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Dear Colleagues,

I would like to bring to your attention some of my papers on my method and notion of Eigenclaims as well as their applications to the valuation and hedging of energy contingent claims that might be of interest to you:

 

[1] V.A. Kholodnyi, Analytical Valuation in the Mean-Reverting World, Energy and Power Risk Management Magazine, August, 2001, 40-45.

 

[2] V.A. Kholodnyi, Analytical Valuation of a Full Requirements Contract as a Real Option by the Method of Eigenclaims, In E. I. Ronn, Editor, Real Options and Energy Management, Risk Publications, London, 2002, 635 – 658.

 

[3] V.A. Kholodnyi, Universal Contingent Claims and Valuation Multiplicative Measures with Examples and Applications, Journal of Nonlinear Analysis, 69 (3) (2008) 880-890.

 

 

I introduced the method and the notion of Eigenclaims in 1995 in the following preprint:

 

[4] V.A. Kholodnyi, On the Linearity of Bermudan and American Options with General Time-Dependent Payoffs in Partial Semimodules, IES Preprint, 1995.

For further information about my related papers please find below the link to my Profile at the ResearchGate: http://www.researchgate.net/profile/Valery_Kholodnyi.

 

Please let me know if you might have questions or would like further information.

Sincerely,
Valery Kholodnyi

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