Real Option Valuation of a Portfolio of Oil Projects

Various methodologies exist for valuing companies and their projects. We address the problem of valuing a portfolio of projects within companies that have infrequent, large and volatile cash flows. Examples of this type of company exist in oil exploration and development and we will use this example to illustrate our analysis throughout the thesis. The theoretical interest in this problem lies in modeling the sources of risk in the projects and their different interactions within each project. Initially we look at the advantages of real options analysis and compare this approach with more traditional valuation methods, highlighting strengths and weaknesses ofeach approach in the light ofthe thesis problem. We give the background to the stages in an oil exploration and development project and identify the main common sources of risk, for example commodity prices. We discuss the appropriate representation for oil prices; in short, do oil prices behave more like equities or more like interest rates? The appropriate representation is used to model oil price as a source ofrisk. A real option valuation model based on market uncertainty (in the form of oil price risk) and geological uncertainty (reserve volume uncertainty) is presented and tested for two different oil projects. Finally, a methodology to measure the inter-relationship between oil price and other sources of risk such as interest rates is proposed using copula methods.Imperial Users onl

Simulation of anisotropic wet-chemical etching using a physical model

We present a method to describe the orientation dependence of the etch rate of silicon, or any other single crystalline material, in anisotropic etching solutions by analytical functions. The parameters in these functions have a simple physical meaning. Crystals have a small number of atomically smooth faces, which etch (and grow) slowly as a consequence of the removal (or addition) of atoms by rows and layers. However, smooth faces have a roughening transition (well known in statistical physics); at increasing temperature they become rougher, and accordingly the etch and growth rates increase. Consequently, the basic physical parameters of our functions are the roughness of the smooth faces and the velocity of steps on these faces. This small set of parameters describes the etch rate in the two-dimensional space of orientations (on the unit sphere). We have applied our method to the practical case of etch rate functions for silicon crystals in KOH solutions. The maximum deviation between experimental data and simulation using only nine physically meaningful parameters is less than 5% of the maximum etch rate. This method, which in this study is used to describe anisotropic etching of silicon, can easily be adjusted to describe the growth or etching process of any crysta

Nitraatuitspoeling: geschikte maatstaven en risicovolle gewassen

Door het Minas-beleid probeert Nederland te voldoen aan de Europese nitraatrichtlijn. De vraag is echter wat de voorspellende waarde is van de volgens Minas berekende stikstofoverschotten voor de werkelijke uitspoeling van nitraat naar het grondwater. In het kader van het project 'Sturen op nitraat' (Alterra, PPO, PRI, PV en CLM) worden voor een groot aantal teelten en gewassen de Minas-maatstaven vergeleken met mogelijke andere maatstaven voor nitraatuitspoeling: het werkelijke N-overschot (waarin de N-depositie uit de lucht en neerslag is meegenomen, evenals de berekende werkelijke N-afvoer), de minerale stikstof in de bodem na de oogst (risico van nitraatuitspoeling is in de winter het grootst), en de minerale stikstof in de bodem in de late herfst (1 december). De bepalende factoren voor de aan- en afvoer van stikstof, de correlaties tussen de verschillende maatstaven en de voorspellende waarde worden besproke

Chromosome number of the potato cyst nematode Globodera rostochiensis

Le nombre de chromosome de #Globodera rostochiensis$ a été déterminé par l'analyse de leurs configurations bivalentes au stade métaphase I, de cellules au stade de réduction méiotique pendant l'oogenèse, et de cellules en mitose somatique au cours de divisions embryonnaires prématurées. Le nombre de chromosomes diploïde est 2 n = 18. L'utilisation du fluorochrome Hoechst 33528 a facilité la détermination du nombre de chromosomes dans les globules polaires. Les premières divisions ont été observées en utilisant une méthode d'écrasement améliorée. (Résumé d'auteur

Eisenstein type series for Calabi-Yau varieties

In this article we introduce an ordinary differential equation associated to the one parameter family of Calabi-Yau varieties which is mirror dual to the universal family of smooth quintic three folds. It is satisfied by seven functions written in the $q$-expansion form and the Yukawa coupling turns out to be rational in these functions. This is a generalization of the Ramanujan differential equation satisfied by three Eisenstein series.Comment: 22 page