Dear Vince/Grant,

It was good to meet and talk with you both this morning - very interesting.
Here are the details of the course (actually there are two seperate
courses, one on VaR) that I promised you.

I hope to see you both again later in the month.

Best regards.

Chris.




COURSE 1:   Energy Derivatives: Pricing and Risk Management
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Course Leaders: Dr Les Clewlow and Dr Chris Strickland

Houston: 29-30 March 2000
London:  3-4 April 2000

Fee : STG 1950 / USD 2950

This is an intermediate course aimed at the Energy professional who is
familiar with energy derivative products but who requires the mathematical
foundations of derivative pricing and an understanding of the pricing and
risk management of energy derivatives.

This course assumes that participants are familiar with standard basic
option pricing theory (the Black-Scholes formula, Monte Carlo simulation,
and the use of binomial trees for option pricing).

The format for the course will follow our usual highly practical and
successful style of alternate sessions of lectures and Excel based computer
workshops. To facilitate intensive interaction, the course will be limited
to a maximum of 15 participants so early booking is advisable.

The Excel based computer workshops deal with oil and gas as well as
electricity derivatives and contain detailed calculations for pricing and
risk management. At the end of the 2 days, participants leave with a
diskette containing answers to all the workshops as well as valuable code
for pricing and simulation.

Registration fee includes: pre-course reading, course materials, copies of
relevant research materials, diskette with fully worked solutions to
computer workshops, lunch and refreshments.  Additionally, each attendee
will receive a free copy of Clewlow and Strickland's forthcoming book
"Energy Derivatives: Pricing and Risk Management" which includes
valuable contributions from Enron's Vince Kaminski and Grant Masson.

Upon registration, participants will be sent a pack containing relevant
pre-course reading.

COURSE OUTLINE

Day 1, AM : Introduction to Energy Derivatives Modelling

     Energy derivatives - structures and applications
     Fundamentals of modeling and pricing
     Analysing energy data
     Spot price behaviour
     Building forward curves - assessing available models
     The relationship between the spot price and forward curve dynamics

Workshop : Analysing the properties of energy data - mean reversion,
volatility structures, jumps

Day 1, PM :Spot Price Models and Pricing by Simulation and Trees

     Review of spot price models
     The pros and cons of spot price models
     Pricing standard options, swaptions, caps, floors, and collars
     Simulation for spot price models
     Pricing exotic options (barriers, lookbacks, Asians, etc.)
     Building and using trees for energy derivatives
     Building trees consistent with the forward curve
     Pricing options in trees

Workshop: Using Simulation and trinomial trees to price energy
derivatives

Day 2, AM : Forward Curve Based Models

     Forward curve dynamics and forward curve models
     The relationship to spot price dynamics
     Multi-factor forward Curve Models
     Volatility function interpretation and estimation
     Pricing standard energy options
     Pricing energy swaptions
     Pricing energy exotics using simulation

Workshop : Using simulation to implement multi-factor models and price
energy options

Day 2, PM : Risk Management of Energy Derivatives

     Energy market risk and hedging
     Computing hedge sensitivities
     Determining the hedge instruments
     Hedging a energy derivatives book
     Value-at-Risk in energy markets - the pros and cons of the approaches
     Credit Risk in energy markets - issues and models

Workshop: Hedging an energy portfolio

Please feel free to e-mail us to register for this course and we will
contact you regarding payment.



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COURSE 2:  VaR for Energy Markets
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Course Leaders: Dr Les Clewlow and Dr Chris Strickland

Houston: 31 March 2000
London:  5 April 2000

Fee : STG 950 / USD 1950

This is an intermediate course aimed at the Energy professional who is
familiar with energy derivative products but who requires an understanding
of the theory and calculation of Value at Risk for energy derivative
portfolios.

The format for the course will follow our usual highly practical and
successful style of alternate sessions of lectures and Excel based computer
workshops. To facilitate intensive interaction the course will be limited
to a maximum of 15 participants so early booking is advisable.

The Excel based computer workshops deal with oil and gas as well as
electricity derivatives. At the end of the course participants leave with a
diskette containing answers to all the workshops as well as valuable code
for pricing and VaR calculations.

Registration fee includes: pre-course reading, course materials, copies of
relevant research materials, diskette with fully worked solutions to
computer workshops, lunch and refreshments.  Additionally, each attendee
will receive a free copy of Clewlow and Strickland's forthcoming book
"Energy Derivatives: Pricing and Risk Management".

Upon registration, participants will be sent a pack containing relevant
pre-course reading.

COURSE OUTLINE

Day 1, AM : Understanding the VaR methodologies and issues

     What is VaR?
     Uses of VaR
     Types of VaR methodologies
     Implications of applying the RiskMetrics assumptions in energy markets

     Delta VaR, historical simulation
     Linear and Non Linear Instruments

Workshop: Applying simple VaR methodologies in the energy market

Day 1, PM : Calculation of Energy portfolio VaR using simulation

     Modelling the energy forward curve - single and multi-factor
     Modelling the joint behaviour of different energies simultaneously
     Calculation of covariances and correlations
     Incorporating jumps
     Detailed example VaR calculation for an energy portfolio

Workshop: Simulating energy forward curves and calculation of VaR for an
energy portfolio.

Dr. Les Clewlow and Dr Chris Strickland hold Associate Research Positions
at both the School of Finance and Economics, University of Technology,
Sydney and the Financial Options Research Centre, University of Warwick,
UK.  Together they have over 20 years combined experience in the financial
and energy derivative markets and have published many articles in academic
and trade journals.  They are the authors of the book "Implementing
Derivatives Models" (Wiley, 1998) and editors of "Exotic Options: The State
of the Art" (ITP, 1998). Their forthcoming book, "Energy Derivatives:
Pricing and Risk Management," is due to be published during the second
quarter 2000.  Currently, their interests are concentrated in the energy
derivatives area, where they have developed a wide range of pricing tools
for electricity options and other energy derivatives.