Dear Vince J Kaminski,

As a Mathematical Trading and Finance MSc student (City
University London) I am writing my dissertation on "power
forward curves".

Since you have participated in the writing of the
book "Managing Energy Price" I was wondering if you could
eventually help me.
The MRHV model seams to be the best econometric one to
model the electricity forward curve.

I understand and know how to work out with the classic Mean
Reverting Process, but I don't understand the MRHV (I don't
know the discretised form and I cannot even find any paper,
or article on it) and how to get rid of the exponent to
estimate my parameters (long-run mean, Speed of mean
reversion, volatility, exponent, Floor price).

Thank you by advance for any help

Yours sincerely
Sylvain Joret

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Bo?te aux lettres - Caramail - http://www.caramail.com