TH`ESE Docteur de l'Université Paris-Dauphine Morgan HERVÉ ...

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List of abbreviations AAU Assigned Amount Unit BAU Business-as-usual CCGT Combined Cycle Gas Turbine CCS Carbon Capture and Storage CDM Clean Development Mechanism CER Certified Emissions Reduction CHP Combined Heat and Power CITL Community In<strong>de</strong>pen<strong>de</strong>nt Transaction Log DCF Discounted Cash Flows DDCF Deterministic Discounted Cash Flows EC European Commission ERU Emissions Reduction Unit EU ETS European Union Emissions Trading Scheme EUA European Union Allowance GBM Geometric Brownian Motion GHG Greenhouse Gas IEA International Energy Agency IGCC Integrated Gasification Combined Cycle IPCC Intergovernmental Panel on Climate Change JI Joint Implementation LSM Least-Squares Monte Carlo MACC Marginal Abatement Cost Curve NAP National Allocation Plan NER New Entrants Reserve NPV Net Present Value OLS Ordinary Least-Squares PDE Partial Differential Equation ROA Real Options Analysis or Approach xxxi
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Page 1 and 2: UNIVERSITÉ PARIS-DAUPHINE ÉCOLE D
Page 4 and 5: Remerciements Au terme de ces anné
Page 6: Abstract This PhD thesis focuses on
Page 9 and 10: viii
Page 11 and 12: quotas mais cette fois-ci au niveau
Page 13 and 14: Une autre tendance de fond sur les
Page 15 and 16: carbone. Une autre stratégie a con
Page 17 and 18: L’analyse de l’impact des inves
Page 19 and 20: options financières, les approches
Page 21 and 22: coût d’investissement encore plu
Page 23 and 24: (interprétable comme un taux de cr
Page 25 and 26: chapitre), nous remarquons dans la
Page 27 and 28: 2.3.3 Swaps . . . . . . . . . . . .
Page 29 and 30: 2.15 Changes in carbon-emitting att
Page 31: 28 Appendix - MCt -Continuationvalu
Page 35 and 36: on this portion of installations -
Page 37 and 38: status of the market (giving rise t
Page 40 and 41: Chapter 1 European utilities’ res
Page 42 and 43: anism allowing annex I countries to
Page 44 and 45: that 49% of them where solely produ
Page 46 and 47: ��
Page 48 and 49: the countries’ full economic deve
Page 50 and 51: ! !"#$%&'()*! * * +,,"-.%'"$* /0.)(
Page 52 and 53: The major changes brought to the po
Page 54 and 55: for Phase III of the EU ETS, calcul
Page 56 and 57: create green jobs. This was used in
Page 58 and 59: Later stage - deployment of technol
Page 60 and 61: LIBOR and EURIBOR rates (thanks to
Page 62 and 63: On the other hand, the European ind
Page 64 and 65: Table 1.1: Key operating data on to
Page 66 and 67: Assessment of the abatement alterna
Page 68 and 69: carbon assets. Results of this simp
Page 70 and 71: later as the gas-fired power plant
Page 72 and 73: An alternative to purchasing carbon
Page 74 and 75: • Monitoring: supervision of the
Page 76 and 77: more efficient. In the first case (
Page 78 and 79: performed with feasibility studies
Page 80 and 81: largest one is EDF Trading Carbon F
Page 82 and 83:
and (3) establishing a firmer regul
Page 84 and 85:
the European power sector. We discu
Page 86 and 87:
Chapter 2 Operating and financial i
Page 88 and 89:
Beyond merely providing an analysis
Page 90 and 91:
several areas. They typically rank
Page 92 and 93:
Compared to operating investments,
Page 94 and 95:
We traced 254 investment overall wi
Page 96 and 97:
)###$ (###$ '###$ "###$ %###$ &###$
Page 98 and 99:
%#!!!" %!!!!" $#!!!" $!!!!" #!!!" !
