Message-ID: <10200132.1075856626946.JavaMail.evans@thyme> Date: Wed, 11 Apr 2001 08:22:00 -0700 (PDT) From: vince.kaminski@enron.com To: isranir@rice.edu, demianen@rice.edu, tbal93@yahoo.com, maue@rice.edu, loughrid@rice.edu, jblantonjr@yahoo.com, gjohnson@rice.edu, emchombo@rice.edu, nazareth@rice.edu, vanstone@rice.edu, ganguzza@rice.edu, nelsonb@rice.edu, sssmith@rice.edu, wheelock@rice.edu, westmore@rice.edu, gaudette@rice.edu, otaylor@rice.edu, dikeman@rice.edu, jettke@rice.edu, litton@rice.edu, chilkina@rice.edu, helms@rice.edu, wankhade@rice.edu, monfan@rice.edu, kostya@rice.edu, pcp@rice.edu, yueguo@rice.edu, nlwbio@rice.edu, zhangn@rice.edu, rishad@rice.edu, yoshiura@rice.edu, howard@rice.edu, dayangd@rice.edu, wuwei@rice.edu, so@rice.edu, wooddy@rice.edu, lamas@rice.edu, tbalestrery@houston.rr.com, hingoran@rice.edu, planck@rice.edu Subject: Term Project: Cc: vkaminski@aol.com, vince.kaminski@enron.com, jason.sokolov@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: vkaminski@aol.com, vince.kaminski@enron.com, jason.sokolov@enron.com X-From: Vince J Kaminski X-To: isranir@rice.edu, demianen@rice.edu, tbal93@yahoo.com, maue@rice.edu, loughrid@rice.edu, jblantonjr@yahoo.com, gjohnson@rice.edu, emchombo@rice.edu, nazareth@rice.edu, vanstone@rice.edu, ganguzza@rice.edu, nelsonb@rice.edu, sssmith@rice.edu, wheelock@rice.edu, westmore@rice.edu, gaudette@rice.edu, otaylor@rice.edu, dikeman@rice.edu, jettke@rice.edu, litton@rice.edu, chilkina@rice.edu, helms@rice.edu, wankhade@rice.edu, monfan@rice.edu, kostya@rice.edu, pcp@rice.edu, yueguo@rice.edu, nlwbio@rice.edu, zhangn@rice.edu, rishad@rice.edu, yoshiura@rice.edu, howard@rice.edu, dayangd@rice.edu, wuwei@rice.edu, so@rice.edu, wooddy@rice.edu, lamas@rice.edu, tbalestrery@houston.rr.com, hingoran@rice.edu, planck@rice.edu X-cc: vkaminski@aol.com, Vince J Kaminski, Jason Sokolov X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Rice X-Origin: Kaminski-V X-FileName: vkamins.nsf This is the list of projects for the members of the "quant" team. If you are working on different project, please, ignore this message. Please, develop in a spreadsheet solutions/examples for the following: 1. Black-Scholes formula 2. Black's formula 3. Develop a spreadsheet to simulate price trajectory using: a. GBM b. GBM + jump (Formula 2.16 in the book, Figure 2.7) c. Mean reversion + jump (Formula 2.17, Figure 2.8) 4. Schwartz Single Factor Model (Formula 6.12) 5. Develop models corresponding to the Figures 7.1, 7.3, 7.5, 7.6, 7.8 Vince