Message-ID: <10088663.1075856566783.JavaMail.evans@thyme> Date: Tue, 25 Jul 2000 11:07:00 -0700 (PDT) From: chris@lacima.co.uk To: grant.masson@enron.com Subject: Re: corrections to Chap. 3 from Grant Masson Cc: vince.j.kaminski@enron.com, les@lacima.co.uk, julie@lacima.co.uk Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: vince.j.kaminski@enron.com, les@lacima.co.uk, julie@lacima.co.uk X-From: "Chris Strickland" X-To: "Grant Masson" X-cc: "VinceJKaminski" , "Les" , "Julie" X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Australia X-Origin: Kaminski-V X-FileName: vkamins.nsf Grant, Thanks for that. I hope you had a good holiday - we were all very jealous of you at dinner the other evening. I made some changes for it to fit in with our notation, etc, but apart from that its a fin piece of work. If you could just answer the questions posed by Vince, and send me the final figure then we are a go (all of ours are now finished). Would you be happy with the following? 3.5 Summary In this chapter we have discussed volatility modelling and estimation in the energy commodity markets, emphasising the difference between this market and financial markets. We discuss the estimation of volatility from both historical and implied data, again from the perspective of the energy user. We further discussed a number of stochastic volatility models and have shown how to estimate the models via ordinary least squares and maximum likelihood. We have tested our estimation techniques on a number of examples drawn from energy markets including electricity, gas and crude oil. Best regards. Chris. ----- Original Message ----- From: Grant Masson To: Chris Strickland Sent: Tuesday, July 25, 2000 9:08 AM Subject: Re: corrections to Chap. 3 from Grant Masson > > > Chris: > > I understand from Vince that Ronnie did not send you anything. Apologies for > that. I will get the last section rewritten quickly and off to you within the > next couple of days. Sorry that this has taken so long, and frankly, apologies > for the poor quality of my bit. If you have any suggestions on how to improve > it, please let me. Likewise, I hope that you will make changes as you see fit > to improve and clarify things. > > Regards, > Grant. > > >