Multi-factor Energy Price Models and Exotic Derivatives Pricing

The high pace at which many of the world's energy markets have gradually been opened tocompetition have generated a significant amount of new financial activity. Both academicians and practitioners alike recently started to develop the tools of energy derivatives pricing/hedging as a quantitative topic of its own. The energy contract structures as well as their underlying asset properties set the energy risk management industry apart fromits more standard equity and fixed income counterparts. This thesis naturaly contributes to these broad market developments in participating to the advances of the mathematicaltools aiming at a better theory of energy contingent claim pricing/hedging. We proposemany realistic two-factor and three-factor models for spot and forward price processesthat generalize some well known and standard modeling assumptions. We develop theassociated pricing methodologies and propose stable calibration algorithms that motivatethe application of the relevant modeling schemes.