Cartea, ÁlvaroFigueroa, Marcelo G.2011-09-212011-09-212005-09-02https://hdl.handle.net/10016/12137In this paper we present a mean-reverting jump diffusion model for the electricity spot price and derive the corresponding forward in closed-form. Based on historical spot data and forward data from England and Wales we calibrate the model and present months, quarters, and seasons–ahead forward surfacesapplication/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaEnergy derivativesElectricityForward curveForward surfacesworking paperEmpresaopen access