This paper proposes a new model with a two-factor stochastic equilibrium volatility level that
can be used to price variance and volatility swaps with nonlinear payoff. The adopted model …

In this paper, we propose an uncertain energy model with a time-varying volatility factor to
describe the electricity and gas futures price dynamics. The corresponding spark-spread …

As a common data-driven method, artificial neural networks have been widely used in
electricity spot price forecasting. To improve the accuracy of short-term forecasts, this paper …

In this paper, we consider the pricing of American options under a regime-switching double
Heston model, such that the interest rate and mean-reversion level parameters in both …

In recent years, the liberalization of energy markets (especially electricity) by many countries
has led to much attention being paid to their modeling. The energy market modeling under …

This paper suggests a Markov-switching model to evaluate commodity futures and spot
dynamics, such that the diffusion coefficients and jump size parameter are associated with a …

In energy markets, especially electricity and gas, one experience rather large and dramatic
spikes in spot prices, but they are quickly reverting back. Hence it is appropriate to take into …

In the spirit of Occam's razor, we propose a parsimoniuos regime-switching model for
describing the complex dynamics of electricity and natural gas prices observed in real …

This paper suggests a new and efficient variance reduction technique based on the Monte-
Carlo simulation method for pricing the reinsurance contract in a regime-switching …

This paper focuses on the forward contract price under a mean-reverting jump-diffusion
electricity model and the Grandell idea. Based on historical spot prices from the electricity …