This paper suggests a stochastic volatility term-structure model applied to the pricing of electricity swaptions in the Nordic power market traded at the Nasdaq OMX Commodities exchange. The volatility structure in the model is specified as a product of a time-dependent function that handles the...

In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time series study of crude oil prices. We compare four different models and estimate them using the Markov Chain Monte Carlo method. The support for a stochastic volatility model...

We propose a novel stochastic time series model able to explain the stylized features of daily irradation level data in 5 cities in Germany. The model is suitable for applications to risk management of photovoltaic power production in renewable energy markets. The suggested dynamics is a low...

In this paper we develop a general method for deriving closed form approximations of European option prices and equivalent implied volatilities in stochastic volatility models. Our method relies on perturbations of the model dynamics and we show how the expansion terms can be calculated using...