re : energy derivative courses fyi
- - - - - - - - - - - - - - - - - - - - - - forwarded by shirley crenshaw / hou / ect on 03 / 10 / 2000
07 : 10 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
shirley crenshaw
03 / 10 / 2000 07 : 06 am
to : lacima @ enron
cc :
subject : re : energy derivative courses
hi julie :
here is the information you requested :
name : vince kaminski
title : managing director and head of research
company : enron corp .
address : 1400 smith street - ebl 962
houston , tx 77002
telephone : ( 713 ) 853 - 3848 ( vince ) - ( 713 ) 853 - 5290 ( shirley )
fax : ( 713 ) 646 - 2503
if you need anything else , please let me know .
thanks and have a great day !
shirley
administrative coordinator
enron corp . research
lacima @ compuserve . com > on 03 / 09 / 2000 04 : 09 : 20 pm
to : enron
cc :
subject : energy derivative courses
dear shriley ,
thank you for registering vince kaminski for the energy courses to be held in
houston ,
29 - 31 march .
to complete the registration , could you please provide and confirm the
following details :
name : vince kaminski
position :
company : enron corporate research
address :
phone : 713 / 853 - 5290
fax :
we will invoice you for the course fees , and upon payment , we will forward
the pre - course
reading material via email .
the course will be held at the hyatt in downtown houston .
please contact me if you require additional information .
sincerely ,
julie brennan
lacima consultants
- - - - - - - - - - - - - forwarded message - - - - - - - - - - - - - - - - -
from : " shirley crenshaw " , internet : shirley . crenshaw @ enron . com
to : [ unknown ] , chris _ strickland
date : 3 / 8 / 100 5 : 20 pm
re : energy derivative courses
good afternoon professor strickland :
please register vince kaminski for both the energy derivatives : pricing
and risk management course and the v @ r course , scheduled for
march 29 , 30 and 31 st .
please forward method of payment preferred .
thank you very much .
shirley crenshaw
administrative coordinator
enron corp . research
713 / 853 - 5290
- - - - - - - - - - - - - - - - - - - - - - forwarded by shirley crenshaw / hou / ect on 03 / 08 / 2000
04 : 18
pm - - - - - - - - - - - - - - - - - - - - - - - - - - -
vince j kaminski
03 / 08 / 2000 10 : 02 am
to : shirley crenshaw / hou / ect @ ect
cc :
subject : energy derivative courses
shirley ,
please , enroll me in this course .
vince
- - - - - - - - - - - - - - - - - - - - - - forwarded by vince j kaminski / hou / ect on 03 / 08 / 2000
10 : 02
am - - - - - - - - - - - - - - - - - - - - - - - - - - -
chris strickland on 03 / 07 / 2000 12 : 20 : 40 pm
to : vince j kaminski / hou / ect @ ect , grant masson
cc :
subject : energy derivative courses
dear vince / grant ,
it was good to meet and talk with you both this morning - very interesting .
here are the details of the course ( actually there are two seperate
courses , one on var ) that i promised you .
i hope to see you both again later in the month .
best regards .
chris .
course 1 : energy derivatives : pricing and risk management
-
course leaders : dr les clewlow and dr chris strickland
houston : 29 - 30 march 2000
london : 3 - 4 april 2000
fee : stg 1950 / usd 2950
this is an intermediate course aimed at the energy professional who is
familiar with energy derivative products but who requires the mathematical
foundations of derivative pricing and an understanding of the pricing and
risk management of energy derivatives .
this course assumes that participants are familiar with standard basic
option pricing theory ( the black - scholes formula , monte carlo simulation ,
and the use of binomial trees for option pricing ) .
the format for the course will follow our usual highly practical and
successful style of alternate sessions of lectures and excel based computer
workshops . to facilitate intensive interaction , the course will be limited
to a maximum of 15 participants so early booking is advisable .
the excel based computer workshops deal with oil and gas as well as
electricity derivatives and contain detailed calculations for pricing and
risk management . at the end of the 2 days , participants leave with a
diskette containing answers to all the workshops as well as valuable code
for pricing and simulation .
