Modeling power forward prices for power with spikes: A non-Markovian approach

Nonlinear Analysis, Theory, Methods and Applications

Volumn 63, Issue 5-7, 2005, Pages 958-965

  Kholodnyi, Valery A ^a  

^a MIDDLE TENNESSEE STATE UNIVERSITY   (United States)

Author keywords

Non Markovian process for power spot prices with spikes; Power forward prices for power with spikes

Indexed keywords

COMPUTER SIMULATION; CONTRACTS; STOCHASTIC CONTROL SYSTEMS;

MATURITY TIME; MODELING POWER; NON-MARKOVIAN PROCESS FOR POWER SPOT PRICES WITH SPIKES; POWER FORWARD PRICES FOR POWER WITH SPIKES;

MARKOV PROCESSES;

EID: 28044450406     PISSN: 0362546X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.na.2005.03.023     Document Type: Conference Paper

References (5)

1. V.A. Kholodnyi, A Non-Markovian Process for Power Prices with Spikes and Valuation of Contingent Claims on Power, Preprint, TXU Energy Trading, 2000.
2. V.A. Kholodnyi, Modeling Power Forward Prices for Power with Spikes, Preprint, TXU Energy Trading, 2000.
3. V.A. Kholodnyi, A non-Markov method, Energy Power Risk Manage. Mag. March (2001) 20-24.
4. V.A. Kholodnyi Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach J. Eng. Math. 49 3 2004 233 252
5. D. Pilipovic Energy Risk 1997 McGraw-Hill New York