re : maths course 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 " on 04 / 13 / 2000 01 : 00 : 18 pm
please respond to " vicky windsor "
to :
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
re : maths course
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 " on 04 / 13 / 2000 01 : 00 : 18 pm
please respond to " vicky windsor "
to :
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