kyos , +31 (0)23 5510221, Marcus Nossman , nossman@kyos

1. Pricing Electricity Swaptions under a Stochastic Volatility Term-Structure Model with Jumps Evidence from the Nord Pool Market R. Green, Lund University K. Larsson, Lund University M. Nossman, Kyos Energy Consulting Conference on Energy Finance, Vienna, Austria, 2012-09-17 www.kyos.com, +31 (0)23 5510221, Marcus Nossman, nossman@kyos.com

2. Outline of the Presentation

3. Introduction of the model

4. Introduction of the model

5. Introduction of the model

6. Introduction of the model

7. Introduction of the model

8. Introduction of the model

9. Introduction of the model

10. Implied volatility data from the Nord Pool market

11. Calibration procedure

12. Calibration procedure

13. In-sample and out-of-sampel results

14. In-sample and out-of-sampel results

15. In-sample and out-of-sampel results

16. In-sample and out-of-sampel results

17. In-sample and out-of-sampel results

18. In-sample and out-of-sampel results

19. In-sample and out-of-sampel results

20. Conclusions

21. References