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.

1. Real Options
15-16 May, 2014, Amsterdam
Course Leader
Jerry de Leeuw

2. OURS
Real Options
This is a practical, hands-on course Who should attend?
This program was specifically developed for Traders,
in Real Options, which we’ve
Asset & Portfolio managers, Quants, Risk managers and
constructed to be within the grasp of Analysts, but more it is also suitable to and helpful for:
non-mathematical experts.
▶ Front, Mid and Back office staff
Introduction
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.
Learning objectives
Acquiring insight and knowledge of:
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Option and options theory
Options valuation and valuation of physical assets
Scenario analysis
Sensitivity analysis of cash flows
Greeks variables
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Originators
ICT experts and Project managers
Legal staff and Compliance officers
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 official definitions, scientific theories,
practical exercises, cases and simulations.
Documentation
Participants will be provided with a syllabus with study
material for this specific program. The syllabus contains
all relevant documents including power point slides, fact
sheets, cases and exercises.

3. 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
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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/significance
▪ Unwinding hedge
- Choose significance
▪ Repeat sequence
▪ Timing as critical element
▪ View on the market
AGENDA
AGENDA
AGENDA
Program
Exercise: Gas storage valuation
Simulation: Trading simulation to lock in and optimize
asset value
Excel: Option with 2 legs, 2 prices & 2 volatilities

4. Program
OURS
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 flexibility 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
L

5. LEADER
COURSE LEADER
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 tradingfloor 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 firm became a Member of Euronext Liffe, and
had clearing-contracts with Fortis, KBC bank and
Goldman Sachs. Over the years, Jerry has traded
by open out-cry on the floors 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
& Butterflies’, ‘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
15-16 May, 2014, 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
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.
FEES
Early Bird 2090€ (register before 20 March)
+ 21% VAT
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.