nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible … futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented … electricity, temperature and gas markets are given to link theory to practice …

static superhedge, i.e. a buy-and-hold strategy generating an affine-linear payoffs. We study whether a superhedge can be … which require the same initial capital. In a model with stochastic jumps, it is always ither a dynamic or a static strategy … the strategy will never contain an investment in the money market account. On the other hand, when interest rates are …