registration fee includes : pre - course reading , course materials , copies of
relevant research materials , diskette with fully worked solutions to
computer workshops , lunch and refreshments . additionally , each attendee
will receive a free copy of clewlow and strickland ' s forthcoming book
" energy derivatives : pricing and risk management " which includes
valuable contributions from enron ' s vince kaminski and grant masson .
upon registration , participants will be sent a pack containing relevant
pre - course reading .
course outline
day 1 , am : introduction to energy derivatives modelling
energy derivatives - structures and applications
fundamentals of modeling and pricing
analysing energy data
spot price behaviour
building forward curves - assessing available models
the relationship between the spot price and forward curve dynamics
workshop : analysing the properties of energy data - mean reversion ,
volatility structures , jumps
day 1 , pm : spot price models and pricing by simulation and trees
review of spot price models
the pros and cons of spot price models
pricing standard options , swaptions , caps , floors , and collars
simulation for spot price models
pricing exotic options ( barriers , lookbacks , asians , etc . )
building and using trees for energy derivatives
building trees consistent with the forward curve
pricing options in trees
workshop : using simulation and trinomial trees to price energy
derivatives
day 2 , am : forward curve based models
forward curve dynamics and forward curve models
the relationship to spot price dynamics
multi - factor forward curve models
volatility function interpretation and estimation
pricing standard energy options
pricing energy swaptions
pricing energy exotics using simulation
workshop : using simulation to implement multi - factor models and price
energy options
day 2 , pm : risk management of energy derivatives
energy market risk and hedging
computing hedge sensitivities
determining the hedge instruments
hedging a energy derivatives book
value - at - risk in energy markets - the pros and cons of the approaches
credit risk in energy markets - issues and models
workshop : hedging an energy portfolio
please feel free to e - mail us to register for this course and we will
contact you regarding payment .
course 2 : var for energy markets
course leaders : dr les clewlow and dr chris strickland
houston : 31 march 2000
london : 5 april 2000
fee : stg 950 / usd 1950
this is an intermediate course aimed at the energy professional who is
familiar with energy derivative products but who requires an understanding
of the theory and calculation of value at risk for energy derivative
portfolios .
the format for the course will follow our usual highly practical and
successful style of alternate sessions of lectures and excel based computer
workshops . to facilitate intensive interaction the course will be limited
to a maximum of 15 participants so early booking is advisable .
the excel based computer workshops deal with oil and gas as well as
electricity derivatives . at the end of the course participants leave with a
diskette containing answers to all the workshops as well as valuable code
for pricing and var calculations .
registration fee includes : pre - course reading , course materials , copies of
relevant research materials , diskette with fully worked solutions to
computer workshops , lunch and refreshments . additionally , each attendee
will receive a free copy of clewlow and strickland ' s forthcoming book
" energy derivatives : pricing and risk management " .
upon registration , participants will be sent a pack containing relevant
pre - course reading .
course outline
day 1 , am : understanding the var methodologies and issues
what is var ?
uses of var
types of var methodologies
implications of applying the riskmetrics assumptions in energy markets
delta var , historical simulation
linear and non linear instruments
workshop : applying simple var methodologies in the energy market
day 1 , pm : calculation of energy portfolio var using simulation
modelling the energy forward curve - single and multi - factor
modelling the joint behaviour of different energies simultaneously
calculation of covariances and correlations
incorporating jumps
detailed example var calculation for an energy portfolio
workshop : simulating energy forward curves and calculation of var for an
energy portfolio .
dr . les clewlow and dr chris strickland hold associate research positions
at both the school of finance and economics , university of technology ,
sydney and the financial options research centre , university of warwick ,
uk . together they have over 20 years combined experience in the financial
and energy derivative markets and have published many articles in academic
and trade journals . they are the authors of the book " implementing
derivatives models " ( wiley , 1998 ) and editors of " exotic options : the state
of the art " ( itp , 1998 ) . their forthcoming book , " energy derivatives :
pricing and risk management , " is due to be published during the second
quarter 2000 . currently , their interests are concentrated in the energy
derivatives area , where they have developed a wide range of pricing tools
for electricity options and other energy derivatives .
