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Enron Mail |
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.
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