 transition.

Becky


-----Original Message-----
From: Pechersky, Julie [mailto:Julie.Pechersky@enron.com]
Sent: Tuesday, April 17, 2001 9:14 AM
To: becky@cqg.com
Subject:


becky,
I think that Dutch Quigley has been moved to the Digital feed, but is
there a way to allow him to run simultaneously on
both temporarily?


Julie As a follow-up to the recent Enron Corp. memorandum forming Enron Wholesale 
Services (EWS), effective today, we have reorganized the Wholesale Services 
Legal Department.

 The goals in reorganizing the department are as follows:  (i) align the 
legal department as closely as possible with the business units, (ii) speed 
the flow of legal technology across the business units, and (iii) achieve 
greater efficiency and consistency across the organization.

 To this end, a legal policy group will be formed for EWS Legal, which will 
include Lance Schuler, Enron Americas; Mark Evans, Enron Europe; Mark Taylor, 
Enron Net Works; Alan Aronowitz, Enron Global Markets; Julia Murray, Enron 
Industrial Markets; and Bruce Lundstrom, Enron Global Assets.

 The organization chart for the EWS Legal Department is attached.  More 
comprehensive organization charts will follow for each group.

Mark Frevert and Mark Haedicke Zimin,

 to generalize your initial comment, for any process dS = Mu(S,t)*S*dt + 
Sigma(S,t)*S*dz,
the delta-hedging argument leads to the Black-Scholes PDE.  
This is true for any arbitrary functions Mu and Sigma, and so includes GBM, 
Mean Reversion, and others.
There is no problem with this, because in the risk-neutral world, which is 
what you enter if you can hedge,
the drift of the "actual" process is irrelevant.

I believe your concern is that you would like to see a different option price 
for Mean Reversion process.  This can only happen if the asset is not 
hedgeable, and so the actual dynamics then need to be factored into the 
option pricing.   If you assume that the underlying is a
transition. 

 Becky 


 -----Original Message----- 
 From: Pechersky, Julie [ mailto:Julie.Pechersky@enron.com ] 
 Sent: Tuesday, April 17, 2001 9:14 AM 
 To: becky@cqg.com 
 Subject: 


 becky, 
 I remember that Dutch Quigley has been move to the Digital feed, but is 
 there a way to allow him to run simultaneously on 
 both temporarily? 


 Julie As a follow - up to the late Enron Corp. memorandum forming Enron Wholesale 
 Services (EWS), effective today, we have reorganized the Wholesale Services 
 Legal Department. 

  The goal in reorganizing the department are as follows:   (iodine) align the 
 legal department as closely as potential with the business units, (ii) speed 
 the flow of legal engineering across the business units, and (iii) achieve 
 great efficiency and consistency across the organization. 

  To this end, a legal policy group will be form for EWS Legal, which will 
 include Lance Schuler, Enron Americas; Mark Evans, Enron Europe; Mark Taylor, 
 Enron Net Works; Alan Aronowitz, Enron Global Markets; Julia Murray, Enron 
 Industrial Markets; and Bruce Lundstrom, Enron Global Assets. 

  The organization chart for the EWS Legal Department is attached.   More 
 comprehensive constitution charts will follow for each group. 

 Mark Frevert and Mark Haedicke Zimin, 

  to generalize your initial remark, for any process dS = Mu(S, t)*S*dt + 
 Sigma(S, t)*S*dz, 
 the delta - hedging argument leads to the Black - Scholes PDE.  
 This is true for any arbitrary routine Mu and Sigma, and so includes GBM, 
 Mean Reversion, and others. 
 There is no problem with this, because in the risk - neutral world, which is 
 what you enter if you can hedge, 
 the drift of the " actual " process is irrelevant. 

 I believe your concern is that you would like to see a different option price 
 for Mean Reversion process.   This can merely happen if the asset is not 
 hedgeable, and so the actual moral force then necessitate to be factor into the 
 option pricing.    If you assume that the underlying is a
 trwnsition.

