|
|
Enron Mail |
Marcus,
I have this paper buried at home among other electricity related papers. I shall look for it this weekend. Vince Marcus Jagdeo@ENRON 03/30/2001 09:05 AM To: Vince J Kaminski/HOU/ECT@ECT cc: Subject: Pricing Power Derivatives Hi Vince, It was a pleasure meeting you during your visit to London. I hope that all is well with you. Steve, Sharad, Slava and myself sat down today with my PhD supervisor to more or less concrete what my thesis will be based on. To start off, I will be working on a price process for power that is tied to the stack model. I imagine that later on we will be pricing power derivatives off of this or modifications of it. Steve has recommended a good paper - "Pricing Power Derivatives" by Geman and Eydeland. I will be implementing their model as that would be a very good departure for me and might also prove to be useful to Enron. The only unfortunate thing is that we are unable to locate the paper. With this in mind, I thought that you might have a copy readily available. Steve and I will continue to look but any assistance would be greatly appreciated. Thanks in advance and take care. Best regards, Marcus
|