Modelling electricity forward markets by ambit fields
This paper proposes a new modelling framework for electricity forward markets, which is based on ambit fields. The new model can capture many of the stylised facts observed in energy markets. One of the main differences to the traditional models lies in the fact that we do not model the dynamics, but the forward price directly, where we focus on models which are stationary in time. We give a detailed account on the probabilistic properties of the new model and we discuss martingale conditions and change of measure within the new model class. Also, we derive a model for the spot price which is obtained from the forward model through a limiting argument.
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