This paper proposes a new modelling framework for electricity forward markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in energy markets and is highly analytically tractable. We give a detailed account on the probabilistic properties of the...

Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...

Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...