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.

1. Real Options
24-25 September, 2015, Amsterdam
Course Leader
Jerry de Leeuw

2. This is a practical, hands-on course
in Real Options, which we’ve
constructed to be within the grasp of
non-mathematical experts.
Introduction We designed this two day course specifi cally to instruct
participants in the areas of outright, embedded and real
options, physical assets, hedging future cash fl ows of
assets, optimization of allocation of assets, fl exibility,
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
aff ect 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.
Learning objectives
Acquiring insight and knowledge of:
▶ Option and options theory
▶ Options valuation and valuation of physical assets
▶ Scenario analysis
▶ Sensitivity analysis of cash fl ows
▶ Greeks variables COURSE
Who should attend? This program was specifi cally 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 offi ce staff
▶ Originators
▶ ICT experts and Project managers
▶ Legal staff and Compliance offi cers
▶ Staff of the Finance department
▶ Controllers and Accountants
Training The training is based on a strong interactive approach
in which the contribution of participants is of utmost
importance. Theory and practice are explained and
expounded using offi cial defi nitions, scientifi c theories,
practical exercises, cases and simulations.
Documentation Participants will be provided with a syllabus with study
material for this specifi c program. The syllabus contains
all relevant documents including power point slides, fact
sheets, cases and exercises.
Real Options

3. AGENDA
Program
DAY 1
Session 1:
Options
▶ 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
▪ Trees
▶ Disadvantages of models
▷ Assumptions do not represent real life
▶ Skew
▷ Skewness of normal distributed curve
▷ Tail risk
▷ Volatility smile
▷ Positive skew
▷ Negative skew
▶ Kurtosis
▷ Lepto-kurtosis
▷ Height of the mean
▶ Impact on options premiums
▷ Volatility curve
▷ Volatility 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/
dark 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
▶ Gas storage
▷ Sequence of time-spread options
▶ Locking in the value of the gas asset
▷ Hedging process
▪ Setting up hedge
- Choose amount/signifi cance
▪ Unwinding hedge
- Choose signifi cance
▪ 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

4. LEADER
COURSE
Program
DAY 2
Session 5:
Transport capacity as real options
▶ Gas transport capacity
▷ String of location-spread options
▶ Power transport capacity
▷ Series 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 fl exibility in energy portfolios
Session 7:
Managing Greeks in large portfolios
– Part 1
▶ Creating an 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 (estimate the Greeks of the individual
assets as well as the Greeks of the overall position; over
three moments in time: now, a week before expiration, as
well as at expiration).
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

5. LCEOURASE LEDADEER R
JERRY DE LEEUW
Managing Director Mercurious
Jerry de Leeuw founded
Mercurious in 2004, when
many gas & electricity
markets in Europe were
liberalized. After completing
his study in Economics in
1995 he became a Market
Maker on the trading-fl
oor of the European
Option Exchange (EOE) in
Amsterdam.
He was employed by Curvalue on EOE, Amsterdam
Exchanges (AEX) and Euronext. In 1999 he
established his own Market Maker company, which
was licensed under the supervisory body AFM.
This fi rm became a Member of Euronext Liff e, and
had clearing-contracts with Fortis, KBC bank and
Goldman Sachs. Over the years, Jerry has traded
by open out-cry on the fl oors of various exchanges
and has a great deal of experience in screen-based
trading. He has extensive experience in a variety of
products, (amongst others) ranging from stocks, FX
and commodities to futures, options and structured
products. He is also author of the books ‘Milkshakes
& Butterfl ies’, ‘Hit & Lift’ and ‘Energy problems &
future perspective’
Reviews from the last
Real Options course:
“I have now a better understanding of Risk Management
activities”
Edison Trading
“I am now able to hedge the portfolio better”
Edison Trading
“Very good electronic exercises”
Dong Energy

6. LANGUAGE
The workshop will be delivered in English.
DATE
24-25 September, 2015, Amsterdam, The Netherlands
SCHEDULE
Each day starts at 09.00 and finishes at 17.00hrs.
REGISTRATION
http://www.energy-expert-network.com/courses
E-mail: Johanna.oberg@energy-expert-network.com
Phone:+46 (0) 85 333 2599
FEES
Early Bird 2090€ + 21% VAT
(Register before 6 August)
Standard price 2390€ + 21% VAT
MULTIPLE REGISTRATION DISCOUNT
Register two or more people from the same company
and get a 10% discount per person.
FOOD AND BEVERAGE
Food and beverages will be provided to the
participants during the day. Specific wishes can be
submitted to the organization.
DOCUMENTATION
Participants receive documentation, calculations and
exercises in a manual.
ABOUT THE ORGANIZERS
ENERGY EXPERT NETWORK
The Energy Expert Network is a network of experts
and hands-on energy market participants that provides
companies with tailored courses.
The Energy Expert Network consists of the ‘best of the
best’ industry experts, well known for their knowledge and
experience in teaching energy industry professionals. Energy
Expert Network also provide open courses on fixed dates in
co-operation with external experts.