Although electricity is considered to be a commodity, its price behavior is remarkably different from most other commodities or assets on the market. Since power can hardly be stored physically, the storage-based methodology, which is widely used for valuing commodity derivatives, is unsuitable for electricity. Therefore, new approaches are required to understand and reproduce its price dynamics. Concurrently, the demand for derivative instruments has grown and new types of contracts for energy markets have been introduced. Swing options, in particular, have attracted an increasing interest, offering more flexibility and reducing exposure to strong price fluctuations. In this thesis, we propose a mean-reverting model with seasonality and double exponential jumps. It is able to accurately reproduce the behavior and main peculiarities of electricity's spot prices. With this model, we can characterize the swing option value as a solution to a partial integro-differential complementarity problem, which we solve numerically. In the last part of the thesis, we present a more complex type of swing options, in which we also include variable electricity volumes in the contract. This formulation leads to a two-dimensional Hamilton-Jacobi-Bellman (HJB) equation. By applying the method of characteristics, this problem is simplified to a sequence of one dimensional HJB equations, which are solved numerically by using a similar approach as before
