Maths course

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 04/12/2000
10:36 AM ---------------------------

"Vicky Windsor" <vicki@risk.co.uk< on 04/12/2000 09:50:24 AM
Please respond to "Vicky Windsor" <vicki@risk.co.uk<
To: <vkamins@enron.com<
cc:
Subject: Maths course

Dear Vince,
?
Further to our telephone conversation, that you very much for agreeing to
participate in the financial mathematics training course. As discussed I
would be delighted if you could present the following sessions:
?
PRACTICAL TECHNIQUES TO PRICE EXOTIC ENERGY OPTIONS
?
Evaluating methodologies for pricing exotics
??? assessing the pros and cons of a partial differential equation
??? applying multi-factor models to price exotic energy derivatives
??? building trees for pricing and hedging exotics
Pricing
??? Asian options
??? Bermudan and american style options
??? spread and spark spread options
??? multi-commodity options
Practical example:??? pricing swing options
??????????????????????????????? using Monte Carlo techniques to value swing
options
Practical example:??? pricing a multi-commodity option
?
ANALYSING APPROACHES TO WEATHER DERIVATIVES VALUATION
?
Understanding the mechanics of weather derivatives
??? heating and cooling degree day swaps
??? precipitation contracts
Applying probablistic approaches to pricing weather derivatives
??? stochastics
??? Monte Carlo techniques
Using historical methodologies and Black-Scholes for pricing weather
derivatives
Valusing long term transactions
Practical example
?
Please could you let me know by the close of business on Thursday if you
would like to make any changes to the bullet points. I have printed out your
biography below and please could you also let me know if you would like to
make any changes to it.
?
Vince Kaminski, ENRON CAPITAL & TRADE RESOURCES
Vince Kaminski is Vice President and Head of Research at Enron Risk
Management and Trading, a unit of Enron Capital & Trade Resources. Mr
Kaminksi joined Enron in 1992. Previously he was Vice President in the
research department at Salomon Brothers.
?
Thanks again Vince and I? look forward to speaking to you on Friday.
?
Best regards,
?
Vicky