This is an interim project I did in the period June 2011- Jan 2012 at a Dutch Bank. The implementation of a new treasury and risk management system at a bank called for a formal validation of the both the system output, as well as the system configuration. Validation / Configuration: Defining swap curves, contributing [...]
This was a project I did in the period September 2011 – January 2012 European- and State regulations are open to dialogs with industries. In this study, the financial impact on my client of a wide variety of possible future regulatory scenario’s are examined using quantitative modeling and scenario analysis. The results of the study [...]
Here we present a new yield curve interpolation method, one that’s based on conditioning a stochastic model on a set of market yields. The concept is closely related to a Brownian bridge where you generate scenario according to an SDE, but with the extra condition that the start and end of the scenario’s must have [...]
A Dutch energy firm has asked us to run a model validation. The model is designed to optimize the electricity cost of a large industrial plant, and uses hourly electricity prices curves for the cost part, and a mixed integer linear programming model for the plant constrained optimization with the production flexibility limits.
This project involved cost optimization the water transport- and purification process. We looked at the production flexibility, and examined how we can reschedule production to lower electricity cost. Electricity prices are not constant, and the cost reduction strategy involves rescheduling electricity use to cheaper hours. We showed that production costs van be reduced by 20% [...]
A client has been building some very useful Excel based tools for corporates. For their next release, we have been helping then move the data that is currently stored in Excel to a proper database.
Together with Maarten van der Kloot Meijburg, we have looked into the risk and trading behavior of farmers who own a CHP (combined heat power cogeneration). A lot of farmers own CHP’s, and that makes sense -they can use most of their outputs -power, heat, CO2- to grow their crops.
I have completed a consultancy project that I did together with SQ consult for a large West-European energy utility. An interesting project, with interesting results! The goal of the project was to model the financial and strategic effects of 5 different (national and European) renewable energy regulatory scenariose on its portfolio. This model looked into [...]
