Tanya,

Can you help this guy?

Vince
 -----Original Message-----
From: 	Sylvain Joret <alpha-@caramail.com>@ENRON [mailto:IMCEANOTES-Sylvain+20Joret+20+3Calpha-+40caramail+2Ecom+3E+40ENRON@ENRON.com] 
Sent:	Friday, August 17, 2001 9:39 AM
To:	Kaminski, Vince J
Subject:	MRHV Model (power curve)

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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