Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...

We introduce a dynamical model for the time evolution of probability density functions incorporating uncertainty in the parameters. The uncertainty follows stochastic processes, thereby defining a new class of stochastic processes with values in the space of probability densities. The purpose is...

This paper investigates the relationship between volatility and liquidity on the German electricity futures market based on high-frequency intraday prices. We estimate volatility by the time-weighted realized variance acknowledging that empirical intraday prices are not equally spaced in time....

The recent introduction of wind power futures written on the German wind power production index has brought with it new interesting challenges in terms of modeling and pricing. Some particularities of this product are the strong seasonal component embedded in the underlying, the fact that the...

We propose a stochastic model for the maximal production of photovoltaic (PV) power on a daily basis based on data from three transmission system operators in Germany. We apply the sun intensity as a seasonal function and model the deseasonalized data by an autoregressive process with skewed...

In energy markets, the use of quanto options have increased significantly in the recent years. The payoff from such options are typically written on an underlying energy index and a measure of temperature and are suited for managing the joint price and volume risk in energy markets. Using an HJM...

We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hilbert space of real-valued function on the positive real line, which is the state space for the term structure...