Over the past few years, the electricity derivatives market has experienced a substantial growth in the volume of trade and the diversity of available products. This has led to a rich data environment that requires more sophisticated and accurate modelling approaches for electricity spot prices. This paper deals with an analysis of continuous-time stochastic volatility jump-diffusion processes in the context of pricing of futures contracts written on electricity spots. We formulate a variety of models which aim to capture the most prominent characteristics and stylised facts of the electricity spot market including mean reversion, seasonality, extreme volatility, and spikes. The proposed modelling framework extends the existing models by incorporating mean reversion, stochastic volatility, and jumps in both the underlying spot price process and its volatility. The modelling parameters are estimated using the Markov Chain Monte Carlo (MCMC) technique for the Australian electricity market. We find that incorporating stochastic volatility and jumps in both the underlying electricity spot price and its volatility is absolutely essential to accurately fit the observed electricity spot prices. We derive futures prices in a semi-closed form and confirm flexibility of the proposed models by their ability to fit the observed spot and futures prices in the Australian electricity market.

在过去的几年中，电力衍生品市场的交易量和可用产品的多样性有了大幅增长。这导致了一个丰富的数据环境，该环境需要更复杂，更准确的电现货价格建模方法。本文分析了在现货电价上的期货合约定价环境下的连续时间随机波动跳跃-扩散过程。我们制定了各种模型，旨在捕捉电力现货市场的最突出特征和典型事实，包括均值回归，季节性，极端波动和峰值。拟议的建模框架通过合并均值回归，随机波动率，并同时影响了基础现货价格过程及其波动性。使用澳大利亚电力市场的马尔可夫链蒙特卡洛（MCMC）技术估算建模参数。我们发现，将随机波动性和潜在的现货电价及其波动性两者相结合，对于准确拟合所观察到的现货电价绝对是必不可少的。我们以半封闭形式得出期货价格，并通过它们能够拟合澳大利亚电力市场中现货和期货价格的能力来确认所提议模型的灵活性。我们发现，将随机波动性和潜在的现货电价及其波动性两者相结合，对于准确拟合所观察到的现货电价绝对是必不可少的。我们以半封闭形式得出期货价格，并通过它们能够拟合澳大利亚电力市场中现货和期货价格的能力来确认所提议模型的灵活性。我们发现，将随机波动性和潜在的现货电价及其波动性两者相结合，对于准确拟合所观察到的现货电价绝对是必不可少的。我们以半封闭形式得出期货价格，并通过它们能够适应澳大利亚电力市场中观察到的现货和期货价格的能力来确认所提议模型的灵活性。