From: vince.kaminski@enron.com
To: vkaminski@aol.com
Date: 2000-04-21 16:47:00+00:00
Subject: Book and EPRM articles

---------------------- 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.
?