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Vince
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I am working systematically through un-answered messages.
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Yes, I shall be delighted to meet your friend.
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Vince
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I spoke with Norma about getting a special reward for Sevil, in lieu of bonus.
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Please, send to Norma the list of projects Sevil worked on.
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Vince
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On behalf of Enron Corp. I would like to invite you to an ALP Project presentation by a group of students of Jesse H. Jones Graduate School of Management, Rice University.
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The students will present the results of a research project regarding electronic trading platforms in the energy industry.
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The presentation will be held on May 7, at 4:00 p.m.
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at Enron, 1400 Smith.
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We would also like to invite you to dinner, following the presentation.
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Vince Kaminski
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Sorry, trying again.
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I probably got a wrong E-mail address and the original message was returned.
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Vince Kaminski
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Dave, I bumped into Andy at a restaurant and reminded him about the conference and told him how much Rice would be delighted to have as a participant/speaker.
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Please, keep trying.
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I think it's you against his wife.
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Vince
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Christie, This is one of the communications regarding Rice CFOs conference.
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Andy requires some gentle persuasion.
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Vince
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More on the CFOs conference.
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Vince
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Christie More on the Rice CFOs conference.
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They want to get Andy Fastow as a speaker/participant.
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Vince
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Bill, I forwarded your message to my associate, Osman Sezgen, who supports our Energy Services group.
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He will E-mail you the name of a contact at Enron.
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Vince Kaminski
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Keith, It was a great pleasure to work you with on this project.
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The entire Enron team was impressed by the quality of the students and commitment of the School to exploring new and creative ways of exposing students to business problems.
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Vince
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FYI Vince
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Shirley, Please, let Rice invitees know.
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Vince
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FYI Vince
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Anne, Vasant sent this information to Norma.
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I shall fwd his message to you.
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Vince
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Julie, I signed the request for a check today.
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Vince
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Joan, Thanks.
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I would appreciate the full report.
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Vince
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Anne, Thanks.
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Vince
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Krishna, Any update on payments to Stanford?
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We can ask for a letter to requesting a donation.
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I would use it as a basis for cutting a check.
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Please, talk to Hill about it.
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Vince
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Howard, Sorry for the delay.
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I shall be able to get back to you next week.
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A very interesting new research idea came up and we have to close a few loops internally.
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Vince
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FYI Vince
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John, Thanks.
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Vince
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Christie, What about the invitation to dinner for Gillis and Whitaker?
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Vince
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Shirley, Paulo and Zimin.
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Vince
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Would you like to attend the presentation and join me for lunch with WEFA.
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Any other suggestions re attendance.
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Please, let Shirley know.
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Vince
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Mike, Thanks for the invitation.
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See you on Friday, April the 27th.
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Vince
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FYI Vince
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David, During today's VaR coordination meeting we had a discussion of issues related to mapping of the forward price curves into core locations.
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Mapping is a necessity dictated by the limitations of the computer system: we have to reduce the dimensionality of the problem to stay within the bounds of available CPU memory.
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Also, in some cases the quality of price discovery is poor and it's difficult to model the price curves independently: we solve the problem by mapping them into more liquid and better behaved core locations curves.
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We have agreed on the following: 1.
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Winston will investigate the IT side and determine to what extent we can increase the number of forward price curves that are simulated as basic (core) curves.
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He will investigate the impact of a larger number of the core curves on the time required to complete the VaR run.
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2.
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The curves associated with the biggest 10-20 positions in each commodity should be modeled as core curves (i.e. no mapping into other locations).
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It makes sense to monitor the biggest risks separately and avoid aggregating them into less transparent aggregates.
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3.
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The results of an automated clustering (mapping) procedures should be systematically monitored by a human and corrected if they misrepresent the risks of the trading positions.
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This responsibility should be vested with one person (right now the responsibility is dispersed through the organization and this means in practice that nobody is responsible).
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Research can allocate one person to this task; cooperation of trading and RAC will be critical.
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Vince
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This is the list of projects for the members of the "quant" team.
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If you are working on different project, please, ignore this message.
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Please, develop in a spreadsheet solutions/examples for the following: 2.
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Black's formula 3.
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Develop a spreadsheet to simulate price trajectory using: a.
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GBM b.
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GBM + jump (Formula 2.16 in the book, Figure 2.7) c.
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Mean reversion + jump (Formula 2.17, Figure 2.8) 4.
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Schwartz Single Factor Model (Formula 6.12) 5.
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Develop models corresponding to the Figures 7.1, 7.3, 7.5, 7.6, 7.8 Vince
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Laura DeShazer OIL & GAS JOURNAL ONLINE; 800.874.1510 phone 918.831.9120 fax
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Any interest?
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Vince
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Osman, Can you help him.
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