my model for spikes dear dr . kaminski ,
i was recently allowed to release into the public domain on the limited basis
the first of the preprints that i recently authored on my model for spikes in
power prices and for the valuation of the contingent claims on power . in this
regard , i have just given a talk on this model at the joint seminar of the
center for energy finance education and research and the institute for
computational finance at the ut austin . right now i am also in the process of
forming a list of specialists both in the industry and academia who might be
interested in receiving this preprint . please let me know if you might be
interested in receiving this preprint .
i look forward to hearing from you .
sincerely yours ,
valery kholodnyi
manager of quantitative analysis
research and analytics group
txu energy trading
ps . here are the main preprints that i have recently authored on my model for
spikes in power prices and valuation of contingent claims on power :
1 . valery a . kholodnyi , the stochastic process for power prices with spikes
and
valuation of european contingent claims on power , preprint , txu - rag - 01 / 00 ,
july
2000 .
2 . valery a . khlolodnyi , valuation of a swing option on power with spikes ,
preprint txu - rag - 05 / 00 , august , 2000 .
3 . valery a . kholodnyi , valuation of a spark spread option on power with
spikes ,
preprint txu - rag - 21 / 00 , november 2000 .
4 . valery a . kholodnyi , valuation of european contingent claims on power at
two
distinct points on the grid with spikes in both power prices , preprint
txu - rag - 24 / 00 , november 2000 .
5 . valery a . kholodnyi , valuation of a transmission option on power with
spikes ,
preprint txu - rag - 25 / 00 , november 2000 .
as i have indicated to you in my previous e - mail , contrary to the standard
approaches , i model spikes directly , as self - reversing jumps on top of a
stochastic process for the regular dynamics of power prices in the absence of
spikes . in this way the dynamics of power prices is modeled as a non - markovian
process , even if the process for the regular dynamics of power prices is
markovian . among other things my model for spikes allows for the explicit
valuation and hedging of contingent claims on power with spikes , provided that
the corresponding contingent claims on power can be valued and hedged in the
absence of spikes .