Download Academic Conference Program
Organized by
Real Options Group and
PUC-Rio, Brazil
In cooperation with
Bank of Cyprus Chair/University of Cyprus
Northwestern University
and University of California at Los Angeles
Main Sponsors
Petrobras, Brazil
McKinsey & Company
July 10 - 12,2008
Rio de Janeiro, Brazil
Program Sessions Summary Guide
DAY 1 - THURSDAY, JULY 10
8:00-8:25 Registration |
8:30-9:20 Welcome & President’s Address |
9:30-10:20 Portfolio Applications |
11:00-12:15 Competition and Strategy Games |
12:15-1:50 Luncheon Keynote Address by Tom Copeland (MIT) |
2:00-3:15 Investment Theory |
4:00-5:15 Theoretical Issues |
5:25-6:15 Panel Discussion: Innovation, Corporate Strategy & Contracting |
6:20-7:30 Networking Reception |
DAY 2 - FRIDAY, JULY 11
Track I Track II
8:30-9:00 Registration |
9:00-10:15
Conceptual Issues |
9:00-10:15
Valuing Petroleum Investments |
10:45-12:00
R&D/Innovation |
10.45-12:00
Volatility Estimation |
12:00-1:30 Luncheon Guest Lecture Address by Octavio A.F. Tourinho (BNDES) |
1:30-2:45
Case Applications |
1:30-2:45
Tax Effects, Valuation & Policy Issues |
3:15-4:30
Infrastructure/Policy Issues |
3:15-4:30
Regulatory Access & Incentives |
4:40-5:30 Panel Discussion: Current State, Challenges and Future Prospects |
DAY 3 - SATURDAY, JULY 12
Excursion - Networking
Talk about Brazilian Economy & Financial System
Program Sessions
DAY 1 – THURSDAY, JULY 10
8:00 – 8:25 Registration
8:30 – 8:45 Welcome
8:45 – 9:20 President’s Address
L. Trigeorgis (U. Cyprus & President, Real Options Group)
On Multinationality Options and Performance
9:30 – 10:20 Portfolio Applications
Chairperson: J. Kensinger (U. North Texas)
A. Chen (Southern Methodist U.), J. Conover and J. Kensinger (U. N. Texas), Private Equity Acquisitions as Real Options Portfolios
N. Ferreira (McKinsey & Co), The Value of Land as Portfolio of Planting Flexible vs. Inflexible Crops
10:20 – 11:00 Morning Coffee Break
11:00 – 12:15 Competition and Strategy Games
Chairperson: D. Paxson (Manchester Business School, UK)
M. Goto (Waseda U.), R. Takashima (U. Tokyo), M. Tsujimura (Ryukoku U.) and T. Ohno (Waseda U., Japan), Entry and Exit Decisions Under Uncertainty in a Symmetric Duopoly
A. Azevedo and D. Paxson (Manchester Business School, UK), New Technology Adoption Games: An Application to the Textile Industry
M. Nishihara (Osaka U.) and T. Shibata (Tokyo Metropolitan U.), Real Options, Debt Financing and Competition
12:15 – 1:50 Luncheon Keynote Address by Tom E. Copeland (MIT)
Financial and Real Options: My Complements and Your Substitutes
2:00 – 3:15 Investment Theory
Chairperson: T.E. Copeland (MIT)
M. Schnetzer (Adliswil) and L. Taschini (U. Zurich, Switzerland), Entry and Exit Decisions with Implementation Delay: A Probabilistic Approach
F.A.L. Aiube and E.A.H. Tito (Petrobras and PUC-Rio), Evaluating Cash Holdings as Real Options: An Application for a Commodity Producer in an Emerging Market
S. Scatasta (CEER, Germany) and J. Wesseler (Wageningen U., The Netherlands), Real Options and the Adoption of Transgenic Crops3:15 – 4:00 Afternoon Coffee Break
4:00 – 5:15 Theoretical Issues
Chairperson: S. Sodal (Agder U., Norway)
R. Adkins (U. Salford) and D. Paxson (U. Manchester, UK), The Tourinho Model of Defering Oil Extraction: Neglected Nugget or a Receding Relic
J. Azevedo-Pereira (ISEG R.M. Lupi), G. Couto (U. Acores) and C. Nunes (Instituto Superior Técnico, Portugal), On the Optimal Timing of Relocation
R. Adkins (U. Salford) and D. Paxson (U. Manchester, UK), An Analytical Real Options Replacement Model with Depreciation
5:25 – 6:15 Panel Discussion
Innovation, Corporate Strategy and Contracting
Moderator: Dean Paxson (Manchester Business School, UK)
Panelists Include:
Francesco Baldi (ENEL, Italy)
Luiz Brandao (PUC-Rio, Brazil)
Tom Copeland (MIT)
Marco A.G. Dias (Petrobras, Brazil)
John Kensinger (U. N. Texas, USA)
Scott Mathews (The Boeing Company, USA)
Martin Pergler (McKinsey & Co, USA)
Sergio Ramos (Kaiser Associates, Brazil)
6:20 – 7:30 Networking Reception
Sponsored by ROG, Petrobras and McKinsey & Company
DAY 2 – FRIDAY, JULY 11
8:30 – 9:00 Registration
9:00 – 10:15
I. Conceptual Issues
Chairperson: J. Kensinger (U. N. Texas)
S.B. von Helfenstein (Braver PC, USA), Acquisitions, Creative Destruction and Taxes:
Applications of Real Options in Economic Systems
M-C. Beaulieu and W.R. Sodjahin (U. Laval, Canada), When do Announced IPOs are Completed?
