re : fw : mtg . scheduled frank ,
regarding simulating power prices in var we might discuss the following items
and show some results :
1 . clustering for power :
- clustering based on historical prices and correlations from them ;
- geographical clustering ;
- flexibility in choosing " core curves " ( based on position size ) ;
2 . jump - diffusion process for intramonth and prompt month :
- parameter estimation from historical data ( do we want to use it ? )
- working out parameters ( jumps frequency , jump size ) as stress scenarios ;
3 . correlations within a cluster and across clusters .
4 . changing correlations estimations ( using fixed contact ' time series ) .
5 . joint estimation of factors for selected regions .
let me know what you think should be in the agenda for this meeting .
regards ,
tanya
from : frank hayden / enron @ enronxgate on 04 / 18 / 2001 03 : 43 pm
to : tanya tamarchenko / hou / ect @ ect
cc :
subject : fw : mtg . scheduled
if you want , i welcome your help in putting together an agenda .
frank
- - - - - original message - - - - -
from : black , tamara jae
sent : wednesday , april 18 , 2001 3 : 32 pm
to : presto , kevin ; davis , mark dana ; sturm , fletcher ; herndon , rogers ; gilbert - smith , doug ; white , stacey ; kaminski , vince ; andrews , naveen ; belden , tim ; gorny , vladimir ; davenport , lacrecia
cc : hayden , frank
subject : mtg . scheduled
please mark your calendar for a meeting with :
frank hayden
reg . value @ risk
april 26 th
3 - 4 pm
rm 3125 b
thanks
tjae black
x 35800
re : fw : mtg . scheduled
frank ,
regarding simulating power prices in var we might discuss the following items
and show some results :
1 . clustering for power :
- clustering based on historical prices and correlations from them ;
- geographical clustering ;
- flexibility in choosing " core curves " ( based on position size ) ;
2 . jump - diffusion process for intramonth and prompt month :
- parameter estimation from historical data ( do we want to use it ? )
- working out parameters ( jumps frequency , jump size ) as stress scenarios ;
3 . correlations within a cluster and across clusters .
4 . changing correlations estimations ( using fixed contact ' time series ) .
5 . joint estimation of factors for selected regions .
let me know what you think should be in the agenda for this meeting .
regards ,
tanya
from : frank hayden / enron @ enronxgate on 04 / 18 / 2001 03 : 43 pm
to : tanya tamarchenko / hou / ect @ ect
cc :
subject : fw : mtg . scheduled
if you want , i welcome your help in putting together an agenda .
frank
- - - - - original message - - - - -
from : black , tamara jae
sent : wednesday , april 18 , 2001 3 : 32 pm
to : presto , kevin ; davis , mark dana ; sturm , fletcher ; herndon , rogers ; gilbert - smith , doug ; white , stacey ; kaminski , vince ; andrews , naveen ; belden , tim ; gorny , vladimir ; davenport , lacrecia
cc : hayden , frank
subject : mtg . scheduled
please mark your calendar for a meeting with :
frank hayden
reg . value @ risk
april 26 th
3 - 4 pm
rm 3125 b
thanks
tjae black
x 35800