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 in this case the power forward prices do not exhibit spikes...

We present a model that allows for a relatively simple analytical valuation of a full requirements contract in terms of power forward prices and load in the case when power forward prices follow a geometric Brownian motion and load follows a mean-reverting process. This model represents a...

We present a model that allows for a relatively simple analytical valuation of a full requirements contract in terms of power spot prices and load in the case when both power spot prices and load follow geometric mean-reverting processes. This model represents a practically important special...

We present the concept of a universal contingent claim introduced by the author in 1995. This concept provides a unified framework for the analysis of a wide class of financial derivatives.A universal contingent claim describes the time evolution of a contingent payoff. In the simplest case of a...

We present the concept of a universal contingent claim introduced earlier by the author. This concept provides a unified framework for the analysis of a wide class of financial derivatives. A universal contingent claim describes the time evolution of a contingent payoff defined as a real-valued...

In this article we present a framework describing the world foreign exchange market in terms of differential geometry on graphs, that is, in terms of vector lattice bundles on graphs and connections on these bundles. This framework is based on the concept of financial equivalence introduced by...

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...