  Contracts for Difference (CfDs) are forwards on the spread between an area
price and the system price. Together with the system price forwards, these
products are used to hedge the area price risk in the Nordic electricity
market. The CfDs are typically available for the next two months, three
quarters and three years. This is fine, except that CfDs are not traded at
NASDAQ OMX Commodities for every Nord Pool Spot price area. We therefore ask
the hypothetical question: What would the CfD market price have been, say in
the price area NO2, if it had been traded? We build regression models for each
observable price area, and use Bayesian elicitation techniques to obtain prior
information on how similar the different price areas are to forecast the price
in an area where CfDs are not traded.
