Some commodity prices, like oil and gas, exhibit the mean reversion, unlike stock price. It means that they tend over time to return to some long-term mean.In this paper we consider a risky asset S_t following the mean-reverting stochastic process. The aim of this paper is to obtain an explicit...

This paper is devoted to the pricing of variance and volatility swaps in energy market. We found explicit variance swap formula and closed form volatility swap formula (using Brockhaus-Long approximation) for energy asset with stochastic volatility that follows continuous-time GARCH (1,1) model...

The paper overviews our recent results in energy market modelling, including: option pricing formula for a mean-reversion asset; variance and volatility swaps in energy markets; applications of weather derivatives in energy markets; pricing crude oil options using L evy processes; energy...