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 " on 03 / 01 / 2001 09 : 18 : 58 am
to : " ' 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 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 " on 03 / 01 / 2001 02 : 17 : 39 am
to : " ' 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