Presentation from the "Seminário de Derivativos Financeiros",
Dept. of Mathematics at PUC-Rio, Rio, Brazil, September 2007 (file in Portuguese).
Course Materials from a PUC-Rio Graduate Course on Real Options. First semester 2006. In Portuguese.
Presentation at the "Seminário de Opções Reais em Petróleo",
UFRJ, Rio, September 2003.
Presentation from MIT Seminar "Real Options in Real Life",
Cambridge, USA, May 2003.
Real Options Paper and Keynote Presentation at Turku, Finland,
May 2002
Real Options Paper and Presentation at UCLA, Los
Angeles, USA, July 2001
Powerpoint Files from a Short Course on Real Options
for MBA - PUC-Rio, July, 2001
Doc Files from my M.Sc. Dissertation (1996) at PUC-Rio!
Real Options Presentation in Chicago, USA,
September 2000
Real Options Presentation in New Orleans,
USA, March 2000
Real
Options with Monte Carlo + Optimization with Genetic Algorithms
Real Options Presentation in New York, USA,
December 1999
Real Options Paper and Presentation in the
Netherlands, June 1999
Real Options Presentation at Stavanger, Norway, May
1998
Real Options and Strategic Thinking (Powerpoint
presentation - only in Portuguese).
American Call Sensitivity Analysis with more than
100 Static Charts!
American Call Sensitivity Analysis Using Animated
Charts!
Online slides from the SPE Paper Presentation in
Dallas, USA, March 1997!
Download Powerpoint File from SPE Paper Presentation in
Dallas, USA, March 1997!
Download Powerpoint File from M.Sc. Thesis Defense at PUC-Rio!
Real Options by Slides with Thumbnails!
Several files available in this website are compressed (extension .zip), but is easy to make the decompression using some software (like Pkunzip, winzip, etc.). You can get it at Nico Mak Computing for Winzip, at Vertisoft for Zip-it, and at Pkware for PKZip.
For Adobe Acrobat viewer (for documents with extension .pdf), click here.
There are several files in Powerpoint format.
You don't need to buy the software Powerpoint: For a FREEware Powerpoint
Viewer (you can see the file and print, but not to change), go to
Microsoft Website.
The Department of Mathematics at PUC-Rio is starting a new research line on mathematical finance with focus in derivatives.
This invited presentation was a basic/introductory overview of real options approach.
The presentation title was "Investimento sob Incerteza com a Teoria das Opções Reais:
Conceitos Básicos" (Investment under Uncertainty with the Real Options Theory: Basic Concepts).
Download the presentation
"Investimento sob Incerteza com a Teoria das Opções Reais: Conceitos Básicos",
a pdf file (from the original Powerpoint file):
marco_dias_matem_puc_2007.pdf, with 295 KB (file in Portuguese).
In 2007 the main international conference on real options took place at the University of California at Berkeley, USA, June 6-9, 2007.
This presentation is about the GTL (gas-to-liquid) technology, which presents many valuable flexibilities mainly for
integrated oil/gas/energy corporations.
I prepared the presentation and I was ready to the trip, but just in the trip day I fell with a strong tropical flu
named "dengue" (it is necessary to rest 7-10 days to recover the health) and I cancelled the trip to Berkeley.
However, I thanks to my colleague of PUC, Doctor Edison Tito, who accepted (only two days before the speech)
to replace me at the GTL project presentation in Berkeley.
Download the managerial presentation
"Real Options in Energy: The Gas-to-Liquid Technology with Flexible Input", a pdf file (from the original Powerpoint file):
marco_dias-berkeley_2007-managerial.pdf, with 326 KB.
IMPA, Instituto de Matemática Pura e Aplicada (Institute of Pure and Applied Mathematics), at Rio (Brazil) has
offered Master degree in Mathematical Methods in Finance since 2001, and has a much longer tradition in Mathematical Economics.
But in 2007 IMPA was just starting a research line on real options (in 2008 IMPA and Petrobras signed a research contract for
cooperation in real options). Professor Zubelli from IMPA invited me to present one topic of my research on real options.
I choose to focus on technical uncertainty modeling, illustrating the theory with one petroleum exploration portfolio application.
