Re: hello from london

Zimin,

I have a copy of the article.
I agree with you. The model is
essentially the same (in intentions).

I shall distributed the copy of the paper
to the trades here. It explains
well the logic behind the model and it's
an independent source.

Vince

Zimin Lu
05/30/2000 10:44 AM
To: Vince J Kaminski/HOU/ECT@ECT
cc: Stinson Gibner/HOU/ECT@ECT
Subject: Re: hello from london

Vince,

I got the article. I can make a copy for you when I get back.
The article is pretty much for marketing purpose. My reading
from that paper is as follows:

1. solve optimal exercise bounday using stocastic DP;
2. runing price trajectory to tracking storage level to give average storage
cycling;

Our model addresses the same issues, althrough maybe the implementation is
not quite the same.

I will fax to you if I can find the article here.

Regards,

Zimin

Vince J Kaminski
05/30/2000 09:56 AM
To: Zimin Lu/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT
Subject: Re: hello from london

Zimin,

There was an interesting article on gas storage modeling
by people from Camminus in the March issue
of Energy and Power Risk Management.
Please, see if you can get this article.

Vince

Zimin Lu
05/30/2000 04:59 AM
To: Vince J Kaminski/HOU/ECT@ECT, Stinson Gibner/HOU/ECT@ECT
cc: Anjam Ahmad/LON/ECT@ECT
Subject: hello from london

Vince and Stinson,

I am in the London office this week. Things are quite nice here. My host
Anjam arranged a full itinerary for me.
Tuesday is reserved for Anjam to talk about various subjects including
inflation modeling, power vol curve,
mean reverting price & vol model, and I will talk about the spot and
multi-factor models, XLL. Wednesday, I
will concentrate on the gas storage model with Natasha Danilochkina.
Thursday and Friday I will talk to
Haakan Olafsson, Mark Jones, Anjam, and Natasha about UK gas forward curve
simulation, gas swing model,
and implementation issues of UK virtural storage model. I will give you a
full report when I get back.

It is cold and rainy here in London. It makes me feel sunny and hot Houston
actually is not that bad.

Zimin