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In this study, we evaluate the relationship between the forward rates and the future delivery period with the consideration of the Levy process for a time-inhomogeneous exponential jump-diffusion process and model the forward curve. This is a large variety of stylized features observed in the Samuelson effect of increasing volatilities close to maturity. However, a new method based on characteristic functions is used to estimate the jump component in a finite-activity Levy process, which includes the jump frequency and the jump size distribution which enables ´ the further investigation of the properties of estimators without the presence of high frequency data ∆. Numerical implementation of the approach was applied on sample electricity data of about 10,000 observations between the period of 2 years and then a seasonalized forecast for an extra year was implemented to normalize the volatility in forwards contracts.

Evaluation of energy forward curves with jumps under the general Levy process