Modeling power forward prices for power with spikes: a non-Markovian approach Original Research Article

We obtain an analytical expression for the power forward prices in the case when the dynamics of the power spot prices with spikes are described by the non-Markovian stochastic process proposed earlier by the author. We also show how the power forward prices far from the maturity time of the forward contracts on power do not exhibit spikes while the power spot prices do.