The spot price of electricity is highly skewed and heavy-tailed, as a result of the interaction of different variables that affect that market. Such characteristics impact the design of power plants with different technologies, fuel prices, and energy demand. This paper introduces the...

Spot prices of electricity in liberalized markets feature seasonality, mean reversion, random short-term jumps, skewness and highly kurtosis, as a result from the interaction between the supply and demand and the physical restrictions for transportation and storage. To account for such stylized...

Energy purchases/sales in liberalized markets are subject to price and quantity uncertainty, which should be jointly modeled by relaxing the unreliable normality assumption for capturing risk. In this paper, we consider the spot price and energy generation to follow a bivariate...

The aim of this paper is to determine whether forward-looking option-implied returns forecasts lead to better out-of-sample portfolio performance than conventional time series models. We consider a simple two-asset setting with a risk-free asset and the S&P 500 index the risky asset with monthly...

We propose a semiparametric single-factor diffusion model for the term structure of interest rate. The model is highly flexible and encompasses most parametric single-factor models proposed in the literature. We fit the semiparametric model to a proxy of the Eurodollar short term interst rate...

In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dependent volatility and serial dependence are well established properties of financial time series and our model covers both. To illustrate...