About the Author and Acknowledgments

Last Update: October, 2005.

Marco Antonio G. Dias Marco Antonio Guimarães Dias is Doctor in Production Engineering, Finance and Investment Analysis Area, by PUC-Rio. In January 2005 he defended the thesis named "Opções Reais Híbridas com Aplicações em Petróleo" ("Hybrid Real Options with Applications in Petroleum"). The thesis was approved without restrictions or corrections at the Industrial Engineering Department, at PUC-Rio, Rio de Janeiro, Brazil.
He is also part-time Adjunct Professor of Finance at the Industrial Engineering Department, at PUC-Rio, teaching "real options" and "real option games" for graduate students.

He is also (internal) Senior Consultant and Senior Petroleum Engineer by Petrobras, Petróleo Brasileiro S.A., where he has working since February 1st 1983.
He works mainly with Exploration and Production projects, performing advanced economic analysis.

In addition to the doctoral title, previously he got the M.Sc. title ("without restrictions...and with honor") also in Production Engineering, Finance and Investment Analysis Concentration Area, from the Industrial Engineering Department, PUC-Rio, Rio de Janeiro, Brazil.

For both D.Sc. Thesis and the M.Sc. Dissertation abstracts and files, click here.

Click here to send an e-mail to author.

Marco A.G. Dias is advisor of the Real Options Group (ROG), as in the ROG's Corporate Advisory Board. ROG is headed by Prof. Lenos Trigeorgis, and has several top-researchers as associate or advisor, including Nobel Laureate researchers (Merton and Scholes).

Marco A. G. Dias has been teaching several courses since 1996, mainly at Petrobras and PUC-Rio, but also at UNICAMP and IBP. He has been giving speeches (lectures) in universities like MIT (Sloan School of Management), UFRJ (Rio de Janeiro), and other Brazilian universities. Eventually, he has been giving professional courses on real options, like two courses in 2005: one organized by Alliance Corporate Education and the other organized by Fundação Dom Cabral (project GIT-Finanças).

At PUC-Rio, as (part-time) Adjunct Professor of Finance at the Industrial Engineering Department, he teached in the first semester of 2005 the discipline IND2072: "Investment Analysis with Real Options and Option Games" (in Portuguese), for graduate (doctor and master) students. Click here for the page with the 2005 course materials.
* In 2006, this discipline was divided into two courses: Investment Analysis with Real Options and Strategic Investments with Game Theory and Real Options Games, in the first and second semesters, respectively.
* In July 2001, he taught a six hours course named Seminar on Real Options at PUC-Rio, for MBA students. Click here to download the Powerpoint-95 files from this seminar (in Portuguese).
* In 1997, as hourly professor at the Coordination of Extensions Courses (CCE/PUC-Rio), he taught a course about capital budgeting under uncertainty (focus on real options). Click here to see the PUC-Rio course details (in Portuguese).

At IG/UNICAMP (Institute of Geoscience, State University of Campinas), in October of 1998 he taught 8 hours course on real options applied to petroleum.
At IBP (Brazilian Institute of Petroleum), in 1998, he taught the course (~16 hours) was about technical-economic feasibility study for petroleum E&P projects.
At MIT, Sloan School of Management, in 2002 and in 2003 he presented the (~2 hours each) seminar Overview of Real Options in Petroleum mainly for MBA students (second year students of Prof. Myers).

He has been developing methods and training people in Petrobras for analysis of uncertainty/risk in petroleum fields investment projects (from Monte Carlo simulations to real options).
He teaches in five Petrobras' courses, including special courses. The regular courses are (a) real options applied to petroleum investment (32 hours); (b) "risk and uncertainty in project investments", which includes a compact overview of focused corporate finance (risk-return, portfolio, CAPM, WACC, project finance) and a compact introduction on real options (total of 16 hours).
He has been teaching special courses on project finance (8 hours), courses on risk analysis for feasibility studies with focus on Monte Carlo simulations for technical uncertainties and stochastic processes, and its impact on economic indicators (16 hours) and a shorter course (~8 hours) on the theory for risk analysis in economic feasibility studies.

Short Historic: Hired by Petrobras in February/83, after the one year extension course of Petroleum Engineering, he worked in offshore operations, at Campos Basin, Rio de Janeiro, for five years (1984-1989).
He has been working in Petrobras Headquarters since Feb./89, several times as coordinator of multidisciplinary teams performing technical and economic feasibility studies in Exploration and Production (E&P), mainly of deepwaters oilfields development (Albacora, Barracuda, Roncador, etc.).

As Senior Consultant at Petrobras' headquarters, nowadays Marco Dias has been working with special economic studies, mainly using real options. Representative real options cases in 2005 were the "Biodiesel Project" (an excellent project for real options valuation, thanks to the input flexibility) and "Opportunity FPSO", a flexible production unit that anticipates revenue of the best asset from a set of n risky petroleum prospects. He also works with corporate guidelines and training for risk analysis, value of information, and real options in economic feasibility studies.

