This paper presents a family of processes to model electricity spot prices in deregulated markets. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a...

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

The goal of the paper is to show that some types of Levy processes such as the hyperbolic motion and the CGMY are particularly suitable for asset price modelling and option pricing. We wish to review some fundamental mathematic properties of Levy distributions, such as the one of infinite...

Models which hypothesize that returns are pure jump processes with independent increments have been shown to be capable of capturing the observed variation of market prices of vanilla stock options across strike and maturity. In this paper, these models are employed to derive in closed form the...

We investigate the importance of diffusion and jumps in a new model for asset returns. In contrast to standard models, we allow for jump components displaying finite or infinite activity and variation. Empirical investigations of time series indicate that index dynamics are devoid of a diffusion...

We will show in this paper the role of inventories in explaining copper price volatility. Using a three factor model we derive a fundamental long-term value for copper. Second, we emphasis the significance of this fundamental long-term value by considering an agent based model approach in which...

We address the problem of managing a storable commodity portfolio, that includes physical assets and positions in spot and forward markets. The vast amount of capital involved in the acquisition of a power plant or storage facility implies that the financing period stretches over a period of...

The aim of the paper is to analyze the diversification effect brought by crude oil Futures contracts, the most liquid commodity Futures, into a portfolio of stocks. The studies that have documented the very low- and essentially negative-correlations between commodities and equities typically...

Commodities represent today the fastest growing markets worldwide. Historically misunderstood, generally under– studied and under– valued, certainly under– represented in the literature, commodities are suddenly receiving the attention they deserve. Bringing together some of the best...