Message-ID: <8464154.1075856944282.JavaMail.evans@thyme> Date: Tue, 8 Feb 2000 07:45:00 -0800 (PST) From: vince.kaminski@enron.com To: james.steffes@enron.com Subject: Re: POWER Working Paper Email Notification Service (PWPENS) Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Vince J Kaminski X-To: James D Steffes X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_8\Notes Folders\Sent X-Origin: Kaminski-V X-FileName: vkamins.nsf Jim, I know the author but thanks for the lead. Vince James D Steffes@EES 02/08/2000 11:41 AM To: Vince J Kaminski/HOU/ECT@ECT cc: Subject: POWER Working Paper Email Notification Service (PWPENS) Vince -- FYI. Not sure if you had seen this. Jim Steffes ---------------------- Forwarded by James D Steffes/HOU/EES on 02/08/2000 11:39 AM --------------------------- UC Energy on 02/07/2000 11:20:29 AM To: (Recipient list suppressed) cc: Subject: POWER Working Paper Email Notification Service (PWPENS) _________________________________________________________________ N E W P O W E R W O R K I N G P A P E R Working Paper Series of UCEI _________________________________________________________________ POWER Working Paper Email Notification Service (PWPENS) A service of The University of California Energy Institute's Program on Workable Energy Regulation (POWER). All POWER working papers can be downloaded free of charge from the UCEI website: http://www.ucei.berkeley.edu/ucei Just follow the link to "POWER Research". ________________________________________ "Exotic Options for Interruptible Electricity Supply Contracts" (February 2000) PWP-071 by Rajnish Kamat and Shmuel S. Oren. This paper presents the design and pricing of financial contracts for the supply and procurement of interruptible electricity service. The proposed contracts consist of bundling simple forwards with exotic call options that have two exercise points with different strike prices. Such options allow hedging and valuation of supply curtailment risk while explicitly accounting for the notification lead time before curtailment. The proposed instruments are priced under the traditional GBM price process assumption and under the more realistic assumption of a mean reverting price process with jump diffusion. The latter results employ state of the art Fourier transforms techniques. Download this paper in Adobe Acrobat format: http://www.ucei.berkeley.edu/ucei/PDF/pwp071.pdf ________________________________________ If you would like to be removed from this list, please send an email to Mailto:ucenergy@socrates.berkeley.edu and include UNSUBSCRIBE in the subject heading. If you received this email indirectly and would like to be added to this emailing list, please send an email to Mailto:ucenergy@socrates.berkeley.edu and include SUBSCRIBE in the subject heading.