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...

Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, these exhibit a significant time-varying risk premium. Using EEX data during the introduction of Emission certificates and the German "Atom Moratorium" we show...

Electricity markets feature a non-storable underlying, which implies the break down of traditional cash-and-carry arguments as well as the well-known spot-forward relationship. We introduce the notion of information premium to describe the influence of future information - such as planned power...