The presentation title was "Opções Reais e Incerteza Técnica:
Teoria, Modelagem e Aplicação em Portfólio de Exploração de Petróleo"
(Real Options and Technical Uncertainty: Theory, Modeling and Petroleum Exploration Portfolio Application).
Download the presentation
"Opções Reais e Incerteza Técnica: Teoria, Modelagem e Aplicação em
Portfólio de Exploração de Petróleo",
a pdf file (from the original Powerpoint file):
marco_dias_impa_07.pdf, with 550 KB (file in Portuguese).
Download also the abstract of this presentation,
a pdf file (from the original Word file):
conf_marco_dias_impa_07.pdf, with 95 KB (file in Portuguese).
In 2006 the main international conference on real options took place at New York, USA, June 14-17, 2006.
In the academic conference I presented a paper that is an extension of a topic from my doctoral thesis: "Real Options Theory for Real Asset Portfolios: the Oil Exploration Case". Both, the presentation (a pdf from the original Powerpoint file) and the paper (also a pdf, but from a Word file) are available to download below.
Download the paper "Real Options Theory for Real Asset Portfolios: the Oil Exploration Case" in pdf file format: dias_portfolio_ep.pdf, with 436 KB.
Download the paper presentation "Real Options Theory for Real Asset Portfolios: the Oil Exploration Case", a pdf file (from the original Powerpoint file): marco_dias-new_york-2006-academic_presentation.pdf, with 262 KB.
In the same week and place, the managerial/practitioner real options conference took place at New York, USA, June 14-17, 2006.
The presentation title was: "Use of Simulation and Real Options Applications in Natural Resources/Energy". The pdf file (from a Powerpoint file) is available to download below.
Download the managerial presentation "Use of Simulation and Real Options Applications in Natural Resources/Energy", a pdf file (from the original Powerpoint file): marco_dias-new_york-2006-managerial.pdf, with 366 KB.
This graduate course named "Investment Analysis with Real Options" ("Análise de Investimentos com Opções Reais") was delivered to graduate students at PUC-Rio in the first semester of 2006.
The original course (2005) was splited into two separated courses: in the first semester this course on real options and in the second semester a course on game theory and real options games.
The course (and so the course materials) are in Portuguese.
In order to download the course materials (and see other course details), go to the specific course webpage (para baixar os materiais do curso e ver outros detalhes, vá para a web-página específica desse curso).
In 2005 the main international conference on real options took place at Paris, France, June 23-25.
In the academic conference I presented a paper based on a topic from my doctoral thesis: "Real Options, Learning Measures, and Bernoulli Revelation Processes". Both, the presentation (a pdf from the original Powerpoint file) and the paper (also a pdf, but from a Word file) are available to download below.
Download the paper "Real Options, Learning Measures, and Bernoulli Revelation Processes" in pdf file format: dias_revelation_bernoulli.pdf, with 471 KB.
Download the paper presentation "Real Options, Learning Measures, and Bernoulli Revelation Processes", a pdf file (from the original Powerpoint file): marco_dias-paris 2005-academic_presentation.pdf, with 454 KB.
In the same week and place, the managerial/practitioner real options conference took place at Paris, France, June 22-23, 2005.
The presentation title was: "Real Options: Applications to Energy with Focus on Petroleum". The pdf file (from a Powerpoint file) is available to download below.
Download the managerial presentation "Real Options: Applications to Energy with Focus on Petroleum", a pdf file (from the original Powerpoint file): marco_dias-paris_2005-managerial.pdf, with 242 KB.
This graduate course named "Investment Analysis with Real Options and Option Games" ("Análise de Investimentos com Opções Reais e Jogos de Opções") was delivered to graduate students at PUC-Rio in the first semester of 2005. For 2006, I plan to split the course into two separated courses: in the first semester the course on real options and in the second semester a course on game theory and real options games.
The course (and so the course materials) are in Portuguese.
In order to download the course materials (and see other course details), go to the specific course webpage (para baixar os materiais do curso e ver outros detalhes, vá para a web-página específica desse curso).