- - - - - - - - - - - - - - - - - - - - - - - internet header - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
sender : shirley . crenshaw @ enron . com
received : from mailman . enron . com ( mailman . enron . com [ 192 . 152 . 140 . 66 ] )
by spamgaaa . compuserve . com ( 8 . 9 . 3 / 8 . 9 . 3 / sun - 1 . 9 ) with esmtp id raal 8057
for ; wed , 8 mar 2000 17 : 20 : 18 - 0500 ( est )
received : from dservl . ect . enron . com ( dservl . ect . enron . com [ 172 . 16 . 1 . 37 ] )
by mailman . enron . com ( 8 . 8 . 8 / 8 . 8 . 8 / corp - 1 . 03 ) with esmtp id waal 9791
for ; wed , 8 mar 2000 22 : 19 : 39 gmt
received : from notes . ect . enron . com ( notes . ect . enron . com [ 172 . 16 . 4 . 33 ] )
by dservl . ect . enron . com ( 8 . 8 . 8 / 8 . 8 . 8 ) with smtp id qaa 23887
for ; wed , 8 mar 2000 16 : 20 : 16 - 0600 ( cst )
received : by notes . ect . enron . com ( lotus smtp mta v 4 . 6 . 5 ( 863 . 2 5 - 20 - 1999 ) )
id 8625689 c . 007 ab 2 ce ; wed , 8 mar 2000 16 : 20 : 11 - 0600
x - lotus - fromdomain : ect
from : " shirley crenshaw "
to : chris _ strickland @ compuserve . com
message - id :
date : wed , 8 mar 2000 16 : 20 : 09 - 0600
subject : energy derivative courses
mime - version : 1 . 0
content - type : text / plain ; charset = us - ascii
content - disposition : inline
re : energy derivative courses
fyi
- - - - - - - - - - - - - - - - - - - - - - forwarded by shirley crenshaw / hou / ect on 03 / 10 / 2000
07 : 10 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
shirley crenshaw
03 / 10 / 2000 07 : 06 am
to : lacima @ enron
cc :
subject : re : energy derivative courses
hi julie :
here is the information you requested :
name : vince kaminski
title : managing director and head of research
company : enron corp .
address : 1400 smith street - ebl 962
houston , tx 77002
telephone : ( 713 ) 853 - 3848 ( vince ) - ( 713 ) 853 - 5290 ( shirley )
fax : ( 713 ) 646 - 2503
if you need anything else , please let me know .
thanks and have a great day !
shirley
administrative coordinator
enron corp . research
lacima @ compuserve . com > on 03 / 09 / 2000 04 : 09 : 20 pm
to : enron
cc :
subject : energy derivative courses
dear shriley ,
thank you for registering vince kaminski for the energy courses to be held in
houston ,
29 - 31 march .
to complete the registration , could you please provide and confirm the
following details :
name : vince kaminski
position :
company : enron corporate research
address :
phone : 713 / 853 - 5290
fax :
we will invoice you for the course fees , and upon payment , we will forward
the pre - course
reading material via email .
the course will be held at the hyatt in downtown houston .
please contact me if you require additional information .
sincerely ,
julie brennan
lacima consultants
- - - - - - - - - - - - - forwarded message - - - - - - - - - - - - - - - - -
from : " shirley crenshaw " , internet : shirley . crenshaw @ enron . com
to : [ unknown ] , chris _ strickland
date : 3 / 8 / 100 5 : 20 pm
re : energy derivative courses
good afternoon professor strickland :
please register vince kaminski for both the energy derivatives : pricing
and risk management course and the v @ r course , scheduled for
march 29 , 30 and 31 st .
please forward method of payment preferred .
thank you very much .
