We present a new model for the electricity spot price dynamics, which is able
to capture seasonality, low-frequency dynamics and the extreme spikes in the
market. Instead of the usual purely deterministic trend we introduce a
non-stationary independent increments process for the low-frequency dynamics,
and model the large fluctuations by a non-Gaussian stable CARMA process. The
model allows for analytic futures prices, and we apply these to model and
estimate the whole market consistently.