---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 05/25/2000 
05:37 PM ---------------------------


VKaminski@aol.com on 05/14/2000 08:03:36 PM
To: vkamins@enron.com
cc:  
Subject: Fwd: Book and EPRM articles




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From: "Vince J Kaminski" <Vince.J.Kaminski@enron.com>
To: vkaminski@aol.com
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Date: Fri, 21 Apr 2000 16:47:55 -0500
Subject: Book and EPRM articles
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---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 04/21/2000 
04:49
PM ---------------------------


"Chris Strickland" <chris@lacima.co.uk> on 04/20/2000 04:32:32 AM

Please respond to "Chris Strickland" <chris@lacima.co.uk>

To:   "VinceJKaminski" <Vince.J.Kaminski@enron.com>
cc:   "Julie" <julie@lacima.co.uk>
Subject:  Book and EPRM articles




Hi Vince,

I was wondering how the chapter of the book is coming along??! Do you want  me
to make 'noise' tomorrow or to leave you until after Easter?

Until then, I wanted to discuss with you an idea  that Les and I have been
throwing around concerning writing a series of articles  for Risk's 'Energy 
and
Power Risk Management'. We would like to propose to  them?that we would write 
an
article a month, covering practical issues  dealing with energy modelling and
energy derivative pricing and risk management.  The articles would be based 
upon
sections of the book so as to promote the book,  and to reduce the effort/time
involved by using?already produced material.  We would like to cover some very
practical topics, but we?won't be giving  too much away as the articles are 
only
1 or 2 pages long.

Each article would be of?the  form;

- introduce?the concept
- give an example using real data
- discuss the problem with a case study
- provide a discussion
- sum up

I've included a list of potential articles at the  end of this e-mail. For
example, for the first one,  "Estimation of mean reversion in spot energy
prices", we would introduce  the concept of mean reversion,?show a graph of an
equity index and an  energy price?for illustration of our point, estimate the
parameter for a  series of energies over a number of seasons, and finally,
discuss the  results.

We?are wondering if you would like to be  involved in this project? Your
involvement needn't take much time (although it  is up to you). The kind of
input we are hoping for (again, this is up to you) is  that you?would?review 
the
list of articles and  provide?suggestions of additions or deletions, suggest
reasonable data sets  or case studies to work with on each article, and then 
to
run your eye over  "near finished" articles, which?we would supply to you for
your?practical experience?input.? Would something like this  interest you? If 
it
did, we would try to sell Risk on making it a regular  monthly "feature" of
EPRM, authored by all three of us.

We are hoping to present our proposal to Risk in  the next few weeks, so 
please
let us know if you are interested.

Best regards.

Chris.


Potental EPRM articles;

1- Estimation of mean reversion in spot energy  prices (with parameters
estimated for oil, gas, and electricity data over  different seasons)

2- Estimation of jumps in spot energy prices (with  parameters estimated for
oil, gas, and electricity data over different  seasons)

3- Simulating a mean reverting spot price process  for pricing energy
derivatives (with case study applied to an Asian option on  oil)

4- Simulating a jump / diffusion spot price process  for pricing energy
derivatives (with case study applied to a Swaption on natural  gas)

5- Simulating a mean reverting jump / diffusion  spot price process for 
pricing
energy derivatives (with case study applied to  hourly caps on spot 
electricity)

6- An analytical pricing formula for pricing caps  in a mean reverting spot
price model (with example applied to a cap on natural  gas fitting the Forward
curve and volatlity structure)

7- using a tree consistent with the forward curve  and vols for pricing swing
options

8- implying a single?factor vol function from  market Futures option prices 
and
variation of parameters thru time

9- adding jump volatility to the tree

10- An analytical pricing formula for pricing caps  in a multi-factor forward
curve model(with example applied to the same cap on  natural gas and a
discussion on the differences between the two  approaches)

11- Estimating volatility functions for  multi-factor forward curve models 
(with
estimates of oil data over different  periods)

12- Estimating volatility functions for  multi-factor forward curve model from
market option prices

13- pricing swing option in multi factor model  using tree for exercise 
strategy

14- comparison of VaR methodoligies applied to the  same energy derivativ
portfolio.