In many electricity markets, retailers purchase electricity at an unregulated spot price and sell to consumers at a heavily-regulated price. Consequently the occurrence of extreme movements in the spot price represent a major source of risk to retailers and the accurate forecasting of these...

During periods of market stress, electricity prices can rise dramatically. This paper treats these abnormal episodes or price spikes as count events and attempts to build a model of the spiking process. By contrast to the existing literature, which either ignores temporal dependence in the...

Many common option pricing problems require numerical solution techniques. One standard tool is to solve a finite difference approximation to the instrument's fundamental partial differential equation (PDE), with appropriate boundary conditions. The approximation will converge to the true...