We consider a seasonal mean-reverting model for energy commodity prices with jumps and Heston-type stochastic volatility, as well as three nested models for comparison. By exploiting the affine form of the log-spot models, we develop a general valuation framework for futures and discrete...

The aim of this paper is to investigate the behaviour of the spot prices of eight of the most important energy markets that trade futures contracts on NYMEX. We model the energy spot prices with a Mean Reversion (MR) and a Mean Reversion Jump Diffusion (MRJD) specification for the returns'...