In this paper we investigate the recently introduced Malliavin approach compared to more classical approaches to find sensitivities of options in commodity and energy markets. The Malliavin approach has been developed in ...

In this paper an infinite-dimensional approach to model energy forward markets is introduced. Similar to the Heath–Jarrow–Morton framework in interest-rate modelling, a first-order hyperbolic stochastic partial differential ...

Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction ...

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 specified time period, and is ...

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 electricity futures and is highly ...

We develop and apply a numerical scheme for pricing options for the stochastic volatility model proposed by Barndorff-Nielsen and Shephard. This non-Gaussian Ornstein-Uhlenbeck type of volatility model gives rise to an ...

This paper presents an analytic approximation for the pricing dynamics of spark spread options in terms of Fourier transforms. We propose to model the spark spread, that is, the price difference of electricity and gas, ...

In recent years, renewable energy has gained importance in producing power in many markets. The aim of this article is to model photovoltaic (PV) production for three transmission operators in Germany. PV power can only ...