The electricity spot price exhibits several
unique stylized features, including seasonality, large jumps (many times higher than
the average price), and mean reversion. In addition, while stocks are sold at a single
point in time, electricity contracts always imply the delivery over a certain period of
time. Therefore, electricity forwards and derivatives are written on a delivery period
(a week, a month, or even a year). The following paragraph describes the contracts
and mathematical objects occurring in this context, which will be the basis for our
model.