Given a process with independent increments X (not necessarily a martingale) and a large class of square integrable r.v. H = f(X T ), f being the Fourier transform of a finite measure μ, we provide a direct expression for Kunita-Watanabe and Föllmer-Schweizer decompositions of H. The...

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...