Using a detailed data set of electricity forward prices in Central Europe, we compute the intra-day risk premium and … market price of risk for the two electricity exchanges European Energy Exchange (EEX) and Energy Exchange Austria (EXAA …). Given the significant volatility and jump risk of electricity prices, these closely linked markets offer an opportunity to …

professionals in the liberalized electricity and natural gas markets. In its opening chapter, the book delves into fundamental … distinguishing characteristics of electricity and natural gas compared to other commodities are emphasised. Moving forward, the next …