thesis electricity price jump diffusions bernard coordinates vincent kaminski managing director research enron corp 1400 smith street room ebl 962 houston tx 77002 7361 phone 713 853 3848 713 410 5396 cell fax 713 646 2503 e mail vkamins enron com yes going interesting summer uk vince murphy bernard 03 27 2001 01 23 04 vince j kaminski enron com cc subject thesis electricity price jump diffusions hi vince e mail mailing address houston send hard copy today apologies delay wanted ensure les clewlow received copy sydney distributing copies incidentally today march 27 th red letter day uk neta new electricity trading arrangements gone live interesting observe development paper market coming months doubt aware ipe launched electricity futures contract regards bernard original message vince j kaminski enron com mailto vince j kaminski enron com sent 01 march 2001 15 37 murphy bernard cc vkaminski aol com vince j kaminski enron com subject 1997 risk paper pricing electricity derivatives bernard yes read dvi file also cc home address vkaminski aol com shall try send answer question weekend vince murphy bernard 03 01 2001 09 18 58 vince j kaminski enron com cc subject 1997 risk paper pricing electricity derivatives vince send scientific word dvi file weekend read scientific word files dissertation reviewed les external yet although forc 2 months think empirical chapter probably one would relevance company businesses although ultimately time explicitly price jump risk premium conjectured possibly implicit prices exchange traded electricity futures options rather developed implicit estimation procedure enable rough assessment little bit work much made price jump risk wholesale power markets words assumed spot jump risk undiversifiable essentially devoted 2 theoretical chapters 1 proving jump diffusion trading model incomplete synthesising securities markets framework martingale representation theory note assume markets could dynamically completed term structure securities hjm w jumps papers shirakawa das 2 deriving explicit risk adjustment process implementing price jump risk using jump diffusion marginal indirect utility wealth process ie jump augmented production economy approach spirit cir bates ahn whereas latter driftless forward supposition means capture mean reversion via futures volatility function jumps less easy calibrate suggestions regards bernard original message vince j kaminski enron com mailto vince j kaminski enron com sent 01 march 2001 14 54 murphy bernard cc shirley crenshaw enron com vince j kaminski enron com subject 1997 risk paper pricing electricity derivatives bernard forwarding message assistant mail reprint would glad take look dissertation available publication working paper vince murphy bernard 03 01 2001 02 17 39 vince j kaminski enron com cc subject 1997 risk paper pricing electricity derivatives hello vince name bernard murphy received e mail address les clewlow phd supervisor financia options research centre warwick business school finished phd electricity price jump diffusions theoretical empirical study incomplete markets hence interest electricity price modelling derivative pricing looking get hold copy 1997 paper recently come attention challenge pricing risk managing electricity derivatives us power market risk publications pp 149 171 les suggested contact directly les travelling present electronic copy available request e copy incidentally lecturer finance financial mathematics university limerick ireland taken year work caminus uk working introducing developing markets based approach spark spread real asset valuations uk power industry thanks advancve bernard murphy