effects, i.e., it is possible that the structure of the volatility surface changes without a change in the volatility level … state, I show that this superior performance is directly linked to a third volatility factor which is unrelated to the … volatility level. The second chapter studies the price of the smile, which is defined as the premia for individual option risk …

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period … averaging results in geometric swap price dynamics. Our framework allows for including typical features as the Samuelson effect …, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …