Overview of Some Recent Results of Energy Market Modeling and Clean Energy Vision in Canada

Abstract

This paper overviews our recent results of energy market modeling, including The option pricing formula for a mean-reversion asset, variance and volatility swaps on energy markets, applications of weather derivatives on energy markets, pricing crude oil options using the Lévy processes, energy contracts modeling with delayed and jumped volatilities, applications of mean-reverting processes on Alberta energy markets, and alternatives to the Black-76 model for options valuation of futures contracts. We will also consider the clean renewable energy prospective in Canada, and, in particular, in Alberta and Calgary.

Keywords

• energy markets
• option pricing
• mean-reverting assets
• variance and volatility swaps
• risk premia on energy markets
• crude oil pricing