Message-ID: <11260074.1075863444338.JavaMail.evans@thyme>
Date: Fri, 17 Aug 2001 07:38:53 -0700 (PDT)
From: alpha-@caramail.com
To: j.kaminski@enron.com
Subject: MRHV Model (power curve)
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X-From: Sylvain Joret <alpha-@caramail.com>@ENRON <IMCEANOTES-Sylvain+20Joret+20+3Calpha-+40caramail+2Ecom+3E+40ENRON@ENRON.com>
X-To: Kaminski, Vince J </O=ENRON/OU=NA/CN=RECIPIENTS/CN=VKAMINS>
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Dear Vince J Kaminski,

As a Mathematical Trading and Finance MSc student (City
University London) I am writing my dissertation on "power
forward curves".

Since you have participated in the writing of the
book "Managing Energy Price" I was wondering if you could
eventually help me.
The MRHV model seams to be the best econometric one to
model the electricity forward curve.

I understand and know how to work out with the classic Mean
Reverting Process, but I don't understand the MRHV (I don't
know the discretised form and I cannot even find any paper,
or article on it) and how to get rid of the exponent to
estimate my parameters (long-run mean, Speed of mean
reversion, volatility, exponent, Floor price).

Thank you by advance for any help

Yours sincerely
Sylvain Joret

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