Enron Mail

From:bernard.murphy@caminus.com
To:vince.j.kaminski@enron.com
Subject:1997 Risk paper on Pricing of Electricity Derivatives
Cc:
Bcc:
Date:Thu, 1 Mar 2001 00:17:00 -0800 (PST)

Hello Vince,

My name is Bernard Murphy - I received your e-mail address from Les Clewlow,
who was my PhD supervisor at the Financia Options Research Centre at Warwick
Business School. I've just finished my PhD on Electricity Price Jump
Diffusions : A Theoretical and Empirical Study in Incomplete Markets -
hence my interest in electricity price modelling and derivative pricing. I
was looking to get hold of a copy of your 1997 paper, which has recently
come to my attention :

"The Challenge of Pricing & Risk-Managing Electricity Derivatives", The US
POwer Market, Risk Publications, pp. 149-171.

and Les suggested that I contact you directly (Les is travelling at present
and doesn't have an electronic copy available) to request an e-copy.

Incidentally, I am Lecturer in Finance / Financial Mathematics at University
of Limerick (Ireland) and have taken a year out to work for Caminus UK,
where I am working on introducing and developing a markets-based approach
(spark-spread) to real asset valuations in the UK power industry.

Thanks in advancve

Bernard Murphy