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My papers on modeling implied volatility skew for energy/commodity markets with spikes in my non-Markovian approach

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 Valery A. Kholodnyi, Quantitative Modeling Consultant and Adjunct Professor at University of Houston

 Friday, January 26, 2018

Dear Colleagues, I would like to bring to your attention my papers and book chapters on the analytical modeling of the implied volatility skew for the energy/commodity markets with spikes in my non-Markovian approach that might be of interest to you - please kindly see references [6] - [8] below. I introduced the non-Markovian approach to modeling energy/commodity spots, forwards and swaps with spikes as well as pricing and hedging energy/commodity contingent claims on spots, forwards and swaps in 2000 - please kindly see references [1] – [15] below. For further information about my related books, book chapters and 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 References: For references [1] – [15] please find below the link to my Post on LinkedIn: https://www.linkedin.com/pulse/my-papers-modeling-implied-volatility-energycommodity-kholodnyi.


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