model spikes valery interested receiving preprint another note would glad meet lunch dinner sometimes next weeks please let know would best time meet vince vincent kaminski managing director research enron corp 1400 smith street room ebl 962 houston tx 77002 7361 phone 713 853 3848 fax 713 646 2503 e mail vkamins enron com valery kholodnyi 12 20 2000 03 13 09 pm vkamins enron com cc subject model spikes dear dr kaminski recently allowed release public domain limited basis first preprints recently authored model spikes power prices valuation contingent claims power regard given talk model joint seminar center energy finance education research institute computational finance ut austin right also process forming list specialists industry academia might interested receiving preprint please let know might interested receiving preprint look forward hearing sincerely valery kholodnyi manager quantitative analysis research analytics group txu energy trading ps main preprints recently authored model spikes power prices valuation contingent claims power 1 valery kholodnyi stochastic process power prices spikes valuation european contingent claims power preprint txu rag 01 00 july 2000 2 valery khlolodnyi valuation swing option power spikes preprint txu rag 05 00 august 2000 3 valery kholodnyi valuation spark spread option power spikes preprint txu rag 21 00 november 2000 4 valery kholodnyi valuation european contingent claims power two distinct points grid spikes power prices preprint txu rag 24 00 november 2000 5 valery kholodnyi valuation transmission option power spikes preprint txu rag 25 00 november 2000 indicated previous e mail contrary standard approaches model spikes directly self reversing jumps top stochastic process regular dynamics power prices absence spikes way dynamics power prices modeled non markovian process even process regular dynamics power prices markovian among things model spikes allows explicit valuation hedging contingent claims power spikes provided corresponding contingent claims power valued hedged absence spikes