From 2001 to 2004 he was coordinator of the research program at Petrobras on investment under uncertainty for production development projects, named PRAVAP-14. This program included several projects between Petrobras and universities (mainly PUC-Rio) related to real options approach.

From 1998 to 2000 he was "External Financial Relations Coordinator" developing and implementing methods for analysis of project finance (financial/economic risk issues) and integrating the Petrobras' team with the aim to sell Petrobras stocks in Brazilian market and ADRs levels 2 and 3 in the New York Stock Exchange (NYSE), enlarging the stockholders base. It demanded the adequacy of the Petrobras' balance sheet to the US GAAP norms.
In July 2000, after rigorous audit, SEC (Securities Exchange Commission, USA) approved the Petrobras stocks for ADR-Level 3. In August 2000 more than 5 billion dollars in stock were sold in both Brazilian market and NYSE, in a very successfully operation. Petrobras has about a half million stockholders!
In project finance, he designed the US$ 200 million equity risk-spread of Marlim field project finance, which was dealt in December 1998, using a jump-reversion stochastic model for oil prices, among other projects.

He has been working also in several Petrobras teams of investment related subjects, such as representer of production development division in the evaluation of the deepwater R&D investment program named PROCAP (1996, 1997, and 1998); Excel interactive software for tariff calculations; real options model to estimate flexible tariff in the Brazil-Bolivia gas pipeline; Gulf of Mexico petroleum assets evaluation (for swap with Brazilian assets); economic evaluation of reserves; portfolio (of projects and developed reserves) optimization under resources constrains; and others.
He developed one of first Petrobras intranet site (May 1996).

He also holds a Petroleum Engineer degree from Petrobras (1984), and Mechanical Engineer degree from PUC-RJ (1982).
He has written some petroleum technical and economic papers, many of then in English.
The author has also some international speeches experience: Bergen, Norway 1990; Mexico City, Mexico, 1993 (in Spanish); Dallas, USA, 1997; Stavanger, Norway, 1998; Wassenaar, The Netherlands, June 1999; New York, USA, December 1999; New Orleans, USA, March 2000; Chicago, USA, September 2000; Los Angeles, USA, July 2001; Paris, France, January 2002; Cambridge, USA, May 2002; Turku, Finland, May 2002; Paphos, Cyprus, July 2002; Mexico City, Mexico, September 2002; Cambridge, USA, May 2003; Montreal, Canada, June 2004; and Paris, France, June 2005.


The author wants to thank to the following institutions and people that have been helpful through encouragement, comments, teaching, and support:

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Author's Papers in English

Most of my papers were not submitted to a journal. But in 2003+, I started to submit some papers to peer-reviewed journals.
Before the list of my papers, I set short comments to most papers.

In 2005: I defended my thesis in January. I wrote only one paper. In reality, the paper that I presented in June in Paris was a new version of a paper that I wrote in 2003 (never presented in conferences before) with new developments from my thesis:
Real Options, Learning Measures, and Bernoulli Revelation Processes. This paper summarizes the analysis of learning measures (based in measures of dependence between random variables) for value of information problems. It has new practical and theoretical insights on information revelation process, focusing sequences of bivariate Bernoulli (joint) distributions, which was used in the business of oil exploration (but can be used also in R&D). This paper can be view as a sequel of my paper of 2002 ("Investment in Information ..."). This 2005 paper is under preparation to be submitted in 2006 to a journal. This paper and the paper of 2002 are discussed with more details in my doctoral thesis.

In 2004: two papers, one will be submitted to publication in a journal.
(a) Continuous-Time Option Games: Review of Models and Extensions - Part 2: Oligopoly and War of Attrition under Uncertainty, with J.P. Teixeira. A sequel paper combining game theory with real options, this time focusing on oligopoly under uncertainty, war of attrition under uncertainty and Nash-Bargaining under uncertainty. The last two topics were applied to oil exploration with two firms with correlated prospects in neighboring areas.
(b) The Value of Information: A Bayesian Real Option Approach, with A. Galli and M. Armstrong. This paper was one result from a research project between Petrobras and Ecole des Mines de Paris applied to one Brazilian gas field.

In 2003: four papers, three submitted to publication in journals and one will be submitted in 2004. The papers submitted to publication are:
(a) Valuation of Exploration & Production Assets: An Overview of Real Options Models, which reviews the real options literature applied in petroleum and describes some PUC-Petrobras projects from Pravap-14 (coordinated by the author). PS: this paper was published in October 2004;
(b) The Optimal Investment Scale and Timing: A Real Option Approach to Oilfield Development, with Katia Rocha and José P. Teixeira, on the optimal scale under uncertainty for petroleum development projects;
(c) Continuous-Time Option Games: Review of Models and Extensions - Part 1: Duopoly under Uncertainty, with José P. Teixeira, on the combination of real options and game theoretic approaches to solve problems of investment under uncertainty AND under competition. The part 2 was written in 2004, and together the papers will represent a chapter of my doctoral dissertation.
(d) Information Revelation Processes, Learning Measures, and Real Options. This paper was replaced by a new paper in 2005, which was presented in Paris.