shirley crenshaw
administrative coordinator
enron corp . research
713 / 853 - 5290
- - - - - - - - - - - - - - - - - - - - - - forwarded by shirley crenshaw / hou / ect on 03 / 08 / 2000
04 : 18
pm - - - - - - - - - - - - - - - - - - - - - - - - - - -
vince j kaminski
03 / 08 / 2000 10 : 02 am
to : shirley crenshaw / hou / ect @ ect
cc :
subject : energy derivative courses
shirley ,
please , enroll me in this course .
vince
- - - - - - - - - - - - - - - - - - - - - - forwarded by vince j kaminski / hou / ect on 03 / 08 / 2000
10 : 02
am - - - - - - - - - - - - - - - - - - - - - - - - - - -
chris strickland on 03 / 07 / 2000 12 : 20 : 40 pm
to : vince j kaminski / hou / ect @ ect , grant masson
cc :
subject : energy derivative courses
dear vince / grant ,
it was good to meet and talk with you both this morning - very interesting .
here are the details of the course ( actually there are two seperate
courses , one on var ) that i promised you .
i hope to see you both again later in the month .
best regards .
chris .
course 1 : energy derivatives : pricing and risk management
-
course leaders : dr les clewlow and dr chris strickland
houston : 29 - 30 march 2000
london : 3 - 4 april 2000
fee : stg 1950 / usd 2950
this is an intermediate course aimed at the energy professional who is
familiar with energy derivative products but who requires the mathematical
foundations of derivative pricing and an understanding of the pricing and
risk management of energy derivatives .
this course assumes that participants are familiar with standard basic
option pricing theory ( the black - scholes formula , monte carlo simulation ,
and the use of binomial trees for option pricing ) .
the format for the course will follow our usual highly practical and
successful style of alternate sessions of lectures and excel based computer
workshops . to facilitate intensive interaction , the course will be limited
to a maximum of 15 participants so early booking is advisable .
the excel based computer workshops deal with oil and gas as well as
electricity derivatives and contain detailed calculations for pricing and
risk management . at the end of the 2 days , participants leave with a
diskette containing answers to all the workshops as well as valuable code
for pricing and simulation .
registration fee includes : pre - course reading , course materials , copies of
relevant research materials , diskette with fully worked solutions to
computer workshops , lunch and refreshments . additionally , each attendee
will receive a free copy of clewlow and strickland ' s forthcoming book
" energy derivatives : pricing and risk management " which includes
valuable contributions from enron ' s vince kaminski and grant masson .
upon registration , participants will be sent a pack containing relevant
pre - course reading .
course outline
day 1 , am : introduction to energy derivatives modelling
energy derivatives - structures and applications
fundamentals of modeling and pricing
analysing energy data
spot price behaviour
building forward curves - assessing available models
the relationship between the spot price and forward curve dynamics
workshop : analysing the properties of energy data - mean reversion ,
volatility structures , jumps
day 1 , pm : spot price models and pricing by simulation and trees
review of spot price models
the pros and cons of spot price models
pricing standard options , swaptions , caps , floors , and collars
simulation for spot price models
pricing exotic options ( barriers , lookbacks , asians , etc . )
building and using trees for energy derivatives
building trees consistent with the forward curve
pricing options in trees
workshop : using simulation and trinomial trees to price energy
derivatives
day 2 , am : forward curve based models
forward curve dynamics and forward curve models
the relationship to spot price dynamics
multi - factor forward curve models
volatility function interpretation and estimation
pricing standard energy options
pricing energy swaptions
pricing energy exotics using simulation
workshop : using simulation to implement multi - factor models and price
energy options
day 2 , pm : risk management of energy derivatives
energy market risk and hedging
computing hedge sensitivities
determining the hedge instruments
hedging a energy derivatives book
value - at - risk in energy markets - the pros and cons of the approaches
credit risk in energy markets - issues and models
workshop : hedging an energy portfolio
please feel free to e - mail us to register for this course and we will
contact you regarding payment .