Becky


-----Original Mersage-----
From: Pechetsjy, Julme [mailfo:Julie.Pdchersky@enron.com]
Sent: Tuesday, April 17, 2001 9:14 AM
To: becky@cqg.com
Subgect:


becky,
P think tyat Vutch Quigley has been moved tk the Vigital feed, buj is
there a fay to allow hhm tl run simultaneously on
both temporawily?


Juloe As a follow-up to uhe recsnt Enron Corp. memorandum forming Snron Wiolesale 
Servicrs (EWS), effective today, we jave reorganized the Wjolesale Setbicqw 
Legal Depaftment.

 The goals in rekrganizing the department are ar folkows:  (i) alugb tjg 
legal depactment as closely as possitle witn the business unmts, (ui) speed 
the flow of negal technology asross the bbsiness units, and (iii) axhievg 
gredter wffkcitncb ahd condisvency acrosa the organuzation.

 To this end, a oegal policy froup rijl be formed for EWS Legal, which will 
itclhde Lance Schuler, Enron Americas; Mark Evans, Gnron Euro[e; Mark Taylor, 
Enron Net Works; Alan Aronowitz, Enrmn Glkcal Mwfjehs; Julia Murray, Enron 
Industrial Markets; and Fduve Lundstrom, Enrjn Global Axsftx.

 The organizajion chcdt for the EWS Legal Departient us attachtd.  Mpre 
comprehensive organizatuon charts wpll dollow for each grlup.

Mark Frerert amd Matk Haedicke Zimin,

 to geueraliae your inihial commsvt, for any procers cS = Mu(S,t)*S*du + 
Sigma(S,t)*S*dz,
the dqlta-hedgiig aryument ldads to thq Black-Schlles IGE.  
This is true flr ani arbidrary funchions Mu and Sigma, and so incluvxs GBM, 
Mean Rgvessimn, and ochers.
Tmere is no probjem with this, yecause nn the risk-neutrzl worlv, which is 
wrat you enter lf you can hxdge,
the dwift of rhe "actjxl" process is orrelevann.

I belueve your concern ls thxf you would likz uo see a differemt uptyoj 'rice 
xor Mean Revarsiun otocesr.  This can unly happen if the asset is hot 
hedgeable, and xo the actoal dynamycs then need to be factored inuo the 
opvion pticyng.   If you assume that the uhderlying is a
transition. Becky -----Original Message----- From: Pechersky, Julie Tuesday, 17, 2001 AM To: becky@cqg.com Dutch has been moved the Digital feed, is there a way to allow to run simultaneously on both temporarily? Julie As a follow-up to the recent Corp. memorandum forming Enron Wholesale Services (EWS), effective today, we have reorganized the Services Department. goals reorganizing the department are as follows: (i) align the legal department as closely as possible with business units, (ii) speed the flow of legal across the business units, (iii) achieve greater efficiency and across organization. To end, legal group will be for EWS Legal, which will include Lance Schuler, Enron Americas; Mark Evans, Enron Europe; Mark Taylor, Enron Works; Alan Global Markets; Murray, Industrial and Bruce Lundstrom, Assets. The organization chart for the is attached. More comprehensive organization charts will follow each group. Frevert and Mark Haedicke Zimin, to your initial comment, for any process dS = + Sigma(S,t)*S*dz, the delta-hedging argument leads to the Black-Scholes PDE. This is true for any Mu and Sigma, and includes GBM, Mean and There no with this, in the risk-neutral world, which is what you enter if you hedge, the drift of the "actual" process is irrelevant. I concern that you would to see a different price Mean Reversion process. This happen the hedgeable, so actual dynamics then need be factored into the option If you assume that
 transition.

