text: Bernard,
  
  My coordinates:
  
  Vincent Kaminski
  Managing Director - Research
  Enron Corp.
  1400 Smith Street
  Room EB1962
  Houston, TX 77002-7361
  
  Phone: (713) 853 3848
   (713) 410 5396 (cell)
  Fax  :  (713) 646 2503
  E-mail: vkamins@enron.com
  
  Yes, we are going into a very interesting summer both here and in the UK. 
  
  
  Vince
  
  
  
  
  
  
  "Murphy, Bernard" <Bernard.Murphy@caminus.com> on 03/27/2001 01:23:04 AM
  To: "'Vince.J.Kaminski@enron.com'" <Vince.J.Kaminski@enron.com>
  cc:  
  Subject: RE: Thesis on Electricity Price Jump-Diffusions
  
  
  Hi Vince,
  
  Can you e-mail me your mailing address in Houston and I will send you a hard
  copy of the above today.  Apologies for delay, but I wanted to ensure that
  Les Clewlow had received his copy in Sydney before distributing any other
  copies.
  
  Incidentally, today (March 27th) is a red letter day in the UK as the NETA /
  new electricity trading arrangements have gone 'live'.  Should be
  interesting to observe the development of the paper market in the coming
  months - you're no doubt aware that IPE have just launched an electricity
  futures contract.
  
  Regards
  
  Bernard
  
  
  
  
  
  -----Original Message-----
  From: Vince.J.Kaminski@enron.com [mailto:Vince.J.Kaminski@enron.com]
  Sent: 01 March 2001 15:37
  To: Murphy, Bernard
  Cc: vkaminski@aol.com; Vince.J.Kaminski@enron.com
  Subject: RE: 1997 Risk paper on Pricing of Electricity Derivatives
  
  
  
  Bernard,
  
  Yes, I can  read a DVI file. You can also  cc
  my home address: Vkaminski@aol.com. I shall
  try to send you an answer to your question on weekend.
  
  Vince
  
  
  
  
  
  "Murphy, Bernard" <Bernard.Murphy@caminus.com> on 03/01/2001 09:18:58 AM
  
  To:   "'Vince.J.Kaminski@enron.com'" <Vince.J.Kaminski@enron.com>
  cc:
  Subject:  RE: 1997 Risk paper on Pricing of Electricity Derivatives
  
  
  Vince,
  
  I can send you a Scientific Word DVI file (at the weekend) if you can read
  SCientific Word files ?  The dissertation hasn't been reviewed by Les or
  the
  External yet - although its been at FORC for 2 months. I think that the
  Empirical Chapter is probably the one which would be of most relevance to
  both our company's businesses - although I ultimately didn't have the time
  to 'explicitly' price the jump risk-premium which I conjectured is possibly
  implicit in the prices of exchange-traded electricity futures-options -
  rather I developed an implicit estimation procedure which will enable a
  rough assessment (with a little bit of further work, but not too much) be
  made of the price of jump risk in wholesale power markets.
  
  In other words, I assumed spot jump-risk to be undiversifiable, and
  essentially devoted 2 Theoretical Chapters to :
  
  1) proving that a jump-diffusion trading model is "incomplete"
  (synthesising
  the securities markets framework with martingale representation theory) -
  note that I did not assume that markets could be dynamically completed with
  'term structure' securities as in the HJM w/ jumps papers of Shirakawa and
  Das and;
  
  2) deriving an explicit risk-adjustment process for 'implementing' the
  price
  of jump-risk using a jump-diffusion marginal indirect utility of wealth
  process (ie. a jump-augmented production economy approach in the spirit of
  CIR, Bates, Ahn & Thompson).
  
  
  Incidentally, I would be keen to find out if you or any of your team done
  much work on real-asset valuations in a spark-spread option-valuation
  framework ?  I'm about to start a project evaluation of embedded
  optionality, and have a dilemna whether I should model the spot or forward
  gas / power price processes.  With the former, I can model mean-reversion
  and jumps explicitly (obviously, important for capturing the optionality of
  out-of-the-money plant, which might otherwise be ignored in a
  pure-diffusion
  framework) but am not maximising the informational content of the available
  market data (that is, assuming there was a long-term market forward curve
  for electricity); whereas in the latter the driftless forward supposition
  means that I have to capture mean-reversion via the futures volatility
  function, and jumps are less easy to calibrate.  Any suggestions ?
  
  Regards
  
  
  Bernard
  
  
  
  
  
  -----Original Message-----
  From: Vince.J.Kaminski@enron.com [mailto:Vince.J.Kaminski@enron.com]
  Sent: 01 March 2001 14:54
  To: Murphy, Bernard
  Cc: Shirley.Crenshaw@enron.com; Vince.J.Kaminski@enron.com
  Subject: Re: 1997 Risk paper on Pricing of Electricity Derivatives
  
  
  
  Bernard,
  
  I am forwarding your message to my assistant and she will mail you a
  reprint.
  I would be glad to take a look at your dissertation. Is it available as a
  publication, working paper?
  
  Vince
  
  
  
  
  
  "Murphy, Bernard" <Bernard.Murphy@caminus.com> on 03/01/2001 02:17:39 AM
  
  To:   "'Vince.J.Kaminski@enron.com'" <Vince.J.Kaminski@enron.com>
  cc:
  Subject:  1997 Risk paper on Pricing of Electricity Derivatives
  
  
  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