  One of the peculiarities of power and gas markets is the delivery mechanism
of forward contracts. The seller of a futures contract commits to deliver, say,
power, over a certain period, while the classical forward is a financial
agreement settled on a maturity date. Our purpose is to design a
Heath-Jarrow-Morton framework for an additive, mean-reverting, multicommodity
market consisting of forward contracts of any delivery period. The main
assumption is that forward prices can be represented as affine functions of a
universal source of randomness. This allows us to completely characterize the
models which prevent arbitrage opportunities: this boils down to finding a
density between a risk-neutral measure $\mathbb{Q}$, such that the prices of
traded assets like forward contracts are true $\mathbb{Q}$-martingales, and the
real world probability measure $\mathbb{P}$, under which forward prices are
mean-reverting. The Girsanov kernel for such a transformation turns out to be
stochastic and unbounded in the diffusion part, while in the jump part the
Girsanov kernel must be deterministic and bounded: thus, in this respect, we
prove two results on the martingale property of stochastic exponentials. The
first allows to validate measure changes made of two components: an
Esscher-type density and a Girsanov transform with stochastic and unbounded
kernel. The second uses a different approach and works for the case of
continuous density. We apply this framework to two models: a generalized
Lucia-Schwartz model and a cross-commodity cointegrated market.
