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We study historical calibration of one- and two-factor models that are knownto describe relatively well the dynamics of energy underlyings such as spot andindex natural gas or oil prices at different physical locations or regionalpower prices. We take into account uneven frequency of data due to weekends,holidays, and possible missing data. We study the case when several one- andtwo-factor models are used in the joint model with correlated model factors andpresent examples of joint calibration for daily natural gas prices at severallocations in the US and for regional hourly power prices.

Calibration of One- and Two-Factor Models For Valuation of Energy Multi-Asset Derivative Contracts