Sara Blanco: Forwards and spots in energy markets modelled by Lévy Semistationary Processes.

Abstract: We will present a technique involving the Laplace transform
to express the forward price by means of the spot when this
last one is modelled by a Lévy Semistationary Process (LSS process).
LSS processes constitute an important general class of moving-average
models for electricity spot prices. In particular we will deal with
continuous time auto-regressive processes (CAR(p)) or more generally
with continuous time auto-regressive moving average processes (CARMA(p,q)).
In this talk we will apply the technique for CAR(p)=CARMA(p,0) processes
and CARMA(p,q) processes with q=1,2.