The doctoral thesis (pdf file) named "Hybrid Real Options with Petroleum Applications" ("Opções Reais Híbridas com Aplicações em Petróleo") and the defense file (from a Powerpoint file) are available for download. The thesis has 509 pages (two-volumes), 85 figures, 18 tables, 9 propositions, 7 lemmas and 4 theorems. These files are in Portuguese, but I set below the English abstract:
THESIS ABSTRACT
This methodological and normative thesis extends the modern economic valuation theory of projects under uncertainty, known as real options theory, from the point of view of an oil company that optimizes the allocation of investment and resources. The real options theory is combined with other theories - so the name hybrid real options - in order to perform a more comprehensive and realistic analysis of complex problems that arises from petroleum industry. The two main combinations analyzed here are: (a) the combination of real options theory with game theory - real options games - to consider endogenously the strategic behavior of other firms, especially in the optimal stopping game with positive externalities known as war of attrition, as well as the possibility to change this game by a cooperative bargain game; and (b) the combination of real options theory with methods from probability theory and Bayesian statistical decision - Bayesian real options - generating a new way to model technical uncertainty of a project in dynamic real options models. These two combinations are re-combined in order to obtain an adequate solution that captures the value of information differences in non-cooperative and cooperative games. Important variables like exploratory chance factor, volume, and quality of a petroleum reserve, are modeled with the development of a new theory on revelation distribution and measures of learning. In a more concise way, are analyzed other hybrid real options, highlighting the combination of real options theory with the evolutionary computation theory - evolutionary real options - with great potential in complex applications of optimization under uncertainty. This method is exemplified with an application using the genetic algorithms to evolve the decision rule for optimal exercise of a real option.
KEYWORDS: real options, game theory, hybrid real options, real option games, Bayesian real options, measures of learning, investment under uncertainty.
Download the dissertation "Opções Reais Híbridas com Aplicações em Petróleo", a (very large!) pdf file: tese_doutor_marco_dias.pdf, with 4,027 KB.
Download the thesis defense file, a pdf file (from the original Powerpoint file): defesa_tese_doutor_marco_dias.pdf, with 725 KB.
In 2004 the main international conference on real options took place at Montreal, Canada, June 17-19.
In the academic conference I presented a paper co-authored with my advisor José Paulo Teixeira, based on a topic from my doctoral thesis: "Continuous-Time Option Games Part 2: Oligopoly, War of Attrition and Bargaining under Uncertainty". Both, the presentation (a pdf from the original Powerpoint file) and the paper (also a pdf, but from a Word file) are available to download below.
Download the paper "Continuous-Time Option Games Part 2: Oligopoly, War of Attrition and Bargaining under Uncertainty" in pdf file format: dias-teixeira_part2_option-games.pdf, with 439 KB.
Download the paper presentation "Continuous-Time Option Games Part 2: Oligopoly, War of Attrition and Bargaining under Uncertainty", a pdf file (from the original Powerpoint file): dias-teixeira_part2_option-games-ppt.pdf, with 210 KB.
In the same week and place, the managerial/practitioner real options conference took place at Montreal, Canada, June 16-17, 2005.
I performed a short presentation in the Workshop: Commodity and Energy Applications. The presentation title was: "Technical Uncertainty and Learning Options in Petroleum". The pdf file (from a Powerpoint file) is available to download below.
Download the managerial presentation "Technical Uncertainty and Learning Options in Petroleum", a pdf file (from the original Powerpoint file): dias_managerial_montreal2004.pdf, with 96 KB.
In 2003 the main international conference on real options took place at Washington, USA, July 10-12.
My advisor and co-author, José Paulo Teixeira, presented our paper named: "Continuous-Time Option Games: Review of Models and Extensions - Part 1: Duopoly under Uncertainty". Both, the Powerpoint and the Word files are available to download below.
Download the
Powerpoint 2000 file in compressed (.zip) format: dias-teixeira_option-games-ppt.zip, with 1020 KB.
Download the paper "Continuous-Time Option Games: Review of Models and Extensions - Part 1: Duopoly under Uncertainty", a compressed (.zip) Word for Windows file
dias_teixeira_option-games-july03.zip, with 246 KB.
This seminar took place at UFRJ (Federal University of Rio de Janeiro), a traditional and important university in Brazil, in September 16th, 2003, at Rio de Janeiro, Brazil.
This presentation is the Portuguese version of my seminar at MIT (see below).
Download the Powerpoint 2000 file: ufrj_2003.ppt, with 1096 KB.
Or download the same Powerpoint 2000 file in compressed (.zip) format: ufrj_2003.zip, with 712 KB. Both in Portuguese.
