In recent times of noticeable climate change the consideration of external factors, such as
weather and economic key figures, becomes even more crucial for a proper valuation of …

We present a new model for the electricity spot price dynamics, which is able to capture
seasonality, low-frequency dynamics and extreme spikes in the market. Instead of the usual …

Weather derivatives (WD) are end-products of a process known as securitization that
transforms non-tradable risk factors (weather) into tradable financial assets. For pricing and …

This paper examines the dependence between wind power production and electricity prices
and discusses its implications for the pricing and the risk distributions associated with …

In this paper we propose a new modelling framework for electricity futures markets based on
so-called ambit fields. The new model can capture many of the stylised facts observed in …

The recent price coupling of many European electricity markets has triggered a fundamental
change in the interaction of day-ahead prices, challenging additionally the modeling of the …

A model for residual demand is proposed, which extends structural electricity price models
to account for renewable infeed in the market. Infeed from wind and solar is modeled …

In order to increase overall transparency on key operational information, power transmission
system operators publish an increasing amount of fundamental data, including forecasts of …

We propose an extension of the model introduced by Barndorff-Nielsen and Shephard,
based on stochastic processes of Ornstein–Uhlenbeck type taking values in Hilbert spaces …

In the past decade, the Chicago Mercantile Exchange began to trade weather derivatives to
hedge weather risk. The pricing of weather derivatives is challenging since the underlying is …