We obtain an analytical expression for the power forward prices in the case when the dynamics of the power spot prices with spikes is described by the non-Markovian stochastic process introduced earlier by the author. We also show how in this case the power forward prices do not exhibit spikes...

We present a model that allows for a relatively simple analytical valuation of a full requirements contract in terms of power forward prices and load in the case when power forward prices follow a geometric Brownian motion and load follows a mean-reverting process. This model represents a...

We obtain an analytical expression for the power forward prices in the case when the dynamics of the power spot prices with spikes is described by the non-Markovian stochastic process introduced earlier by the author. We also show how the power forward prices do not exhibit spikes while the...