course 2 : var for energy markets
course leaders : dr les clewlow and dr chris strickland
houston : 31 march 2000
london : 5 april 2000
fee : stg 950 / usd 1950
this is an intermediate course aimed at the energy professional who is
familiar with energy derivative products but who requires an understanding
of the theory and calculation of value at risk for energy derivative
portfolios .
the format for the course will follow our usual highly practical and
successful style of alternate sessions of lectures and excel based computer
workshops . to facilitate intensive interaction the course will be limited
to a maximum of 15 participants so early booking is advisable .
the excel based computer workshops deal with oil and gas as well as
electricity derivatives . at the end of the course participants leave with a
diskette containing answers to all the workshops as well as valuable code
for pricing and var calculations .
registration fee includes : pre - course reading , course materials , copies of
relevant research materials , diskette with fully worked solutions to
computer workshops , lunch and refreshments . additionally , each attendee
will receive a free copy of clewlow and strickland ' s forthcoming book
" energy derivatives : pricing and risk management " .
upon registration , participants will be sent a pack containing relevant
pre - course reading .
course outline
day 1 , am : understanding the var methodologies and issues
what is var ?
uses of var
types of var methodologies
implications of applying the riskmetrics assumptions in energy markets
delta var , historical simulation
linear and non linear instruments
workshop : applying simple var methodologies in the energy market
day 1 , pm : calculation of energy portfolio var using simulation
modelling the energy forward curve - single and multi - factor
modelling the joint behaviour of different energies simultaneously
calculation of covariances and correlations
incorporating jumps
detailed example var calculation for an energy portfolio
workshop : simulating energy forward curves and calculation of var for an
energy portfolio .
dr . les clewlow and dr chris strickland hold associate research positions
at both the school of finance and economics , university of technology ,
sydney and the financial options research centre , university of warwick ,
uk . together they have over 20 years combined experience in the financial
and energy derivative markets and have published many articles in academic
and trade journals . they are the authors of the book " implementing
derivatives models " ( wiley , 1998 ) and editors of " exotic options : the state
of the art " ( itp , 1998 ) . their forthcoming book , " energy derivatives :
pricing and risk management , " is due to be published during the second
quarter 2000 . currently , their interests are concentrated in the energy
derivatives area , where they have developed a wide range of pricing tools
for electricity options and other energy derivatives .
- - - - - - - - - - - - - - - - - - - - - - - internet header - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
sender : shirley . crenshaw @ enron . com
received : from mailman . enron . com ( mailman . enron . com [ 192 . 152 . 140 . 66 ] )
by spamgaaa . compuserve . com ( 8 . 9 . 3 / 8 . 9 . 3 / sun - 1 . 9 ) with esmtp id raal 8057
for ; wed , 8 mar 2000 17 : 20 : 18 - 0500 ( est )
received : from dservl . ect . enron . com ( dservl . ect . enron . com [ 172 . 16 . 1 . 37 ] )
by mailman . enron . com ( 8 . 8 . 8 / 8 . 8 . 8 / corp - 1 . 03 ) with esmtp id waal 9791
for ; wed , 8 mar 2000 22 : 19 : 39 gmt
received : from notes . ect . enron . com ( notes . ect . enron . com [ 172 . 16 . 4 . 33 ] )
by dservl . ect . enron . com ( 8 . 8 . 8 / 8 . 8 . 8 ) with smtp id qaa 23887
for ; wed , 8 mar 2000 16 : 20 : 16 - 0600 ( cst )
received : by notes . ect . enron . com ( lotus smtp mta v 4 . 6 . 5 ( 863 . 2 5 - 20 - 1999 ) )
id 8625689 c . 007 ab 2 ce ; wed , 8 mar 2000 16 : 20 : 11 - 0600
x - lotus - fromdomain : ect
from : " shirley crenshaw "
to : chris _ strickland @ compuserve . com
message - id :
date : wed , 8 mar 2000 16 : 20 : 09 - 0600
subject : energy derivative courses
mime - version : 1 . 0
content - type : text / plain ; charset = us - ascii
content - disposition : inline