The file below is the Powerpoint presentation of my speech at the seminar Real Options in Real Life, presented May 5th 2003 at MIT, Sloan School of Management, Cambridge, U.S.A., mainly to second year graduate students.
Download the Powerpoint 2000 file: mit_2003.ppt, with 1099 KB.
Or download the same Powerpoint 2000 file in compressed (.zip) format: mit_2003.zip, with 727 KB.
The Workshop on Real Options in Petroleum and Energy took place at Mexico City, Mexico, in September 19-20, 2002.
Download the workshop program and abstracts by clicking here (Word for Windows file with 278 KB).
My two presentations in that very important workshop were: "Investment in Information in Petroleum: Real Options and Revelation" and "Petroleum Concessions with Extendible Options Using Mean Reversion with Jumps to Model Oil Prices". The Powerpoint files are available to download below.
Download the
Powerpoint 97 file: marco_dias-revelation-mexico-2002.ppt, with 541 KB.
Download the
Powerpoint 97 file: marco_dias-extendible-mexico-2002.ppt, with 825 KB.
This SPE Applied Technology Workshop (ATW) was named "Risk Analysis Applied to Field Development under Uncertainty" and took place at Rio de Janeiro, Brazil, in August 29-30, 2002.
The title of my presentation was: "Investment in Information in Petroleum: Real Options and Revelation". There are some small differences compared with similar earlier presentations on this subject. The Powerpoint file is available to download below:
Download the
Powerpoint 97 file: marco_dias-atw-2002.ppt, with 427 KB.
In 2002 the main international conference on real options took place at Coral Beach, Paphos, Cyprus, July 4-6.
My presentation title is the same of the paper: "Investment in Information in Petroleum: Real Options and Revelation". Both, the Powerpoint and the Word files are available to download below.
Download the
Powerpoint 97 file: marco_dias-cyprus-academic.ppt, with 454 KB.
Download the paper "Real Options in Upstream Petroleum: Overview of Models and Applications", a Word for Windows file
marco_dias_revelation.doc, with 988 KB.
Or download the same paper in the compressed (.zip) Word for Windows file marco_dias_revelation.zip, with 156 KB.
This managerial/practitioner conference took place at Coral Beach, Paphos, Cyprus, in July 4-6, 2002.
The Keynote Address presentation title was: "Real Options in Petroleum: An Overview". The Powerpoint file is available to download below.
Download the
Powerpoint 97 file: marco_dias-cyprus_2002-managerial.ppt, with 604 KB.
The file below is the Powerpoint presentation of my Keynote Speech at the International
Real Option Workshop, May 6-8 2002 - Turku, Finland.
The title of the this presentation is "Overview of Real Options
in Petroleum", equal to the MIT seminar, but there are
differences mainly in the part of investment in information and revelation
distribution (MIT presentation is more complete in this aspect, but less
complete in other parts).
Download the
Powerpoint 97 file: finland_2002.ppt, with
1,160 KB
Use the full screen (or presentation mode) in the Powerpoint, in order to see the animation.
The paper correspondent to this presentation is also available to download (compressed Word 97 file):
Download the
paper "Real Options in Upstream Petroleum: Overview of Models and
Applications" in compressed Word 97 for Windows:
dias_petroleum_overview.zip, with
446 KB.
The file below is the Powerpoint presentation of my speech at the
seminar Real Options in Real Life, presented May 2nd 2002 at MIT,
Sloan School of Management, Cambridge, U.S.A.
The title of the this presentation is "Overview of Real Options in
Petroleum". Use the full screen (or presentation mode) in the Powerpoint, in order
to see the animation.
Download the
Powerpoint 97 file: mit_2002.ppt
The file below contains the assignment questions for the MIT second year students. It is in Word for Windows 97 format.
Download the
Word for Windows 97 file of assignment questions:
marco_dias_assignment_mit.doc.
The papers correspondent to this presentation are also available to download (Word for Windows files):
Download the paper "Real Options in Upstream Petroleum: Overview of Models and Applications", in compressed Word 97 for Windows: dias_petroleum_overview.zip, with 446 KB.
Download the paper "Investment in Information in Petroleum: Real Options and Revelation", a Word for Windows file
marco_dias_revelation.doc, with 988 KB.
