Submitted by admin on Thu, 11/28/2013 - 12:00
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Learning objectives

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Who should attend?

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Agenda day 1:

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Agenda day 2:

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Fee:

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City:

Amsterdam, The Netherlands
Date:

Fall 2016 This is a practical, hands-on course in Real Options, which we ve constructed to be within the grasp of non-mathematical experts.

We designed this two day course specifically to instruct participants in the areas of outright, embedded and real options, physical assets, hedging future cash flows of assets, optimization of allocation of assets, flexibility, pricing of options, valuation of real options and Greek variables as indicators for sensitivities.

The course is about real options and while statistics are important in this area of expertise and there is a bit of mathematics in the course material, in this course things are explained so that everybody will be able to understand, regardless of their mathematical abilities. This does not affect the level of the course in any negative way, but allows us to explain all subjects in an even more in-depth manner than you can imagine.

Acquiring insight and knowledge of:

* Option and options theory

* Options valuation and valuation of physical assets

* Scenario analysis

* Sensitivity analysis of cash flows

* Greeks variables

This program was specifically developed for Traders, Asset & Portfolio managers, Quants, Risk managers and Analysts, but more it is also suitable to and helpful for:

* Front, Mid and Back office staff

* Originators

* ICT experts and Project managers

* Legal staff and Compliance officers

* Staff of the Finance department

* Controllers and Accountants

Session 1:

**Options Fundamentals**

Call & put options

Premium

Strike price

Options style

American, European & Asian Style, and more

Plain vanilla versus Exotic options

Options

Outright options

Embedded options

Real options

Flexibility as option

1-sided right vs. 2-sided obligation

The real options approach

Session 2:

**Option valuation**

Valuation models

Black & Scholes

Binomial models

Disadvantages of models

Assumptions do not represent real life

Skew

Skewness Tail risk

Volatility smile

Positive skew

Negative skew

Kurtosis

Lepto-kurtosis

Height of the mean

Impact on options premiums

Volatility curve and smile

**Exercises**

Calculation of option value via binomial tree

Calculation of option value with normal distribution

Calculation of option value with log-normal distribution

Calculation of option value with skew

Session 3:

**Power plants as real options**

Power plants as sequence of call options on the spark spread

Asset-backed trading

Spark spread optimization

Delta hedging

Strategy to lock in

Dynamic hedging

Objective approach

Subjective approach

Under/over-hedging

Value of real option

Time value

Intrinsic value

Volatility of the spark spread

**Exercise:**

Power plants as real options

Session 4:

**Gas storages as real options**

Gas storage

Sequence of time-spread options

Locking in the value of the gas asset

Hedging process

Setting up hedge

- Choose amount/significance

Unwinding hedge

- Choose significance

Repeat sequence

Timing as critical element

View on the market

**Exercise: Gas storage valuation**

Simulation: Trading simulation to lock in and optimize asset value

Excel: Option with 2 legs, 2 prices & 2 volatilities

Session 5:

**Transport capacity as real options**

Gas/Power transport capacity

String of location-spread options

Basis trading

Trading the basis

Session 6:

**Greek variables**

Sensitivity analysis

Delta; What is it? What is its interpretation? How to apply to assets?

Gamma; What is it? What is its interpretation? How to apply?

Vega; the impact of volatility

Theta; premium decay over time

Rho; interest rate sensitivity

Scenario analysis versus sensitivity analysis

Combined reporting

Matrix

Simulation:

Trading options & managing flexibility in portfolios

Session 7:

**Managing Greeks in large portfolios Part 1**

Overview of all Greeks

Combining this overview with scenario analysis

Steering exposures by doing transactions

What deals are required or preferable?

**Exercises:**

Greeks management for an energy portfolio of an energy producer.

Power options

Session 8:

**Managing Greeks in large portfolios Part 2**

Management of an integrated portfolio of options

Calculate (or estimate) the Greeks

Create a matrix which incorporates both:

Scenario analysis, and

Sensitivity analysis

**Exercise:**

Analysis of a portfolio of power options

Early Bird price: 2090 EUR + 21% VAT (register before 6 August)

Standard price: 2390 EUR + 21% VAT

Multiple registration discount: Register two people from the same company at the same time and receive an additional 10% discount.

To request the full brochure, click here