We consider a financial market driven by a Levy process with filtration  [image omitted]. An insider in this market is an agent who has access to more information than an honest trader. Mathematically, this is modelled by allowing a strategy of an insider to be adapted to a bigger filtration...

Sums of Levy-driven Ornstein-Uhlenbeck processes are appropriate for modelling electricity spot price data. In this paper we present a new estimation method with particular emphasis on capturing the high peaks, which is one of the stylized features of such data. After introducing our method we...