Message-ID: <28736225.1075840787586.JavaMail.evans@thyme>
Date: Thu, 19 Apr 2001 12:55:00 -0700 (PDT)
From: demianen@hydrant.ruf.rice.edu
To: vince.j.kaminski@enron.com
Subject: RE: Term Project:
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X-From: Helen Demianenko  <demianen@hydrant.ruf.rice.edu>
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Please respond to Dear Vince,

I was wondering if you were able to open the attachment with my resume this
time. Rumor has it that you are currently hiring people for your group. Is
this true?

Sincerely,
Helen




-----Original Message-----
From: Vince.J.Kaminski@enron.com [mailto:Vince.J.Kaminski@enron.com]
Sent: Wednesday, April 11, 2001 3:22 PM
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Cc: vkaminski@aol.com; Vince.J.Kaminski@enron.com;
Jason.Sokolov@enron.com
Subject: Term Project:


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