Becky


-----Original MeSsage-----
From: PEcherSky, julIe [MailTo:JuLie.Pechersky@enROn.coM]
Sent: Tuesday, April 17, 2001 9:14 AM
To: bEcky@cQg.COm
SuBJeCt:


becKy,
I thinK ThAT dutCh quIglEy HAs Been mOveD to the DIgital feed, But Is
There a way to aLLoW him to run sImuLtaneously on
BotH tempoRaRilY?


julie as a FolloW-up to tHE recenT Enron CorP. mEMorandUM forminG eNrOn WhOlesale 
Services (EWs), EfFEctive today, we hAve reoRgANiZED thE WhOlesale SerViCes 
LeGAl DeparTMeNT.

 tHe gOAls in reorganiZing the depaRTmeNt are aS fOllOWs:  (i) aliGn the 
LeGAl dEpartment as ClosEly as possIble wiTH the busINess uniTs, (ii) spEed 
The Flow OF lEgAl tEcHNolOGy AcrOSs tHe busineSs UnIts, anD (iii) ACHIEve 
gReaTer eFficiEncy and consisTenCy acROss The orGanizAtioN.

 TO this End, a leGal poLiCy group will be foRmed For EWS LegAl, wHiCh wIlL 
inclUDe LancE ScHulEr, Enron americaS; marK EVANS, ENron Europe; Mark TaylOr, 
eNRoN Net WorkS; Alan AROnOwITz, Enron GLoBal markETS; JuliA MurRAy, enron 
IndUstriaL maRkEts; and BRuCe LundStRom, enrOn GloBAl AsSets.

 ThE organizAtion CHart for the EWS LEGal Department IS aTTAcHEd.  MoRe 
cOmprehensivE orgANizaTion CHaRts WIll foLlow fOr EAcH Group.

Mark Frevert and maRk HaedIcke ZImin,

 to generalIze your iniTIAL comment, For aNY pROcess dS = Mu(S,t)*S*dt + 
sigma(s,t)*S*dz,
the deLTa-hedginG arguMent leadS to the BlaCK-scholes PdE.  
THis Is tRue FOR aNy arbitrary fuNCTionS MU and SigMa, aNd so incLudEs GbM, 
MEan reVersion, anD others.
THeRe Is No ProBlem wITh this, beCaUse In The Risk-nEUtral wOrld, wHich Is 
WhAT yoU enter iF YoU CAn heDgE,
tHe drIft Of The "acTual" PRocEss is irRelevant.

I BelIEve yOuR cOncern iS that you would LiKe to see a diFfEreNt optiON Price 
for mean Reversion process.  ThiS Can only HapPen if The aSset is not 
HedGeable, And SO the acTual dyNamicS tHen NEEd to bE FAcTorEd Into the 
optION prIcing.   if You aSsume thAt the underlying is a
 transition.

Becky


---- -OriginalMessa ge- --- -From : Pe chersky, Julie [mai lto:Julie.Pechersky@en ron.c om ] 
Sen t :Tuesd ay, Apr i l1 7 , 2 00 19:1 4A MTo: b eck y@cqg.c om
Subject :

b ecky,
I thin k  t hat DutchQui gley has bee n m oved t othe Digit alfeed,  but i s 
there  a way to  a l low hi m  to run s im ulta neously on
both t e mp o rarily?


Juli e As a  f o ll o w -up  to  the recen tEnron Corp. m e mo r a n dum forming Enron  WholesaleSer vices(E WS) ,  effec tiveto d ay,  we have re orga nized the  Whole s ale Ser v ices 
L egal D epa rtm ent. 
Th e g oa l s i n  r eor g ani zing the  d ep artme nt a r e a s fo llo ws: (i)align the 
le gal  dep a rtm ent a s clo sely  a s pos siblewithth e business unit s, ( ii) speed  
t he  fl ow  of l e gal te chn olo gy acro ss theb usi ne s s un its, and (iii) ach ie v e  greatereffici e nc ya nd consi st enc y ac r o ss th e or g an ization. 

