I propose several mean-reversion jump-diffusion models to describe spot prices of energy commodities that may be very costly to store. I incorporate multiple jumps, regime-switching and stochastic volatility into these models in order to capture the salient features of energy commodity prices due to physical characteristics of energy commodities. Prices of various energy commodity derivatives are derived under each model using the Fourier transform methods. In the context of deregulated electric power industry, I construct a real options approach to value physical assets such as generation and transmission facilities. The implications of modeling assumptions to the valuation of real assets are also examined.