re : term project : brian ,
no problem .
vince
" brian corbett nelson " on 04 / 26 / 2001 08 : 15 : 14 pm
please respond to
to :
cc :
subject : re : term project :
vince , i finally joined a team that only had two members . it looks like our
paper will only be about 13 to 15 pages . we were wondering that since our
team is less than half the size of some of the other teams , if you could
possible relax the length requirement ?
thanks ,
brian nelson
- - - - - original message - - - - -
from : vince . j . kaminski @ enron . com [ mailto : vince . j . kaminski @ enron . com ]
sent : wednesday , april 11 , 2001 3 : 54 pm
to : nelsonb @ rice . edu
subject : re : term project :
brian ,
the last class + plus a few days ( depending on when i have
to submit the grades ) .
vince
" brian corbett nelson " on 04 / 11 / 2001
03 : 35 : 14 pm
please respond to
to :
cc :
subject : re : term project :
mr . kaminski ,
i had an interview last thusday in dallas and could not attend class . did
you set a project deadline ?
thanks ,
brian nelson
- - - - - original message - - - - -
from : vince . j . kaminski @ enron . com [ mailto : vince . j . kaminski @ enron . com ]
sent : wednesday , april 11 , 2001 3 : 22 pm
to : isranir @ rice . edu ; demianen @ rice . edu ; tbal 93 @ yahoo . com ;
maue @ rice . edu ; loughrid @ rice . edu ; jblantonjr @ yahoo . com ;
gjohnson @ rice . edu ; emchombo @ rice . edu ; nazareth @ rice . edu ;
vanstone @ rice . edu ; ganguzza @ rice . edu ; nelsonb @ rice . edu ;
sssmith @ rice . edu ; wheelock @ rice . edu ; westmore @ rice . edu ;
gaudette @ rice . edu ; otaylor @ rice . edu ; dikeman @ rice . edu ; jettke @ rice . edu ;
litton @ rice . edu ; chilkina @ rice . edu ; helms @ rice . edu ; wankhade @ rice . edu ;
monfan @ rice . edu ; kostya @ rice . edu ; pcp @ rice . edu ; yueguo @ rice . edu ;
nlwbio @ rice . edu ; zhangn @ rice . edu ; rishad @ rice . edu ; yoshiura @ rice . edu ;
howard @ rice . edu ; dayangd @ rice . edu ; wuwei @ rice . edu ; so @ rice . edu ;
wooddy @ rice . edu ; lamas @ rice . edu ; tbalestrery @ houston . rr . com ;
hingoran @ rice . edu ; planck @ rice . edu
cc : vkaminski @ aol . com ; vince . j . kaminski @ enron . com ;
jason . sokolov @ enron . com
subject : term project :
this is the list of projects for the members of the " quant " team .
if you are working on different project , please , ignore this message .
please , develop in a spreadsheet solutions / examples for the following :
1 . black - scholes formula
2 . black ' s formula
3 . develop a spreadsheet to simulate price trajectory using :
a . gbm
b . gbm + jump ( formula 2 . 16 in the book , figure 2 . 7 )
c . mean reversion + jump ( formula 2 . 17 , figure 2 . 8 )
4 . schwartz single factor model ( formula 6 . 12 )
5 . develop models corresponding to the figures 7 . 1 , 7 . 3 , 7 . 5 , 7 . 6 , 7 . 8
vince