This is a two day course on valuation and hedging techniques for power generation assets. The course provides in-depth analysis of methodologies to value and manage generation assets and power contracts. The course mainly covers thermal plants, but also contains separate discussion of virtual power plant contracts, tolling deals, and renewable assets. With real life examples and cases studies the course will demonstrate what techniques can be used to properly value and manage power plants, thereby incorporating relevant technical and commercial plant constraints. Furthermore, the course shows how to construct realistic price scenarios, a key element in valuation and hedging.

1. Power Generation Valuation & Hedging
VALUATION AND HEDGING TECHNIQUES FOR POWER GENERATION
9-10 March, 2015, Amsterdam
Course Leaders
Cyriel de Jong, KYOS Energy Consulting
Hans van Dijken, KYOS Energy Consulting

2. COURSE
Power Generation Valuation & Hedging
Welcome to this popular and highly interactive course on valuation
and hedging techniques for power generation assets.
A summary of the course This two day course provides an in-depth analysis of
methodologies to value and manage power generation
assets and power contracts. The course mainly covers
thermal plants, but also contains separate discussion of
virtual power plant contracts, tolling deals, and wind and
hydro generation assets.
With real life examples and cases studies the course will
demonstrate what techniques can be used to properly
value and manage power plants, thereby incorporating
relevant technical and commercial plant constraints.
Furthermore, the course shows how to construct realistic
price scenarios, a key element in valuation and hedging.
Who should attend? The course aims to attract a wide range of people active
in the energy and fi nancial sector, including energy
traders, asset developers, portfolio and risk managers,
energy market analysts, regulators and consultants. The
course does not require any specifi c pre-knowledge. The
instructors are used to present technical details in an
intuitive manner, both appealing to quantitative and non-quantitative
people.
Case study and trading game The course is highly practical: throughout the course you
will work on case studies with specialized analysis models
for plant valuation and hedging analysis. The models will be
provided to you for the duration of the course plus a month
thereafter.
Apart from case studies, the course also features an
energy trading game. The goal is to optimize a portfolio of
power plants, while hedging in the market and responding
to news.

3. AGENDA
Programme Day 1 Programme Day 2
Introduction power plant valuation
▶ Technologies
▶ Explanation of costs
▶ Financial evaluation of power stations
How to build up the intrinsic value of a power plant
▶ Build-up of intrinsic value
▷ What are typical constraints and optionalities?
• Switching between min and max production
• Switching between running on 1 and on 2 GT’s
• Start costs and start curves
• Heat delivery, including boilers and heat buff ers
▷ Main methodologies to create HPFCs as the basis for an intrinsic
valuation
▶ Impact renewables on power market
▷ Surge in wind power: impact on pricing
▷ Solar power: impact on peak power price
▷ How to model the impact of renewable growth on future HPFC’s
Valuation of spread options: power plant, cross-border
capacity
▶ From intrinsic to extrinsic value
▶ Treating the power plant as a strip of options
▶ Application of the Margrabe’s/Kirk formulas for spread options
(power plant as spread option)
▶ Comparing and assessing optionality in:
▷ Forward markets
▷ Spot markets (day ahead)
▷ Intra-day markets
▷ Balancing markets
▶ Other spread options: cross-border capacity
Monte Carlo price simulations and cointegration
▶ Volatility term structure
▶ Cointegration versus correlation
▶ Eff ective simulation of spark and dark spreads
▶ Impact cointegration on power plant value
Dispatch Optimization
▶ Plant constraints: technical, commercial, environmental
▶ Broad comparison and short explanation of optimization
techniques: Mixed Integer Linear Programming (MILP), dynamic
programming (DP), least-squares Monte Carlo (LSMC)
▶ Explanation about dynamic programming:
▷ Defi ning the states
▷ Defi ning the state transitions
▷ Calculating the continuation value recursively
▶ Optimizing under uncertainty with Least-squares Monte Carlo:
▷ What is the diff erence between perfect and non-perfect
foresight. Why is it relevant?
▷ LSMC as an extension of DP
▷ What type of price regression to use for estimating the
continuation value?
▷ Including a heat buff er in the state space
▷ Diff erences in value between LSMC and DP
Power plant hedging
▶ Purpose of hedging (risk reduction, profi t optimization)
▶ Delta, gamma, vega
▶ Volume based delta calculations
▶ Using the Margrabe’s / Kirk formula to calculate all option Greeks
▶ Shock-based calculation of option Greeks
▷ With diff erent types of re-optimization and revaluation
▶ Relationship between volume hedges and value hedges
Example power plant valuation
▶ An example power plant will be evaluated
▶ A backtest will be performed, to demonstrate the impact of
hedging on the power plant P&L
Energy Trading Game
▶ You manage two power stations
▶ You have to dispatch the assets in the spot market based on spot
margins
▶ You have to minimize the exposure, measured by VaR, by delta
hedging in the forward market. The
▶ more risk you take, the more capital you need to hold, which is
costly
▶ You get news messages, based on which a bit of speculation can
help to make extra profi ts
▶ Each participant is in the same position, so results can be
directly compared