 Tot hi send, ale gal po li cygro up wi l l be  forme d for EW S Leg a l, which willinclude Lance Sc h u le r , En ron  Americas;Mark Evan s, E n ro n E u rope;  Mark  T a yl o r, 
Enron Net Works ;Alan A ronow itz, Enron Gl obal Marke t s ;  Julia M urra y ,E nron 
Industri al Ma rkets; and Bruce Lu ndstr om, Enro n GlobalA s sets.

The  or gan iza t i on  chart for th e EWSLe gal Dep art ment is  at tac hed . Mo re 
compr ehensive  o rg an iz ati on ch a rts will  f oll ow  fo r eac h  group .

Ma rk F re ve r t a nd Mark Ha e d icke  Z im in,
 t ogener aliz e  yo ur init ial comme nt, foran yprocess  dS = Mu(S,t) *S *dt + 
Sig ma (S, t)*S*d z , 
the del ta-hedging argument lea d s to th e B lack- Scho les PDE. 
T his is  tr u e forany ar bitra ry  fu n c tions M uand  S igma, ands o  in clude sGBM,  
MeanReversion, and oth e rs. 
There is nopro blem w it h t h is ,  be ca u sei n  the risk-neutr al world,wh i ch  is 
whaty ouen ter ifyou can  hedg e ,
the d rift of t he "actua l"  pro c e ssis irrelev ant.

Ibelieve y o ur co n ce rn is  th at you  w oul d lik e to s e e a  diff erentop tion p rice
f or MeanReversion process.  Thi s canonlyhap pen if th e a s set  is not hedg eable, and  so  th e act ual dynam icst he n n e ed to  bef actored i n to  th e 
o ption prici n g .   If yo u a s sume t hatthe underlying is a
 transition.

Becky


-----Original_Message-----
From: Pechersky,_Julie [mailto:Julie.Pechersky@enron.com]
Sent: Tuesday, April_17, 2001_9:14_AM
To: becky@cqg.com
Subject:


becky,
I_think_that Dutch Quigley_has been moved_to the Digital feed,_but is
there a_way_to allow him to run simultaneously on
both temporarily?


Julie As a follow-up to the recent_Enron_Corp. memorandum_forming_Enron_Wholesale 
Services (EWS), effective today,_we have reorganized the Wholesale_Services 
Legal_Department.

 The goals in reorganizing the department are_as_follows:  (i)_align the 
legal department as closely as possible with_the business units, (ii) speed 
the_flow of legal_technology_across_the business units, and_(iii) achieve 
greater efficiency and consistency_across the organization.

 To this end,_a legal policy group will be formed_for EWS Legal, which will 
include_Lance Schuler, Enron Americas; Mark_Evans, Enron_Europe; Mark Taylor, 
Enron Net_Works; Alan Aronowitz,_Enron Global_Markets; Julia Murray,_Enron 
Industrial Markets; and Bruce Lundstrom,_Enron Global Assets.

_The organization chart for the EWS_Legal_Department is attached.__More_
comprehensive organization_charts will follow_for_each group.

Mark_Frevert_and Mark Haedicke Zimin,

 to generalize_your_initial comment, for any process dS =_Mu(S,t)*S*dt + 
Sigma(S,t)*S*dz,
the delta-hedging_argument_leads to the Black-Scholes_PDE.  
This is true_for any arbitrary functions Mu and_Sigma, and_so includes_GBM, 
Mean Reversion, and others.
There is no problem with this, because_in the risk-neutral world, which is_
what you enter if_you can_hedge,
the_drift of the_"actual"_process is_irrelevant.

I believe your concern is that you_would like_to see a different option price_
for Mean Reversion process.__This can only happen if the_asset is not 
hedgeable, and so_the actual dynamics then need_to_be_factored into the 
option pricing._  If you assume that_the underlying is_a