Dear Colleagues,
I would like to let you know about my new article on energy finance that
might be of interest to you:
[1] V.A. Kholodnyi, The Non-Markovian Approach to the Valuation and
Dynamic Hedging of Contingent Claims on Power with Spikes,
International Journal of Ecology and Development, 5(6) (2006) 44-62.
In this article I present and further develop the non-Markovian approach to
modeling power prices with spikes that I proposed in my earlier work (see,
for example, references [2 - 9] below), as well as its applications to the
valuation and dynamic hedging of contingent claims on power with spikes.
Please let me know if you have questions or would like additional
information.
Sincerely,
Valery Kholodnyi
References:
[2] V.A. Kholodnyi, Valuation and Hedging of Contingent Claims on Power
with Spikes: a Non-Markovian Approach, Journal of Derivatives: Use, Trading
and Regulation, 11(4) (2006) 308-333.
[3] V.A. Kholodnyi, "Modeling Power Forward Prices for Power with Spikes: a
Non-Markovian Approach", Journal of Nonlinear Analysis, 63 (2005) 958-965.
[4] V.A. Kholodnyi, "Valuation and Hedging of European Contingent Claims on
Power with Spikes: a Non-Markovian Approach", Journal of Engineering
Mathematics, 49(3) (2004) 233-252.
[5] V.A. Kholodnyi, "A Non-Markov Method", Energy and Power Risk Management
Magazine, March, 2001, 20-24.
[6] V.A. Kholodnyi, "Valuation and Dynamic Replication of Contingent Claims
on Power with Spikes in the Framework of the Beliefs-Preferences Gauge
Symmetry", Preprint, TXU Energy Trading, 2000.
[7] V.A. Kholodnyi, "A Non-Markovian Process for Power Prices with Spikes
and Valuation of Contingent Claims on Power", Preprint, TXU Energy Trading,
2000.
[8] V.A. Kholodnyi, "Modeling Power Forward Prices for Power With Spikes",
Preprint, TXU Energy Trading, 2000.
[9] V.A. Kholodnyi, "The Stochastic Process for Power Prices with Spikes and
Valuation of European Contingent Claims on Power", Preprint, TXU Energy
Trading, 2000.
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