H. Suzuki, M. Goto and T. Ohno (Waseda U., Japan), Brand Choice and Purchase Incidence
II. Valuing Petroleum Investments
Chairperson: M.A.G. Dias (Petrobras and PUC-Rio, Brazil)
A. Fathi and K. Bilel (U. Sfax, Tunisia), Valuing an Option to Defer an Oilfield Development by Simulation: An Application in Tunisia
A.M. Marques (Petrobras), M.A.G. Dias (Petrobras and PUC-Rio) and R.M. da Silva Montezano (IBMEC – Rio, Brazil), Valuing the Option to Delay a Petrochemical Project: Na Application in Brazil
C. Bastian-Pinto, L.E.T. Brandao (PUC-Rio) and M de Lemos Alves (TIM Participacoes S.A., Brazil), Valuing the Switching Flexibility of the Ethanol-Gasoline Flex Fuel Car
10:15 – 10:45 Morning Coffee Break
10:45 – 12:00
I. R&D/Innovation
Chairperson: F. Baldi (ENEL, Italy)
F. Baldi (Enel, Italy) and L. Trigeorgis (U. Cyprus), Strategic Patent Leveraging under Uncertainty: An Option Games Approach
E. Agliardi and R. Agliardi (U. Bologna, Italy), The Fuzzy Value of Patent Litigation
II. Volatility Estimation
Chairperson: G. Sick (U. Calgary, Canada)
T. Haahtela (Helsinki U. Technology, Finland), Volatility and Ambiguity in Simulation-based Volatility Estimation
M.O. Souza and J. Zubelli (U. Federal Flu-Minense, Brazil), Real Options Under Fast Mean-Reversion Stochastic Volatility
J.C. Dias and J. Pedro Nunes (ISCAC Business School, Portugal), Real Options Under Constant Elasticity of Variance (CEV)
12:00 – 1:30 Luncheon Guest Lecture Address by Octavio A.F. Tourinho (BNDES & UERJ)
1:30 – 2:45
I. Case Applications
Chairperson: L. Brandao (PUC-Rio, Brazil)
M.C. de Azevedo Rabelo Berni (FEAD Minas), J.A. de Sousa Neto (Terra) and H.G. Brasil (Strategor, Brazil), Valuing the Conversion Option of Biodiesel vs. Vegetable Oil:
An Application in a Soya Processing Plant in Brazil
S. Verbrugge, D. Colle, P. Demeester (Ghent U., Belgium) and W. De Maeseneire (Erasmus U. Rotterdam, The Netherlands), Valuing the Flexibility in Fiber Deployment Network Planning: An Application to a Belgian Network
M. Heikkila and C. Carlsson (Abo Academi U., Finland), A Fuzzy Real Options Model for (Not) Closing a Production Plant: An Application to Forest Industry in Finland
II. Tax Effects, Valuation and Policy Issues
Chairperson: M.A.G. Dias (Petrobras and PUC-Rio)
M.A.G. Dias (Petrobras and PUC-Rio, Brazil), Tax Effects on Timing, Scale and Learning Options in Petroleum Upstream
T. Driouchi, P. Pennesi, D. Kapletia and R. Cuthbert (U. Cambridge, UK), Valuing Flexibility in Performance-based Service Contracts: Application in Aerospace and Defense
P.M. Pimentel, G. Couto (U. Azores) and J. Azevedo-Pereira (U. Técnica de Lisboa, Portugal), High Speed Rail Transport Valuation and Policy Decisions
2:45 – 3:15 Afternoon Coffee Break
3:15 – 4:30
I. Infrastructure/Policy Issues
Chairperson: A. Rodriques (U. Minho, Portugal)
M. Collan (Abo Akademi U., Finland), Strategic and Operational Real Options in Area Development Projects: An Application in Finland
M.J.R. Armada, P. Pereira and A. Rodrigues (U. Minho, Portugal), Optimal Incentives to Early Exercise of Public-Private Partnership Investments Under Constrained Growth
N. Kruger and M. Svensson (Orebro U., Sweden), The Impact of Real Options on Willingness to Pay for Infrastructure Safety Investments: A Survey-based Analysis in Sweden
II. Regulatory Access and Incentives
Chairperson: K. Nordal (Norges Bank, Norway)
G. Sick (U. Calgary, Canada), Real Options and Facilities Access Regulation
G.F. de Braganca, K. Rocha (IPEA) and R.H.R. Moreira (Anatel, Brazil), Access Regulation of Brazilian Fixed-Line Telephone Operators and the Markupon the Cost of Capital
K. B. Nordal (Norges Bank, Norway), Evaluating Bank Incentives for Implementation of a Risk-Sensitive Capital Rule
4:40 – 5:30 Panel Discussion: Current State, Challenges and Future Prospects
Moderator: Gordon Sick (U. Calgary, Canada)Panelists Include:
Luiz Brandao (PUC-Rio)
Tom Copeland (MIT)
Marco A.G. Dias (Petrobras, Brazil)
John Kensinger (U. North Texas)
Dean Paxson (U. Manchester, UK)
Sigbjorn Sodal (Agder U., Norway)
Oliver A.F Tourinho (BNDES & UERJ, Brazil)
Lenos.Trigeorgis (U. Cyprus & ROG)
5:30 Closing Remarks
DAY 3 – SATURDAY, JULY 12
Excursion - Networking
Talk about Brazilian Economy & Financial System
Conference Concludes.
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