Read more ›

In this report we study the effect of renewable power production on the intra-day shapes in Germany. The analysis shows that green production is an important component. Furthermore, the report shows that the sensitivity to renewables varies per hour and weekday. Read more ›

Operators of power stations try to maximize the income from their assets. Power plant valuation models aim to predict the total value that can be made in a future time period. With delta hedging, this value can partly be locked. Read more ›

In 2012, the German capacity of solar energy passed the 32 GW mark. Together with the growth in wind power generation, this has depressed market prices. In this article, we take a detailed look at how this is further going to shape future price levels Read more ›

To improve power plant hedging decisions, a range of methodologies is available for forward curve building, Monte Carlo simulation, (stochastic) dynamic programming, and least-squares Monte Carlo. This document describes the main methodologies and provides a few tests for their quality, particularly focusing on power plants. Read more ›

The years 2010 and 2011 have been a challenging period for many storage operators. The authors of the following article, Marcus Nossman, Cyriel de... Read more ›

This paper proposes a new model for computing Value-at-Risk forecasts. It incorporates information about the market’s perceived uncertainty about the future from volatility indices. Read more ›

A comparison of common delta-hedging strategies and calculations finds that simple formulas used to calculate delta hedges can lead to severe biases. This article presents a relatively fast, but more accurate calculation approach. It is based on a combination of Monte Carlo price simulations and dispatch optimization, using dynamic programming. Read more ›

In this paper we demonstrate the application of multi-factor Least-Squares Monte Carlo to gas storage valuation. We study the impact of using multi-factor price processes on different aspects of the valuation such as convergence, average storage value and distribution of storage values in a numerical example. Read more ›

This new second edition shows how derivatives are used in a variety of transactions, how the documentation works and why boards need to be aware of them. KYOS director Cyriel de Jong wrote the chapter on Energy Derivatives. Read more ›

In this article we demonstrate the impact of various start-stop constraints and costs for the value of a power station. This impact analysis is possible by applying advanced techniques for generating realistic Monte Carlo price simulations in combination with techniques for optimizing the production pattern. Read more ›

In this paper we show how cointegration can be applied to capture the joint dynamic of multiple energy spot prices. Our analysis shows that gas prices are strongly cointegrated, whereas cointegration of gas and power prices is at long-term forward price levels only. Read more ›

In this article, we develop a method for gas storage valuation using Monte Carlo (LSMC) techniques. The method incorporates realistic gas price dynamics and complex physical constraints. Specifically, we extend the Least Squares Monte Carlo method for American options to storage valuation. Read more ›

Traditional net present value (NPV) analysis disregards the flexibility to adjust production decisions to market developments, and thus underestimate true plant value. On the other hand, methods treating power plants as a series of spread options ignore technical and contractual restrictions, and thus overestimate true plant value. In this article we demonstrate the use of cointegration to incorporate market fundamentals and calculate dynamic, yet reasonable, spread levels and power plant values. Read more ›

This article describes the pricing and hedging of wind power contracts. It demonstrates that substantial discounts relative to baseload power prices are reasonable to cover the negative wind-price correlation and to cover the difficulty of hedging price risks. Read more ›

Commodities Now Publication about negative power prices by Cyriel de Jong (2003). Negative prices in electricity markets logo In this paper we describe how liberalisation has lead... Read more ›

This article by Cyriel de Jong and Kasper Walet describes the optimal operation and valuation of natural gas storage based on a real option methodology. Read more ›

According to a survey of European natural gas experts, the Bunde-Oude gas hub is the most likely candidate to become the Henry Hub of Europe. Read more ›

Cyriel de Jong and Ronald Huisman have written the following article about the topic... Read more ›