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Enron Mail |
Cc: vince.kaminski@enron.com, shirley.crenshaw@enron.com
Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: vince.kaminski@enron.com, shirley.crenshaw@enron.com X-From: Vince J Kaminski X-To: ronh@informationforecast.com X-cc: Vince J Kaminski, Shirley Crenshaw X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_6\Notes Folders\All documents X-Origin: Kaminski-V X-FileName: vkamins.nsf Ron, I am sorry to inform you that due to a scheduling conflict I cannot speak at this conference. I want to thank you for considering me as a speaker. Vince Kaminski "Ron Henderson" <ronh@informationforecast.com< on 12/30/99 06:57:05 PM Please respond to ronh@informationforecast.com To: Vince J Kaminski/HOU/ECT@ECT cc: Subject: Invitation to Speak at Infocast's upcoming "Market Price Volatility" program Hi Vince, I would like to invite you, or one of your staff, to be a speaker at Infocast's upcoming conference "Market Price Volatility: How to Model, Assess, and Manage Price Volatility in Today's Power Markets," scheduled for May 10-12, 2000, in Chicago. I am attaching a copy of the draft program agenda for your review. As you may note, we wish to take our recent Houston meeting a step farther by making this next session a more technically-oriented meeting. There are two spots you may wish to consider: 1. The session entitled "Case Study in Modeling Volatility," scheduled for Wednesday, May 10th, from 3:30 to 5:00 pm. You will note below, what we had in mind for the case study. 2. The talk "A Real Options Approach to Asset Valuation," scheduled for Thursday, May 11th, from 10:30 am to 12:00 pm. I am running behind schedule in finalizing this program, so I will give you a call shortly to follow up with you. If you wish, please feel free to call me at 818-888-4445 ext. 28. I hope you can join us. Ron Henderson Infocast 818-888-4445 ext. 28 ronh@informationforecast.com CASE STUDY GUIDELINES 1. Model should be for a particular market. Examples: PJM, Chicago, ECAR, Southern California. 1B (optional). Model should be for a particular purpose. Examples: valuing a new combustion turbine at the Florida/Georgia border, bidding on a portfolio of power plants up for sale in NEPOOL, valuing a retail portfolio in Pennsylvania. 2. Model should be estimated on a particular data set. Examples: daily NYMEX close prices for Palo Verde, PJM hourly spot prices for 1998-1999. 3. Case study should describe several candidate models, for volatility and/or market price, that were considered. Case study should discuss why these models were considered. Candidate models should be described mathematically and verbally. 4. Evaluation criteria for choosing among the models should be explicitly identified, and quantified to the extent possible. Examples of evaluation criteria: residuals that are not autorcorrelated, stationarity, R-squared, Akaike information criterion. 5. Parameter estimates for each candidate model should be displayed. The estimation procedure employed should be briefly described. 6. Some diagnostics of model fit (vis-a-vis data set) should be presented. 7. If possible, predictive power of model should be assessed. Generally, the case study should include all of the items above. The case study may include other things. - Draft Agenda v.2.doc
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