Enron Mail

From: tanya.tamarchenko@enron.com To: grant.masson@enron.com, vince.kaminski@enron.com Subject: Re: price processes for NG Cc: Bcc: Date: Thu, 6 Jul 2000 02:57:00 -0700 (PDT) Grant & Vince, I am sending you the results of fitting different price process models into NG prompt month prices. The fit is quite good for some models. We might think of using these mean-reverting jump-diffusion models in our Credit Model. I should examine other contracts behavior (beyond prompt month) as well. Tanya.