Advanced Energy Finance Analytics

Title:	Advanced Energy Finance Analytics
Dates:	November 27-28, 2007 Registration Deadline: 3 weeks prior to program start date Late Registration (within 3 weeks): Contact Registrar' Office to check space availability.
Duration:	2 day program: 8:30 am - 4:30 pm
Location:	Offered at the Federal Reserve Bank of Dallas: Houston Branch 1801 Allen Parkway, Houston, TX 77019
Faculty:	Dr. Ehud I. Ronn, Department of Finance
Cost:	$2400 (Fall ’08). Fee includes all program materials, breakfast, breaks, and lunch for each day. Team rates and alumni discounts available. Registration is not complete until payment is received.

Description

Participants in this course will explore empirical data as it relates to volatility in the energy markets. This program explores using derivative products to mitigate energy price risk including categorizing and pricing derivative products. Participants will learn to apply options theory to valuation and discuss energy assets as real options. The program rounds out with a segment on value-at-risk in the energy industry including distinguishing between value-at-risk, cash flow-at-risk and profit-at-risk.

Benefits:

• Learn to estimate volatility under alternate stochastic processes
• Estimate volatility from call options
• Characterize the volatility “surface” across time and strike
• Discover how to structure and value option collars
• Understand the hedge ratios implied in power plant valuation
• Extend the spread-option model to account for O&M fixed costs and dual-fuel capability options
• Discuss the optimal timing of extraction from an oil field taking into account the level and slope of the forward curve and the volatility of futures prices
• Learn the basic principles of value-at-risk and the differences between real-time, marginal and incremental value-at-risk

Continuing Education Units

Participants earn 1.40 continuing education units (CEU) or 14 (CPE) and a Texas Executive Education certificate.