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...

This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important subclass of Lévy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main modelling idea consists of four principles: First, deseasonalised spot...

This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how...

Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection...

This paper proposes a multivariate model for commodity forward curves which is based on multivariate ambit fields.We show how a multivariate ambit field can be used to describe complex dependencies between commodities while staying in a tractable multivariate martingale framework. Moreover, we...