Subject: Re: Maths course
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Fri, 14 Apr 2000 01:12:00 -0700 (PDT)

Vicky,

My affiliation is Enron Corp. My assistant, Shirley Crenshaw, will send you 
an updated version of my bio.
Here are the bullet points:

PRACTICAL TECHNIQUES TO PRICE EXOTIC ENERGY  OPTIONS

Definition of an exotic option
 - pay-off profile
 - price process assumptions
 - different sources of risk

Different types of exotic options used in the energy industry
 - Asian options
 - spread options
 - basket options
 - swing options

Evaluating methodologies for pricing  exotics
???  - assessing the pros and cons  of different techniques
  - approximations of closed-form formulas
  - Monte Carlo techniques
  - trees
  - numerical solutions of PDEs
???  - applying multi-factor models  to price exotic energy derivatives
???  - building trees for pricing  and hedging exotics

Practical examples
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ANALYSING APPROACHES TO WEATHER DERIVATIVES  VALUATION
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Definition of a weather derivative

Why does energy industry need weather derivatives?
 - hedging volume/price  risk as opposed to hedging exclusively price risk
 - the energy industry's exposure to weather: numerical estimates

Different types of weather derivatives used in the energy industry
???  - heating and cooling degree day  swaps and options
???  - precipitation contracts
 - hurricane contracts
 - financial options contingent on weather
 - digital options

Valuation controversy: actuarial valuation vs. valuation based on the 
Black-Scholes paradigm

Use of Monte Carlo techniques in valuation of weather derivatives

Valuing long term transactions

Practical example

Please, feel free to edit my bullet points to improve my English.

It was a  pleasure working with you and I hope our roads will cross at some 
point.
The best of luck to you.

Vince

"Vicky Windsor" <[email-masked]> on 04/13/2000 01:00:18 PM
Please respond to "Vicky Windsor" <[email-masked]>
To: <[email-masked]>
cc:  
Subject: Maths course

Dear Vince,
?
I just wondered whether you have had chance to  look at your bullet points 
and bio for the maths course. If so please could  could email them to me as 
soon as possible. Could you also let me know whether  your company 
affiliation should now be Enron North America.
?
Thanks Vince and best regards,
?
Vicky