Page 100 and 101:
Renewables As regards projects in t
Page 102 and 103:
closed 15 . As depicted in Figure 2
Page 104 and 105:
was the most significant deal in th
Page 106 and 107:
)*+,-(.+/0( !"($ 67#%28( 1"2$%&3( )
Page 108 and 109:
Even excluding the impact of Endesa
Page 110 and 111:
Egypt. Other investments Other sign
Page 112 and 113:
Non-core activities include all the
Page 114 and 115:
Regulation and contractual obligati
Page 116 and 117:
732 million, (2) transfer of owners
Page 118 and 119:
emissions close to 8.7 GtCO2 overal
Page 120 and 121:
coal-fired generation was transferr
Page 122 and 123:
-./0&12345% 620&12345% 7/8&12345% -
Page 124 and 125:
project mechanisms for their own co
Page 126:
planned generation has a high strat
Page 129 and 130:
price of carbon), (3) flexibility i
Page 131 and 132:
Step 3 - calculations of discounted
Page 133 and 134:
(1) Adjust the discount rate for ri
Page 135 and 136:
Benefits Table 3.6: Pros and cons o
Page 137 and 138:
lending facilities and ability to i
Page 139 and 140:
Benefits Table 3.8: Pros and cons o
Page 141 and 142:
Alternative criteria 3 - book rate
Page 143 and 144:
(2) DDCF is a proven method (25.6%)
Page 145 and 146:
should the price of the underlying
Page 147 and 148:
evolution Xt of a variable X over t
Page 149 and 150:
• Econometrics based on historica
Page 151 and 152:
steps between jumps, the better the
Page 153 and 154:
uation (taking into account the fle
Page 155 and 156:
with a stochastic fuel price (model
Page 157 and 158:
the introduction of the EU ETS on t
Page 159 and 160:
if the actual price path had been k
Page 161 and 162:
in the case of Germany that would n
Page 163 and 164:
discounted at a per period factor e
Page 165 and 166:
In an application to optimal rotati
Page 167 and 168:
pressuring and legal challenges hav
Page 169 and 170:
We set ∆t =1/255 11 and obtain th
Page 171 and 172:
time. Given the power plant investm
Page 173 and 174:
Table 3.13: Parameters for the powe
Page 175 and 176:
The next period budget corresponds
Page 177 and 178:
• Nuclear power plants characteri
Page 179 and 180:
ternatives. Table 3.15: Power plant
Page 181 and 182:
• ˆp c t,ˆp p t ,andˆpb t are
Page 183 and 184:
ˆp b,i t ��
Page 185 and 186:
��
Page 187 and 188:
and baseload prices. It should be s
Page 189 and 190:
Of course, in no way would price be
Page 191 and 192:
eversion speed recognizes the possi
Page 193 and 194:
offshore parks now and one later (u
Page 195 and 196:
7$89:;%.8'8=% 8=% ;'8=% ;98=% ;
Page 197 and 198:
can be allocated on the basis of hi
Page 199 and 200:
environment (constant annual volati
Page 201 and 202:
("6% !"#$%&'( :;% 29% 9% !"#$%&"#$%
Page 203 and 204:
investor turns to the investment co
Page 205 and 206:
in dirty generation given and that
Page 207 and 208:
of suggested investment combination
Page 209 and 210:
slight exposure remains), (2) CCGT
Page 211 and 212:
See figure 3.22 for a representatio
Page 213 and 214:
wind, thereby emitting more CO2 in
Page 215 and 216:
to commercial solutions developed t
Page 217 and 218:
with crashing phase II prices and s
Page 219 and 220:
plant, shut down plants, etc.), (3)
Page 222 and 223:
.1 Survey table of carbon price pro
Page 224 and 225:
.2 LSM methodology In this appendix
Page 226 and 227:
We consider all the possible budget
Page 228 and 229:
Table 18: Illustrative case - Impli
Page 230 and 231:
astochasticproblemby8singledetermin
Page 232 and 233:
Table 23: Illustrative case - Decis
Page 234 and 235:
26. Based on this optimal decision
Page 236 and 237:
⎞ ⎟ ⎠ Table 27: Appendix - MR
Page 238 and 239:
Table 29: Appendix - MVt and Mx ∗
Page 240 and 241:
K.inves=1166;%initial investment ou
Page 242 and 243:
price.GAS = repmat(GasEURperMMBTU,
Page 244 and 245:
(price.slopebase/info.step)*(1:info
Page 246 and 247:
% contemporaneous baseload prices %
Page 248 and 249:
% for IGC profit.PiI=(I.output*365)
Page 250 and 251:
profit.PiW((W.build+(euets.fit1leng
Page 252 and 253:
for j=1:combi.MAX combi.OKCOMBindex
Page 254 and 255:
end %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Page 256 and 257:
Bibliography [1] A.K. Dixit and R.S
Page 258 and 259:
[36] European Commission. Impact as
Page 260 and 261:
[69] P.P. Boyle. Options: a Monte C
Page 262 and 263:
[93] M. Ventosa, A. Baillo, A. Ramo
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TH`ESE Docteur de l'Université Paris-Dauphine Morgan HERVÉ ...

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