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.
Articles by this Author
Valuation and hedging of european contingent claims on power with spikes: a non-Markovian approach
- By Valery Kholodnyi
- Published 09/27/2007
- Valuation , Price modeling
- Unrated
Keywords: contingent claims on power, non-Markovian price processes, power prices with spikes
Published in: Journal of Engineering Mathematics
Publication year: 2004
A new approach to modeling spikes in power prices proposed earlier by the author is presented and further developed. In contrast to the standard approaches, power prices with spikes as a non-Markovian stochastic process are modeled that allows for modeling spikes directly as self-reversing jumps. It is shown how this approach can be used to value and hedge European contingent claims on power with spikes. It is also shown that the values of European contingent claims on power with spikes satisfy the Cauchy problem for a certain linear evolution equation. In this way, the values of European contingent claims on power with spikes can be represented in terms of the Green’s function for this Cauchy problem and the Green’s function itself can be interpreted in terms of the values of the Arrow-Debreu securities on power with spikes.
Published in: Journal of Engineering Mathematics
Publication year: 2004
A new approach to modeling spikes in power prices proposed earlier by the author is presented and further developed. In contrast to the standard approaches, power prices with spikes as a non-Markovian stochastic process are modeled that allows for modeling spikes directly as self-reversing jumps. It is shown how this approach can be used to value and hedge European contingent claims on power with spikes. It is also shown that the values of European contingent claims on power with spikes satisfy the Cauchy problem for a certain linear evolution equation. In this way, the values of European contingent claims on power with spikes can be represented in terms of the Green’s function for this Cauchy problem and the Green’s function itself can be interpreted in terms of the values of the Arrow-Debreu securities on power with spikes.
Modeling Power Forward Prices for Power with Spikes
- By Valery Kholodnyi
- Published 12/21/2007
- Price modeling
- Unrated
Keywords:
Published in: The Energy and Power Risk Management magazine
Publication year:
We obtain an analytical expression for the power forward prices in the case when the dynamics of the power spot prices with spikes is described by the non-Markovian stochastic process introduced earlier by the author. We also show how the power forward prices do not exhibit spikes while the power spot prices do.
Published in: The Energy and Power Risk Management magazine
Publication year:
We obtain an analytical expression for the power forward prices in the case when the dynamics of the power spot prices with spikes is described by the non-Markovian stochastic process introduced earlier by the author. We also show how the power forward prices do not exhibit spikes while the power spot prices do.
A Non-Markovian Process for Power Prices with Spikes and Valuation of European Contingent Claims on Power
- By Valery Kholodnyi
- Published 12/21/2007
- Price modeling
- Unrated
Keywords:
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.
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.