Structural models for coupled electricity markets

In order to construct a model suitable for these tasks, we extend the class of structural or hybrid models, which were introduced by Carmona et al. (2013) and Aid et al. (2013), to a multi-market framework. We derive analytical formulae for the distribution of spot prices, for futures prices, and for plain vanilla options. We also calibrate the model to the French-German market area and study the effect of market coupling on electricity prices and the value of power plants.