Message-ID: <11260074.1075863444338.JavaMail.evans@thyme> Date: Fri, 17 Aug 2001 07:38:53 -0700 (PDT) From: alpha-@caramail.com To: j.kaminski@enron.com Subject: MRHV Model (power curve) Mime-Version: 1.0 Content-Type: text/plain; charset=ANSI_X3.4-1968 Content-Transfer-Encoding: 7bit X-From: Sylvain Joret @ENRON X-To: Kaminski, Vince J X-cc: X-bcc: X-Folder: \VKAMINS (Non-Privileged)\Kaminski, Vince J\Inbox X-Origin: Kaminski-V X-FileName: VKAMINS (Non-Privileged).pst Dear Vince J Kaminski, As a Mathematical Trading and Finance MSc student (City University London) I am writing my dissertation on "power forward curves". Since you have participated in the writing of the book "Managing Energy Price" I was wondering if you could eventually help me. The MRHV model seams to be the best econometric one to model the electricity forward curve. I understand and know how to work out with the classic Mean Reverting Process, but I don't understand the MRHV (I don't know the discretised form and I cannot even find any paper, or article on it) and how to get rid of the exponent to estimate my parameters (long-run mean, Speed of mean reversion, volatility, exponent, Floor price). Thank you by advance for any help Yours sincerely Sylvain Joret ______________________________________________________ Bo?te aux lettres - Caramail - http://www.caramail.com