Given the large number of specialist volatility models available to use and the
numerous issues set out above it is impossible to review those that are most
appropriate to the energy markets without becoming immersed in the technical
details that are best left to the specialist academics and financial engineers. It is
worth stating that, to date, the modeling challenges associated with the power
markets have not been fully resolved and as such no model is fully adequate. The
important factor given the dynamic nature of the energy markets is to have a model
that can be continually updated from historical data and flexible enough to add in
manual adjustments as necessary. The challenge is to find the model that closest
meets your needs and which does the least amount of harm.
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