In 2002: in February 2002 I wrote the first version of a paper on technical uncertainty modeling into a dynamic real options model: "Investment in Information in Petroleum, Real Options and Revelation". I presented this paper in several workshops and conferences (MIT in 2002; ROG Conf. at Cyprus, 2002; ATW-SPE in 2002; MIT in 2003, etc.). This paper and the four propositions on revelation distributions will be the basis of one chapter of my doctoral dissertation. I'll submit this paper to a journal.

The 2001 papers are: "Real Options in Upstream Petroleum: Overview of Models and Applications", a new version (with substantial revision) was submitted to an Elsevier journal; the paper "Selection of Alternatives of Investment in Information for Oilfield Development Using Evolutionary Real Options Approach", presented at UCLA Real Options Conference (by ROG); and "Oil Rig Fleet Dimensioning: a Strategic Decision Using Real Options", which I'm a secondary co-author.

Other paper (2000) is a research report on the potential application of evolutionary computation techniques in real options applications. Using an example of oilfield development investment, the paper uses genetic algorithms for optimization in order to set the threshold curve (free-boundary) that maximizes the real option value. The uncertainty was assessed by a Monte Carlo simulation. The potential and limitations of the Palisade's software RiskOptimizer were analyzed.
This article was written for the discipline of "Evolutionary Computation", from my doctoral program at PUC-Rio.

Other paper (1999) is a note on the bibliographical evolution of real options, published by Risk Books. The note highlights both historic and the most cited papers for real options development and points some future research demands in this area.

Another paper (1998) is about extendible options in petroleum concessions using a jump-reversion model for the oil prices. Previous versions were presented in two conferences, one in Norway (May/98) and the other one in Brazil (Dec/98). New version was presented in the 3rd Annual International Conference on Real Options (June/99, in the Netherlands). The current version (May/99) was submitted to the new Lenos Trigeorgis' eds. book on real options, forthcoming (?) by Oxford University Press,
See in this site materials on the jump-reversion stochastic process and complementary material to this paper.

There is a paper (1998) about Roncador field development, a giant deepwater oilfield, presented in OMAE, is a more technical paper. The field was discovered in October 1996 and is in Production since January 1999, setting the water depth world record for a production (in 1,853 meters), with more than 20,000 bpd from a single well!

Other paper (1997) is about a new "option-game" model for exploration & production (E&P) investment timing, presented in SPE (Society of Petroleum Engineers) symposium. Some materials (slides) from this paper are available in this site.

A paper (1997) with Caetano on multiphase metering, analyzes a very important technology that allow several technical and economic improvements in petroleum projects. Most of the paper credit is for Caetano, perhaps the world expert number one in multiphase pumping and multiphase metering technology applied to petroleum. Both, the paper itself and the Caetano's presentation, reached the highest grades by the conference participants election.

The last three papers (1990 and 1991) focused on deepwater giant field named Albacora. The 1991 paper concentrates and details the Phase II Technical and Economic Feasibility Study, whereas the other two Albacora's papers describe the Strategic Development Plan for this deepwater field.

List of Marco Dias' Papers in English

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Petrobras, Petróleo Brasileiro S.A., is a national petroleum company established in 1953 (by the law 2004, in 10/03/53).
For more recent data and a much more information about Petrobras, go to Petrobras homepage (three languages: in Portuguese, English and Spanish!). The site has an excellent design.

Petrobras' activities comprises (1995 data):

Some Petrobras highlights:

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CCE Course on Capital Budgeting under Uncertainty

The 1997 version of CCE course comprised of two disciplines in the same packet, one about quality management (taught by other professors) and the course which I taught about capital budgeting (risk management in project investment).
The general coordination is due Prof. Carlos Patrício Samanez (cps@eros.rdc.puc-rio.br) from Industrial Engineering Department (homepage in Portuguese).
See the homepage of 1997 course (in Portuguese).

The presentation method includes several multimedia resources (using overheads and datashow) to present charts, animations, spreadsheets, etc. The class notes was specially written for this course, with more than 300 pages (with option to become a book by 2001) and is free for the regular students of this course.
See the complete program of this course (in Portuguese).
For 2000, is planned to increase the duration of this course (from 45 hours to 60 or 90 hours), and the independence from the course of quality (students don't need to inscribe in both courses anymore).
The course is intended for professionals and managers with basic knowledge of financial mathematics; for last year students of undergraduate courses of engineering, economics, and administration; graduate students of related subjects; and capital markets practitioners with basic knowledge of financial mathematics.

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Pontifícia Universidade Católica do Rio de Janeiro (PUC-RJ), is one of most important and traditional Brazilian educational institutions.
Many informations you can get in PUC - RJ Home Page (in Portuguese).

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