Jump in electricity prices is often due to shock in electricity demand or shock in existing electricity supplies, which can be caused by sudden changes in temperature or production and system failure. Since jumps in electricity dynamics are directly related to the regime switch, we model them via the chain itself and consider a regime switching model for electricity spot price dynamic. Next, we determine an equivalent measure by Esscher transform and through it we evaluate the electricity forwards and risk premium. We apply expectation maximization algorithm to estimate parameters of the model. Furthermore, we use the real data of Nord Pool market to calibration of the proposed model. Using the characteristic function of model, we obtain a closed-form for forward contracts of Nord Pool market. Finally, we provide forward surfaces which show the months, quarters and seasons-ahead prices.

电价的上涨通常是由于电力需求的冲击或现有电力供应的冲击，这可能是由于温度的突然变化或生产和系统故障引起的。由于电力动态的跳跃与制度转换直接相关，因此我们通过链本身对它们进行建模，并考虑电力现货价格动态的制度转换模型。接下来，我们通过Esscher变换确定等效的度量，然后通过它评估电力远期和风险溢价。我们应用期望最大化算法来估计模型的参数。此外，我们使用Nord Pool市场的真实数据对提出的模型进行校准。利用模型的特征函数，我们获得了北泳池市场远期合约的封闭形式。最后，