Or download the same paper in the compressed (.zip) Word for Windows file marco_dias_revelation.zip, with 156 KB.
Solve the second
part of the assignment! Download the non-registered version of Timing
with Dynamic Value of Information: Compressed (.zip) Excel
File timing_inv_inf-hqr.zip with 732 KB
Or download the non-compressed Excel File
timing_inv_inf-hqr.xls with 796 KB .
The file below is the Powerpoint presentation of my speech at the "5th
Annual International Conference on Real Options - Theory Meets Practice",
UCLA, Los Angeles, July 13-14, 2001.
The title of the this presentation is "Selection of Alternatives of
Investment in Information for Oilfield Development Using Evolutionary Real
Options Approach".
Download the
Powerpoint 97 file: inform-evol_ro-dias.ppt,
with 953 KB
Use the full screen (or presentation mode) in the Powerpoint, in order
to see the animation. The file above was save without the embedding
true-type fonts (which enlarge a lot the size).
If you don't have the fonts or experimented any problem with the fonts,
you can download the compressed Powerpoint file with embedded true-type
fonts below:
Download the
compressed Powerpoint 97 file with embedded true-type fonts:
inform-evol_ro-dias-true_type.zip,
with 2,027 KB.
The paper correspondent to this presentation is also available to download (compressed Word file):
Download the
paper in compressed Word 97 for Windows: evol_ro-marco_dias.zip,
with 594 KB.
The following two files are the presentations from my course taught at PUC-Rio, in 24 and 26 July, 2001. This course, named "Seminário em Opções Reais" was the participation of MBA and M.Sc. courses at PUC-Rio (from Dep. Industrial Eng.; Central of Courses of Extension and Institute of Adm. and Manag. - IAG).
The files are in Portuguese. Both are (compressed .zip) Powerpoint 95 for Windows files.
Download the
First Compressed Powerpoint 95 file: curso-puc-2001-aula1.zip,
with 1,056 KB
Download the
Second Compressed Powerpoint 95 file: curso-puc-2001-aula2.zip,
with 682 KB
After many people asking me to receive the files from my M.Sc. in 1996,
I decide to let the files available for downloading.
However, I need to alert that the numbering of pages, chapters, itens,
tables, figures, and all the indexes, were automatized with the master-doc
tool of Word. However, the Word version at this time (Word 6) is now an
old Word version so that the tool (master-document) has not been working
in the newer Word versions.
In other words, the files are available but the numbering not.
I still recommend for the interested in my dissertation to use the
universitary library intercambio service available in most universities,
and ask the PUC-Rio Library to send a copy of my dissertation to your
university (the advantage is that the indexes, number, etc, are perfect).
Anyway, the files can be read without other problems. The dissertation name is: "Investment under Uncertainty in Exploration & Production of Petroleum".
The dissertation is divided into four files to downloading in compressed (.zip) format.
Download the
compressed file: msc_doc-mestre-cap1-2.zip,
with 192 KB.
Download the
compressed file: msc_cap3-4.zip, with 408 KB.
Download the
compressed file: msc_cap5-6.zip, with 221 KB.
Download the
compressed file: msc_apendices.zip, with 218
KB.
.
The file below is a Powerpoint presentation of my speech in the "Real
Options 2000 Conference - Capitalizing on Uncertainty and Volatility in
the New Millennium", Chicago, September 25, 2000.
The title of the this presentation is "Visual FAQ's on Real Options".
Download the Powerpoint 97 file:
dias-chicago_2000.ppt, with 551 KB.
The file below is a Powerpoint presentation of my speech in the "Real
Option Valuation Conference - Maximize Return & Minimize Risk in
Strategic Investments", New Orleans, March 2000.
The title of the presentation is: "A Step-by-Step Approach to
Improving Investment Decisions and Asset Valuation - Real Options in
Exploration & Production of Petroleum"
Download the Powerpoint 97 file:
dias-new_orleans_2000.ppt, with 677
KB.
Real Options using Optimization with Genetic Algorithms is a research report. This research aims to investigate the potential of evolutionary computing techniques to solve complex real options problems.
Download the compressed (zip) Word for Windows 97 file:
genetic_alg-real_options-marco_dias.zip,
with 816 KB.
See more about this paper and related methods in the Monte Carlo with Real Options Webpage.
Real Options Presentation in the Conference: "New Approaches to
Value Analysis: EVA, Real Options and ROV", New York, December 1999.
The title of the presentation was: "Real Options in Petroleum - Case
Studies in Exploration & Production"
Download the Powerpoint 97 file:
dias-new_york-99.ppt, with 461 KB.
This paper, by Marco A.G. Dias and Katia M.C. Rocha, "Petroleum Concessions with Extendible Options Using Mean Reversion with Jumps to Model Oil Prices" was presented in the 3rd Annual International Conference on Real Options - Theory Meets Practice, Wassenaar/Leiden, The Netherlands, June 6-8, 1999.
See or download
the paper (compressed .zip, from a Word for Windows file) either the
latest version (2001) at
the PUC-Rio WWW server; or the
1999
conference version of this paperavailable at the official webserver
of the Conference on Real Options, in The Netherlands (Adobe Acrobat .pdf
file).
Download a
slightly different (and earlier) paper version, in the
SSRN
database, by clicking here.
Download the Powepoint-97 file from the
Netherlands presentation, June/99.
The file below is a Powerpoint presentation of my speech in the Workshop
on Real Options, Stavanger, May 1998.
See more details in the sponsor website (DSS project in the Netherlands)
at Stavanger
Workshop, May, 1998.
The name of the presentation is Investment under Uncertainty
in
Exploration & Production - Update and Overview of the M.Sc. Thesis.
Download the compressed self-extracting files below.
For a freeware Powerpoint viewer (you can see and print the file,
but cannot change), go to Microsoft
website.
To download the Powerpoint version 97 file, stavanger98-p97.exe (file with 583 KB), click the FTP button
File with 583 Kbytes, Powerpoint version 97
To download the Powerpoint version 95 file, stavanger98-p95.exe (file with 707 KB), click the FTP button
File with 707 Kbytes, Powerpoint version 95
The file below is a Powerpoint presentation that discuss the comparative statics for the American call option (real option).
The sensitivity analysis for the main parameters is performed, showing tornado charts (pointing out the most important parameters) and spider charts (indicating the variation of the base case with the parameters), allowing an in depth analysis of both the option value and the early exercise threshold.
About half-part of the presentation is dedicated to discuss the case
of two parameters changing together. Comparative statics in
general changes a single parameter, with the remaining parameters hold
fixed (ceterius paribus).
However, is probably that s and
d are not independent. As suggested by Dixit &
Pindyck (chapter 5), these parameters can be linked by a CAPM equation
(relating the risk-adjusted discount rate m
and the volatility s) and by the total return
equation m = a + d. See the complete
discussion in the Powerpoint file.
Download the compressed self-extracting files below.
For a freeware Powerpoint viewer (you can see and print the file,
but not to change), go to Microsoft
website.
To download the Powerpoint version 97 file, comparative-statics-p97.exe (file with 274 KB), click the FTP button
File with 274 Kbytes, Powerpoint version 97
To download the Powerpoint version 95 file, comparative-statics-p95.exe (file with 383 KB), click the FTP button
File with 383 Kbytes, Powerpoint version 95
The real options asymmetry gives important insights to strategic thinking. Concepts of option leverage and platform of investments options helps the manager to decide under uncertainty.
Instead fear or aversion to uncertainty, managers must to act in order
to place uncertainty playing at his/her favor.
Put uncertainty as allied, not enemy! Judo strategy using options!
For while is available only the presentation in Portuguese. An updated version in English will be available in a future website update.
Download the compressed self-extracting files below.
For a freeware Powerpoint viewer (you can see and print the file,
but not to change), go to Microsoft
website.
To download the Powerpoint version 97 file, estrategia-e-opcoes-p97.exe (file with 96 KB), click the FTP button
File with 96 Kbytes, Powerpoint version 97
To download the Powerpoint version 95 file, estrategia-e-opcoes-p95.exe (file with 102 KB), click the FTP button
File with 102 Kbytes, Powerpoint version 95
More than 100 charts from American call option value and the threshold
(early exercise price) are presented for several parameters value using
interactive media. The pictures are in 16 colors to load faster.
The page use frames, and there is also a detailed explanation on the
charts and related option features.
You can choose the type of chart (option value or threshold) and the
parameter you want to perform the sensitivity study. All other parameters
remain constant at the "Base Case" values. The "Base Case"
values are always visible.
This feature uses frames and is best viewed with the video resolution of 800 x 600. However is available other version for low resolution video (640 x 480). Anyway, you can change the frame position to meet your visual convenience (click and drag the frame).
Click here to see the static sensitivity charts for video resolution of 800 x 600 or higher and also an explanation about the charts!
Click here to see the static sensitivity
charts for video resolution of 640 x 480 and also an explanation
about the charts!
There are 7 animated charts for American call option value and the
threshold (early exercise price) in function of the main parameters, in
order to see the sensitivity analysis.
The page use frames, and there is also a detailed explanation on the
charts and related option features.
You can choose the type of chart (option value or threshold) and the
parameter you want to perform the sensitivity study. All other parameters
remain constant at the "Base Case" values. The "Base Case"
values are always visible.
This feature uses frames and is best viewed with the video resolution of 800 x 600. However is available other version for low resolution video (640 x 480). Anyway, you can change the frame position to meet your visual convenience (click and drag the frame).
Click here to see the dynamic sensitivity charts (resolution: 800 x 600 or higher) and explanation on the charts!
Click here to see the dynamic sensitivity charts
(resolution: 640 x 480 or higher) and explanation on the charts!
In the April 97 update, the Powerpoint files from the SPE presentation (and with additional slides) were available to download. Now the slides itself are online.
This is an option-game model for petroleum exploration and
development investment decisions. The model combines real options in
continuous time framework for development investment decision, sequential
discrete time options for exploratory investment decision, and "war
of attrition" (waiting game) game with incomplete information, in
order to analyze the strategic interaction at the exploratory phase.
The model combines three sources of uncertainty: economic/market;
technical; and strategic. The paper was presented in SPE Economics
Symposium, in Dallas (March, 1997).
Now the slides are available online! Using frames you choose the slide, click and see.
The slides of a paper on option-game model for exploration and production of petroleum are here available for download in Powerpoint for Windows 3.1 and in Powerpoint for Windows 95
The paper was presented at 1997 SPE Hydrocarbon Economics and Evaluation Symposium held on Dallas, TX (USA), March 18th, 1997. Request the paper from SPE (go to SPE homepage) and ask for SPE paper 37949. Ask also for the other two papers on real options presented in the same 1997 SPE Symposium: SPE paper 37948 and SPE paper 37965. In case of any problem to get the author's paper, send a message in the guestbook or send an e-mail to author.
Extended version of the presentation: there are 38 slides in the Powerpoint file, although only 23 slides were presented (due the time constraint of symposium).
After the download and after the decompression, you will get the decompressed file in Powerpoint format.
For download the Powerpoint, version for Windows 3.1, file spe-win3.zip (file with 271 KB), click the FTP button
File with 271 Kbytes, Powerpoint, version for Windows 3.1.
For download the Powerpoint, version for Windows 95, file spe-windows95.zip (file with 285 KB), click the FTP button
File with 285 Kbytes, Powerpoint, version for Windows 95
The Powerpoint Presentation of authors' M.Sc. dissertation is available in two languages: Portuguese and English.
These files are compressed (extension .zip), but is easy to make the
decompression using some software (like Pkunzip, winzip, etc.). After the
download and after the decompression, you will get the decompressed file
in Powerpoint format. The files are:
(a) English version named tese-eng.ppt, with 733 KB in compressed
version and 10.3 MB, after decompression;
(b) Portuguese version named Tesef256.ppt, with 705 KB in
compressed version and 9,71 MB, after decompression.
For download the English version file tese-en.zip (file with 732 KB), click the FTP button below:
File with 732 Kbytes, English version
For download the Portuguese version file Tesef_ap.zip (file with 705 KB), click the FTP button below:
File with 705 Kbytes, Portuguese version
These files are compressed (extension .zip), but is easy to make the
decompression using some software (like Pkunzip, winzip, etc.). You can
get it at Nico Mak Computing for Winzip,
at Vertisoft for Zip-it, and at
Pkware for PKZip.
There are twenty two slides available.
Go to the thumbnail (small figures) list (!),
where you get an idea of the picture (looking the correspondent thumbnail)
before load each large figure.
OBS: The pictures (small and large ones) are in 16 colors format, for
faster loading.