A Non-Markovian Process for Power Prices with Spikes and Valuation of European Contingent Claims on Power
http://www.erasmusenergy.com/articles/129/1/A-Non-Markovian-Process-for-Power-Prices-with-Spikes-and-Valuation-of-European-Contingent-Claims-on-Power/Page1.html
Valery Kholodnyi
Executive Director of the Center for Quantitative Risk Analysis
PhD in Applied Mathematics from the Moscow Institute of Electronics and Mathematics in 1990. Served as Director of Research for TXU Energy Trading; Director of Quantitative Analysis for Reliant Energy; Chief Science Officer and VP of R&D for Integrated Energy Services.
By Valery Kholodnyi
Published on 12/21/2007
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Publication year: 2001
We propose a new natural approach to modeling spikes in power prices based on a non-Markovian process. In contrast to the standard approaches we model spikes directly as self-reversing jumps. We also show how this approach can be used to value European contingent claims on power with spikes.
Published in:
Publication year: 2001
We propose a new natural approach to modeling spikes in power prices based on a non-Markovian process. In contrast to the standard approaches we model spikes directly as self-reversing jumps. We also show how this approach can be used to value European contingent claims on power with spikes.
A Non-Markovian Process for Power Prices with Spikes and Valuation of European Contingent Claims on
We propose a new natural approach to modeling spikes in power prices based on a non-Markovian process. In contrast to the standard approaches we model spikes directly as self-reversing jumps. We also show how this approach can be used to value European contingent claims on power with spikes.