The objectives are to introduce dynamic stochastic models, such as OU processes, continuous-time autoregressive processes, for prices in commodity and energy markets. Additionally, the stochastic processes are driven by Brownian motion and simple jump processes to model sudden price changes (spikes), which are characteristic for some energy markets are introduced. The dynamic modelling of temperature, wind and sun, and analyze these in the context of energy markets, but also the independent markets for weather products.To deliver the information on the theory on pricing measures and risk premium, and the term structure of volatility analyzed. It focuses also on making the models and analysis operational in practical applications.