Re: vol model

From: Pavel Zadorozhny on 08/31/2000 06:45 PM
To: Grant Masson/HOU/ECT@ECT, Tanya Tamarchenko/HOU/ECT@ECT, Naveen
Andrews/Corp/Enron@ENRON
cc:
Subject: vol model

It's been a while since I put this together. Some assumptions, such as those
about the current VAR methodology may not be correct. But my ideas and the
math involved are hopefully reasonable. Let me know if you have any questions.

Pavel, x34778