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Enron Mail |
Vicky,
My affiliation is Enron Corp. My assistant, Shirley Crenshaw, will send you an updated version of my bio. Here are the bullet points: PRACTICAL TECHNIQUES TO PRICE EXOTIC ENERGY OPTIONS Definition of an exotic option - pay-off profile - price process assumptions - different sources of risk Different types of exotic options used in the energy industry - Asian options - spread options - basket options - swing options Evaluating methodologies for pricing exotics ??? - assessing the pros and cons of different techniques - approximations of closed-form formulas - Monte Carlo techniques - trees - numerical solutions of PDEs ??? - applying multi-factor models to price exotic energy derivatives ??? - building trees for pricing and hedging exotics Practical examples ? ANALYSING APPROACHES TO WEATHER DERIVATIVES VALUATION ? Definition of a weather derivative Why does energy industry need weather derivatives? - hedging volume/price risk as opposed to hedging exclusively price risk - the energy industry's exposure to weather: numerical estimates Different types of weather derivatives used in the energy industry ??? - heating and cooling degree day swaps and options ??? - precipitation contracts - hurricane contracts - financial options contingent on weather - digital options Valuation controversy: actuarial valuation vs. valuation based on the Black-Scholes paradigm Use of Monte Carlo techniques in valuation of weather derivatives Valuing long term transactions Practical example Please, feel free to edit my bullet points to improve my English. It was a pleasure working with you and I hope our roads will cross at some point. The best of luck to you. Vince "Vicky Windsor" <vicki@risk.co.uk< on 04/13/2000 01:00:18 PM Please respond to "Vicky Windsor" <vicki@risk.co.uk< To: <vkamins@enron.com< cc: Subject: Maths course Dear Vince, ? I just wondered whether you have had chance to look at your bullet points and bio for the maths course. If so please could could email them to me as soon as possible. Could you also let me know whether your company affiliation should now be Enron North America. ? Thanks Vince and best regards, ? Vicky
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