Friday Brown Bag On Derivative Pricing

Dear everyone,=20

We understand the as members of Enron Research group, all of us are working=
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on very interesting projects, some of which are ground-breaking, and we all=
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keep a very keen mind on any development of new technology. We also find=
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out, through our own experience, that at this age of information explosion,=
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it becomes more and more difficult to have enough time and energy to keep=
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abreast with most of the exciting stuff taking place in this department, le=
t=20
alone in the industry. It is also our personal experience that many a=20
project we are working on has partially been attempted by other members of=
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this group.=20

As a remedy, we propose that the research group start an informal brown bag=
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lunch group meeting, once every two weeks on Friday, for about 50 minutes. =
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It is hoped that it will provide a forum for us to facilitate with new=20
technology and development, as well as with each other=01,s work, so that w=
e do=20
not have to reinvent the wheels. =20

We envision the following: In this meeting (or seminar), each one of us wil=
l=20
take turns to make presentations to the group. The topics could range from=
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theoretical consideration to practical implementation, be it option pricing=
,=20
process modelling, insurance issue, or Monte Carlo simulation, or anything=
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one finds fascinating. The presentation material could be papers you have=
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been reading recently, projects you are working on, some problem that=20
bothers you, or an idea that is fascinating. You choose your own=20
presentation style. It could be =20
everything-you-always-wanted-to-know-but-were-afraid-to-ask, hand waving=20
style, or it can involve nitty-gritty, detailed derivations, anyway a style=
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that suits you and the topic. Or it can simply be a dry-run for your=20
presentation at the next Risk Conference. Zimin and Alex will take upon th=
e=20
responsibility of organizing the seminar.=20

We hope the seminar will be up and running in two-three weeks. For that=20
purpose your support will be greatly appreciated. Please let either Zimin o=
r=20
Alex know if you are interested in giving a presentation to the group and=
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provide a tentative schedule. Surely the rest of the group will be happy to=
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hear your presentation.=20

We encourage everyone to participate this brown bag meeting, either to give=
a=20
talk or just sit in.=20

Zimin Lu
Alex Huang