  We propose a new structural model that can compute the electricity spot and
forward prices in two coupled markets with limited interconnection and multiple
fuels. We choose a structural approach in order to represent some key
characteristics of electricity spot prices such as their link to fuel prices,
consumption level and production fleet. With this model, explicit formulas are
also available for forward prices and other derivatives. We give some
illustrative results of the behaviour of spot and forward prices, and of the
values of transmission rights.
