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...

Although symmetries play a major role in physics, their use in finance is relatively new and, to the best of our knowledge, can be traced to 1995 when Kholodnyi introduced the beliefs-preferences gauge symmetry. One of the main outcomes of the beliefs-preferences gauge symmetry is that it allows...

We present the valuation of an operational swing option in the Black and Scholes market environment. We consider such a swing option with the load for a customer being a time-dependent deterministic function of a random parameter. This random parameter can have various interpretations. In the...

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 forward prices and load in the case when power forward prices follow a geometric Brownian motion and load follows a geometric mean-reverting process. This model...

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 power spot prices follow a geometric mean-reverting process 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...