Message-ID: <25714843.1075856611540.JavaMail.evans@thyme>
Date: Mon, 7 May 2001 06:39:00 -0700 (PDT)
From: zimin.lu@enron.com
To: stinson.gibner@enron.com
Subject: 1 factor HJM for the propane project
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
X-From: Zimin Lu
X-To: Stinson Gibner
X-cc: 
X-bcc: 
X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Notes inbox
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

Stinson,

Here is the 1 factor HJM model for curve simulation originally designed for
a Coal Plant valuation.

This techniques is useful for all kinds of curves, especially when we 
do not have the quality data to estimate other factors. (situations where
only volatility curve is availiable).

Let me know if you have any questions.

Zimin