Wahab, M. I. M.; Yin, Z.; Edirisinghe, N. C. P. - In: Quantitative Finance 10 (2010) 9, pp. 975-994
The spot price market for electricity is highly volatile. The time series of the daily average electricity price is characterised by seasonality, mean reversion, jumps, and regime-switching processes. In electricity markets, 'swing' contracts, which can provide some protection against the...