A mean‐reverting model is proposed for the spot price dynamics of electricity which includes
seasonality of the prices and spikes. The dynamics is a sum of non‐Gaussian Ornstein–…

The markets for electricity, gas and temperature have distinctive features, which provide the
focus for countless studies. For instance, electricity and gas prices may soar several …

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 …

Daily average temperature variations are modelled with a mean‐reverting Ornstein–Uhlenbeck
process driven by a generalized hyperbolic Lévy process and having seasonal mean …

We propose an Ornstein–Uhlenbeck process with seasonal volatility to model the time
dynamics of daily average temperatures. The model is fitted to approximately 45 years of daily …

We discuss the modeling of electricity contracts traded in many deregulated power markets.
These forward/futures type contracts deliver (either physically or financially) electricity over a …

In this paper we provide a framework that explains how the market risk premium, defined as
the difference between forward prices and spot forecasts, depends on the risk preferences of …

… Finally, Fred Espen Benth acknowledges the financial support from the project “Managing
Weather Risk in Electricity Markets (MAWREM)” funded by the Norwegian Research Council …

We conduct an empirical analysis of three recently proposed and widely used models for
electricity spot price process. The first model, called the jump-diffusion model, was proposed by …

This paper analyzes the weather derivatives traded at the Chicago Mercantile Exchange (CME),
with futures and options written on different temperature indices. We propose to model …