We propose a joint modeling of spot electricity prices, forwards prices and other derivative prices, using recent developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of compound autoregressive (or affine) stochastic processes. We show that...

We propose a joint modeling of spot electricity prices, forwards prices and other derivative prices, using recent developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of Compound Autoregressive (or affine) stochastic processes. We show that...

We propose a joint modeling of spot electricity prices , forwards prices and other derivative prices, using recent developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of Compound Autoregressive (or affine) stochastic processes. We show that...