Message-ID: <2761061.1075856516060.JavaMail.evans@thyme>
Date: Tue, 6 Mar 2001 01:31:00 -0800 (PST)
From: vince.kaminski@enron.com
To: zimin.lu@enron.com
Subject: A Request
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X-From: Vince J Kaminski
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Zimin,

It seems that the academia is catching up.
Do you have a realistic case we can show them?
Something generic.

Vince

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 03/06/2001 
09:31 AM ---------------------------


ds64@cyrus.andrew.cmu.edu on 03/02/2001 09:39:43 AM
To: "Vince J Kaminski" <Vince.J.Kaminski@enron.com>
cc:  
Subject: A Request


Vince,

I am writing to ask for your help with some research I am doing with John
Lehoczky and a PhD student.  We trying to apply recent advances in Monte
Carlo for American options to value Swing and other options with multiple
early exercise decisions that are important in energy markets.  I know in
general that early exercise shows up in a wide range of energy contracts,
both real as welll as financial.  Would it be possible for you, either via
email or on the phone, to give us some examples of typical terms for such
instruments?  We would like our examples to look realistic.  We also want to
make sure we are focusing on the right sorts of optionality.

Thanks in advance,
Duane

********
Duane Seppi

Graduate School of Industrial Administration
Carnegie Mellon University
Pittsburgh PA  15213-3890

tel. (412) 268-2298
fax (412) 268-8896

email ds64+@andrew.cmu.edu