  In this article we discuss the application of the Heath-Jarrow-Morton
framework Heath et al. [26] to energy markets. The goal of the article is to
give a detailed overview of the topic, focusing on practical aspects rather
than on theory, which has been widely studied in literature. This work aims to
be a guide for practitioners and for all those who deal with the practical
issues of this approach to energy market. In particular, we focus on the
markets' structure, model calibration by dimension reduction with Principal
Component Analysis (PCA), Monte Carlo simulations and derivatives pricing. As
application, we focus on European power and gas markets: we calibrate the model
on historical futures quotations, we perform futures and spot simulations and
we analyze the results.
