update ut enron activities conversation rick causey vince good morning may know last thur enron honored year recipients enron mba excellence fund scholars dinner austin addition three recipients business school dean may several colleagues enron attendees included sally beck cindy justice karen marshall newly appointed coordinator higher education initiatives enron community relations dept rick causey write time advise occasion discuss two current enron ut issues rick spring 2001 conference participation jeffrey k skilling ii ut participation enrontraining activities per conversation rick last thur followed discussion e mail morn touched two topics respect first wrote rick morning 1 ut center energy finance education research cefer planning practitioner industry conference spring 2001 late feb early march discuss four topics risk management deregulation real options international globalization 2 conference kick dinner keynote address thur evening continue day fri 3 several discussions regarding conference timing structure participation content 4 rick agreement discussion last thur today e mail asked rick extend invitation jeff skilling keynote speaker thur evening dinner ii respect second topic rick also discussed ut partcipation enron corp internal training incoming enron corp analysts associates consequently e mailed rick morning specific set issues valuation risk management energy markets ut colleagues covered public well customized exec ed settings would pleased customize presentation enron fyi enclosing copy said topics end e mail look forward seeing soon ut visit 10 11 best ehud training program valuation risk management energy markets target audience associates analysts traders marketing sales risk managers financial analysts program objectives 1 understanding physical financial u markets electricity natural gas 2 understanding structuring reverse engineering valuation exchange traded otc energy derivatives including exotic options structured products spread basis products 3 promoting common language trading marketing personnel regarding valuation hedging structured products 4 risk management program contents electricity 101 problems pricing spot markets forward markets trading basis fixed price volatility markets characteristics participants ii valuation structuring hedging 1 fundamentals forwards futures contracts forward contracts definition payoff diagram pricing arbitrage futures vs forwards commodity futures swaps constructing forward curves contrast price forecast using spark spread incorporating regional bases 2 introduction option pricing payoffs put call parity binomial model black scholes formula option sensitivities greeks delta gamma 3 uniqueness energy derivatives term structure volatility convenience yield seasonality basis 4 estimating volatility energy markets estimating volatility financial markets hourly vs daily vols historical implied vols characterizing volatility surface across time strike 5 design valuation structured products commodity markets valuation european call options energy markets average options oil futures contracts spread basis products swing options power markets weather derivatives 6 risk management motivation structured trades valuation real options e g valuation power plant gas field value risk one multi factor models repowering option 7 advanced topics qualified audiences relationship forward prices expected spot prices importance hedging volatility changes consistent method estimating hourly daily monthly term structures volatility practical alternatives vega hedging applying options theory valuation power plants valuation swing options ruthless non ruthless exercise ehud ronn professor finance jack josey professor energy studies director center energy finance education research mccombs school business university texas austin austin tx 78712 1179 voice 512 471 5853 fax 512 471 5073 internet eronn mail utexas edu