We derive risk-neutral option price formulas for plain-vanilla and exotic electricity futures derivatives on the basis of diverse arithmetic multi-factor Ornstein-Uhlenbeck spot price models admitting seasonality. In these setups, we take additional forward-looking knowledge on future price...

We derive risk-neutral option price formulas for plain-vanilla temperature futures derivatives on the basis of several multi-factor Ornstein-Uhlenbeck temperature models which allow for seasonality in the mean level and volatility. Our main innovation consists in an incorporation of omnipresent...

In this article we derive risk-neutral option price formulas for both plain-vanilla and exotic electricity futures derivatives on the basis of diverse arithmetic multi-factor Ornstein-Uhlenbeck spot price models admitting seasonality, while – in order to avoid “information...

We derive utility maximizing portfolios and consumption rates in electricity futures markets under anticipative information modeled by enlarged filtrations. The emerging optimization exercises are solved by point-wise maximization and a sufficient stochastic maximum principle. We provide...

In this paper, we present a new precipitation model based on a multi-factor Ornstein-Uhlenbeck approach of pure-jump type. In this setup, we derive a representation for the related precipitation swap price process and infer its risk-neutral time dynamics. We further deduce a pricing formula for...

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum principle. Our explicit results are particularly useful...

We extend the arithmetic multi-factor electricity spot price model proposed by Benth, Kallsen & Meyer-Brandis by adding stochastic mean-level processes to their model and by taking additional information on the future behavior of these mean-level processes into account. The available...