consultant model gary hickerson group model supposed real option model capture value power plants gencos give trader better insight whether market overvaluing undervaluing certain genco stocks trader act accordingly still trying find trader supposed use modeling details model takes gencos locational power forward prices fuel forward prices uses garch model simulate one year daily prices uses hourly profile convert hourly prices garch model parameters estimated consultant using separate model updated twice year matter whether simulation starts january september using prices determine whether unit particular location dispatched depending spread power fuel prices b whether start cost recovered 8 operation hours unit dispatched minimum peak levels fixed sox nox know last two stand taken consideration simulated dispatch schedule model calculates value generated unit sums across units final value average 100 simulations takes 16 hours run 200 units conversation consultant promised look make model flexible say allow different time horizon b reduce spreadsheet overhead calculation one unit time saving intermediate information saves everything spreadsheet assuming garch process modelled correctly believe methodology ok though capture optionality concerns whether price processes modelled correctly get details making conclusion 100 simulations way unless convert algorithm c see spreadsheet handle simulations guess contact us enron buying model consulting company enron job trader going use model output phoned jeff associate initiated still waiting returning call related questions model horizon one year either oversee conversation actual coding redo model problem still remains trader going use output view great wall china separating business units simulation model taking start cost fixed rump delay consideration simulates monthly prices using gbm takes 2 minutes 40 seconds run 10 000 simulations one unit ten years 120 time steps use forward forward vol incorporate seasonality understand debatable one interesting observation using forward forward vol simulation standard deviation 0 5 standard deviation using forward vol 2 also incorporating seasonality increases value 1 6 since time cost occurs price simulation simulate 20 price processes hope full model build take couple hours run 200 units main task interfacing e getting data data base outputting results need help please advice course action supposed talk michelle cisneros today p never promised oversee programmer group see message best alex forwarded alex huang corp enron 01 05 2001 08 58 jeff gray 01 04 2001 gary hickerson enron com michael w bradley enron com michelle cisneros enron com jaime gualy enron com cc alex huang enron com kskinner ftenergy com cseiple ftenergy com subject fw project timeline ken worked following timeline refined trading methodology bit morning also met alex huang vince group explained model coding tasks ken alex arranged speak phone monday meanwhile alex coordinating within research group alex oversee programmer within group interfacing regularly us 1 4 kickoff 1 11 complete spreadsheet table database structures rdi 1 17 complete software coding pricemaker component model rdi enron research begin testing enron research 1 22 complete software coding dispatch portion model rdi enron research begin testing enron research 1 22 complete financial trader user interface within access environment rdi 1 22 complete collection delivery unverified generating unit data rdi databases rdi begin verification process rdi 1 29 complete charts reports accessible user interface rdi 1 29 complete compilation consensus ebitda forecasts operations merchant generation enron financial trading 2 9 complete code testing enron research 2 9 deliver verified quality checked generating unit data rdi 2 9 complete model begin testing trading methodology train users 2 16 finish training testing final qc jeff