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Enron Mail |
Bernard,
My coordinates: Vincent Kaminski Managing Director - Research Enron Corp. 1400 Smith Street Room EB1962 Houston, TX 77002-7361 Phone: (713) 853 3848 (713) 410 5396 (cell) Fax : (713) 646 2503 E-mail: vkamins@enron.com Yes, we are going into a very interesting summer both here and in the UK. Vince "Murphy, Bernard" <Bernard.Murphy@caminus.com< on 03/27/2001 01:23:04 AM To: "'Vince.J.Kaminski@enron.com'" <Vince.J.Kaminski@enron.com< cc: Subject: RE: Thesis on Electricity Price Jump-Diffusions Hi Vince, Can you e-mail me your mailing address in Houston and I will send you a hard copy of the above today. Apologies for delay, but I wanted to ensure that Les Clewlow had received his copy in Sydney before distributing any other copies. Incidentally, today (March 27th) is a red letter day in the UK as the NETA / new electricity trading arrangements have gone 'live'. Should be interesting to observe the development of the paper market in the coming months - you're no doubt aware that IPE have just launched an electricity futures contract. Regards Bernard -----Original Message----- From: Vince.J.Kaminski@enron.com [mailto:Vince.J.Kaminski@enron.com] Sent: 01 March 2001 15:37 To: Murphy, Bernard Cc: vkaminski@aol.com; Vince.J.Kaminski@enron.com Subject: RE: 1997 Risk paper on Pricing of Electricity Derivatives Bernard, Yes, I can read a DVI file. You can also cc my home address: Vkaminski@aol.com. I shall try to send you an answer to your question on weekend. Vince "Murphy, Bernard" <Bernard.Murphy@caminus.com< on 03/01/2001 09:18:58 AM To: "'Vince.J.Kaminski@enron.com'" <Vince.J.Kaminski@enron.com< cc: Subject: RE: 1997 Risk paper on Pricing of Electricity Derivatives Vince, I can send you a Scientific Word DVI file (at the weekend) if you can read SCientific Word files ? The dissertation hasn't been reviewed by Les or the External yet - although its been at FORC for 2 months. I think that the Empirical Chapter is probably the one which would be of most relevance to both our company's businesses - although I ultimately didn't have the time to 'explicitly' price the jump risk-premium which I conjectured is possibly implicit in the prices of exchange-traded electricity futures-options - rather I developed an implicit estimation procedure which will enable a rough assessment (with a little bit of further work, but not too much) be made of the price of jump risk in wholesale power markets. In other words, I assumed spot jump-risk to be undiversifiable, and essentially devoted 2 Theoretical Chapters to : 1) proving that a jump-diffusion trading model is "incomplete" (synthesising the securities markets framework with martingale representation theory) - note that I did not assume that markets could be dynamically completed with 'term structure' securities as in the HJM w/ jumps papers of Shirakawa and Das and; 2) deriving an explicit risk-adjustment process for 'implementing' the price of jump-risk using a jump-diffusion marginal indirect utility of wealth process (ie. a jump-augmented production economy approach in the spirit of CIR, Bates, Ahn & Thompson). Incidentally, I would be keen to find out if you or any of your team done much work on real-asset valuations in a spark-spread option-valuation framework ? I'm about to start a project evaluation of embedded optionality, and have a dilemna whether I should model the spot or forward gas / power price processes. With the former, I can model mean-reversion and jumps explicitly (obviously, important for capturing the optionality of out-of-the-money plant, which might otherwise be ignored in a pure-diffusion framework) but am not maximising the informational content of the available market data (that is, assuming there was a long-term market forward curve for electricity); whereas in the latter the driftless forward supposition means that I have to capture mean-reversion via the futures volatility function, and jumps are less easy to calibrate. Any suggestions ? Regards Bernard -----Original Message----- From: Vince.J.Kaminski@enron.com [mailto:Vince.J.Kaminski@enron.com] Sent: 01 March 2001 14:54 To: Murphy, Bernard Cc: Shirley.Crenshaw@enron.com; Vince.J.Kaminski@enron.com Subject: Re: 1997 Risk paper on Pricing of Electricity Derivatives Bernard, I am forwarding your message to my assistant and she will mail you a reprint. I would be glad to take a look at your dissertation. Is it available as a publication, working paper? Vince "Murphy, Bernard" <Bernard.Murphy@caminus.com< on 03/01/2001 02:17:39 AM To: "'Vince.J.Kaminski@enron.com'" <Vince.J.Kaminski@enron.com< cc: Subject: 1997 Risk paper on Pricing of Electricity Derivatives 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
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