  In this paper we introduce a flexible HJM-type framework that allows for
consistent modelling of intraday, spot, futures, and option prices. This
framework is based on stochastic processes with economic interpretations and
consistent with the initial term structure given in the form of a price forward
curve. Furthermore, the framework allows for existing day-ahead spot price
models to be used in an HJM setting. We include several explicit examples of
classical spot price models but also show how structural models and factor
models can be formulated within the framework.
