Message-ID: <6872658.1075856577927.JavaMail.evans@thyme>
Date: Tue, 5 Dec 2000 02:22:00 -0800 (PST)
From: michael.schilmoeller@enron.com
To: vince.kaminski@enron.com
Subject: Derivative Classes
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X-From: Michael SCHILMOELLER
X-To: Vince J Kaminski
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I discovered that Clewlow and Strickland have at least two books,
"Implementing Derivative Models," and "Exotic Options."  I gather that "Exotic
Options" is the one you intend to use in your class, correct?

By the way, I queried participants in my class, and I heard that the case
study approach we occaisionally used was appreciated by several.  The VAR
class I taught was from Jorian's book, which has no exercises and which
assumes a particular background in finance and statistics.  I created a
problem (not exactly a case study) that required participant to learn some
statistics and try some different approaches.  From this, participants got a
better idea of why one bothers with certain issues.  Some liked the "real
world" flavor of this kind of approach.  (Without the case approach, you could
provide good counterexampes as a partial remedy.)

Best regards and Season's Greetings,
Michael