4. LCEOURASE LEDADEERS R
Before Cyriel de Jong founded
KYOS, he was assistant professor at
Erasmus University. Since 2001 he
has been a trainer in energy markets,
mainly focusing on fi nancial risk
management and energy fi nance.
Cyriel has done a great number of
projects related to energy derivative
valuation, risk management and
investment analysis (including real
options). He is particularly active in
the application of fi nancial simulation
methodologies to value power plants,
gas storages, long-term contracts, and
transportation. Cyriel holds an MSc
in Econometrics from the University
of Maastricht and a PhD in Financial
Derivatives from Erasmus University.
Hans van Dijken has been active
in energy markets since 2001.
Before he joined KYOS, he worked
for Reliant Energy and Nuon in the
Netherlands.
During this period, he worked in various
functions within risk management and
business development. Within KYOS,
Hans has been working on various
projects related to investment analysis,
power plant valuation, tolling deals and
implementation of hedging strategies.
He is largely active in optimizing
power plant dispatch decisions, while
enhancing value through the application
of hedging strategies.
Hans holds an MSc in Business
Administration from the University of
Twente.
“I attended this course in 2011 and
this was useful. I have learned/
improved some concepts like
Spark Spread, VPP, hedging and I
implemented it in my work. Moreover,
I practiced in a small hedging game.
But for me, the most important thing
was that I met people from diff erent
companies and countries with whom
I could discuss about our business.”
Davy Swennen, Business Expert &
Controlling Analyst at EDF Luminus
“The course Power Generation
Valuation and Hedging gives a very
good overview for beginners about
how generation assets are used in
the diff erent power markets. It also
provides an excellent insight on
mathematical models for generation
optimization and hedging strategies
on an advanced level.”
Jan Smolka, Portfolio Manager
(Generation Assets & Energy
Trading) at Trianel Gmbh
Cyriel de Jong
Partner, KYOS Energy Consulting
Hans van Dijken
Partner, KYOS Energy Consulting
Reviews:

5. LEADER LANGUAGE
The workshop will be delivered in English.
DATE
9-10 March, 2015, Amsterdam, The Netherlands
SCHEDULE
Each day starts at 09.00 and fi nishes at 17.00hrs.
REGISTRATION
http://www.energy-expert-network.com/courses
E-mail: Johanna.Oberg@energy-expert-network.com
Phone:+46 (0) 708 55 65 62
FEES
Early Bird 2225€ (before 26 January) + Dutch VAT
Standard price 2475€ + Dutch VAT
MULTIPLE REGISTRATION DISCOUNT
Register two or more people from the same company
and receive an additional 10% discount.
FOOD AND BEVERAGE
Food and beverages will be provided to the
participants during the day. Specifi c wishes can be
submitted to the organization.
LAPTOP
Provided the character of the workshop participants
are required to bring a laptop, which has installed MS
Excel.
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 fi xed dates in
co-operation with external experts.