Message-ID: <1919370.1075856632947.JavaMail.evans@thyme> Date: Thu, 1 Mar 2001 00:17:00 -0800 (PST) From: bernard.murphy@caminus.com To: vince.j.kaminski@enron.com Subject: 1997 Risk paper on Pricing of Electricity Derivatives Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: "Murphy, Bernard" X-To: "'Vince.J.Kaminski@enron.com'" X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Universities X-Origin: Kaminski-V X-FileName: vkamins.nsf Hello Vince, My name is Bernard Murphy - I received your e-mail address from Les Clewlow, who was my PhD supervisor at the Financia Options Research Centre at Warwick Business School. I've just finished my PhD on Electricity Price Jump Diffusions : A Theoretical and Empirical Study in Incomplete Markets - hence my interest in electricity price modelling and derivative pricing. I was looking to get hold of a copy of your 1997 paper, which has recently come to my attention : "The Challenge of Pricing & Risk-Managing Electricity Derivatives", The US POwer Market, Risk Publications, pp. 149-171. and Les suggested that I contact you directly (Les is travelling at present and doesn't have an electronic copy available) to request an e-copy. Incidentally, I am Lecturer in Finance / Financial Mathematics at University of Limerick (Ireland) and have taken a year out to work for Caminus UK, where I am working on introducing and developing a markets-based approach (spark-spread) to real asset valuations in the UK power industry. Thanks in advancve Bernard Murphy