Enron Mail

From:vkaminski@aol.com
To:pbristow@riskwaters.com
Subject:Vince Kaminski Bullet Points
Cc:vkaminski@aol.com, vkamins@enron.com
Bcc:vkaminski@aol.com, vkamins@enron.com
Date:Mon, 22 Jan 2001 03:43:00 -0800 (PST)

* Definition of Price Volatility
* Historical vs. implied vs. model derived volatility
* Estimation of volatility from historical data in the presence of
??????- seasonality
??????- jumps
??????- fat tails
* Stochastic volatility models
* Recent cases of extreme price volatility in the power markets in the US:
the causes and remedies