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1

[Advanced Series on Statistical Science and Applied Probability] Modeling and Pricing in Financial Markets for Weather Derivatives Volume 17 || Financial markets for weather

Benth, Fred Espen, Benth, Jūratė Šaltytė

Année:

2012

Langue:

english

Fichier:

PDF, 147 KB

english, 2012

2

Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

Fred Espen Benth, Kenneth Hvistendahl Karlsen, Kristin Reikvam

Journal:

Mathematical Finance

Année:

2003

Langue:

english

Fichier:

PDF, 291 KB

english, 2003

3

Stochastic modeling of Supramax spot and forward freight rates

Benth, Fred Espen, Koekebakker, Steen

Journal:

Maritime Economics & Logistics

Année:

2016

Langue:

english

Fichier:

PDF, 1.12 MB

english, 2016

4

Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation

Benth, Fred Espen, Koekkebakker, Steen, Ollmar, Fridthjof

Journal:

The Journal of Derivatives

Année:

2007

Langue:

english

Fichier:

PDF, 923 KB

english, 2007

5

A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures

Benth, Fred Espen, Pircalabu, Anca

Journal:

Applied Mathematical Finance

Année:

2018

Langue:

english

Fichier:

PDF, 2.91 MB

english, 2018

6

Pricing of basket options using univariate normal inverse Gaussian approximations

Fred Espen Benth, Pål Nicolai Henriksen

Journal:

Journal of Forecasting

Année:

2011

Langue:

english

Fichier:

PDF, 437 KB

english, 2011

7

Quantitative Energy Finance ||

Benth, Fred Espen, Kholodnyi, Valery A., Laurence, Peter

Année:

2014

Langue:

english

Fichier:

PDF, 8.60 MB

english, 2014

8

A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

Benth, Fred Espen, Kallsen, Jan, Meyer‐Brandis, Thilo

Journal:

Applied Mathematical Finance

Année:

2007

Langue:

english

Fichier:

PDF, 419 KB

english, 2007

9

Weather Derivatives and Stochastic Modelling of Temperature

Benth, Fred Espen, Šaltytė Benth, Jūratė

Journal:

International Journal of Stochastic Analysis

Année:

2011

Langue:

english

Fichier:

PDF, 392 KB

english, 2011

10

Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium

Fred Espen Benth, Álvaro Cartea, Rüdiger Kiesel

Journal:

Journal of Banking & Finance

Année:

2008

Langue:

english

Fichier:

PDF, 285 KB

english, 2008

11

The volatility of temperature and pricing of weather derivatives

Benth, Fred ESPEN, Benth, Jūratė šaltytė

Journal:

Quantitative Finance

Année:

2007

Langue:

english

Fichier:

PDF, 292 KB

english, 2007

12

A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES

BENTH, FRED ESPEN, GROTH, MARTIN, KETTLER, PAUL C.

Journal:

International Journal of Theoretical and Applied Finance

Année:

2006

Langue:

english

Fichier:

PDF, 418 KB

english, 2006

13

On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion

Benth, Fred Espen

Journal:

Applied Mathematical Finance

Année:

2003

Langue:

english

Fichier:

PDF, 169 KB

english, 2003

14

Stochastic Analysis and Applications || G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type

Benth, Fred Espen, Di Nunno, Giulia, Lindstrøm, Tom, Øksendal, Bernt, Zhang, Tusheng

Année:

2007

Langue:

english

Fichier:

PDF, 436 KB

english, 2007

15

Stochastic modeling of financial electricity contracts

Fred Espen Benth, Steen Koekebakker

Journal:

Energy Economics

Année:

2008

Langue:

english

Fichier:

PDF, 515 KB

english, 2008

16

HMM filtering and parameter estimation of an electricity spot price model

Christina Erlwein, Fred Espen Benth, Rogemar Mamon

Journal:

Energy Economics

Année:

2010

Langue:

english

Fichier:

PDF, 951 KB

english, 2010

17

The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps

Fred Espen Benth, Thilo Meyer-Brandis

Journal:

Finance and Stochastics

Année:

2005

Langue:

english

Fichier:

PDF, 154 KB

english, 2005

18

Dynamic pricing of wind futures

Fred Espen Benth, Jūratė Šaltytė Benth

Journal:

Energy Economics

Année:

2009

Langue:

english

Fichier:

PDF, 633 KB

english, 2009

19

A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model

Benth, Fred Espen, Karlsen, Kenneth Hvistendahl

Journal:

Stochastic Analysis and Applications

Année:

2005

Langue:

english

Fichier:

PDF, 149 KB

english, 2005

20

A critical view on temperature modelling for application in weather derivatives markets

Jūratė Šaltytė Benth, Fred Espen Benth

Journal:

Energy Economics

Année:

2012

Langue:

english

Fichier:

PDF, 950 KB

english, 2012

21

A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets

Benth, Fred Espen, Karlsen ¶, Kenneth Hvistendahl

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Année:

2005

Langue:

english

Fichier:

PDF, 289 KB

english, 2005

22

Pricing of temperature index insurance

Che Mohd Imran Che Taib, Fred Espen Benth

Journal:

Review of Development Finance

Année:

2012

Langue:

english

Fichier:

PDF, 1.44 MB

english, 2012

23

Stability of Merton's portfolio optimization problem for Lévy models

Benth, Fred Espen, Schmeck, Maren Diane

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Année:

2013

Langue:

english

Fichier:

PDF, 248 KB

english, 2013

24

Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

Benth, Fred Espen, Groth, Martin, Kufakunesu, Rodwell

Journal:

Applied Mathematical Finance

Année:

2007

Langue:

english

Fichier:

PDF, 528 KB

english, 2007

25

Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets

Benth, Fred Espen, Eyjolfsson, Heidar, Veraart, Almut E. D.

Journal:

SIAM Journal on Financial Mathematics

Année:

2014

Langue:

english

Fichier:

PDF, 303 KB

english, 2014

26

THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS

BENTH, FRED ESPEN, ŠALTYTĖ-BENTH, JŪRATĖ

Journal:

International Journal of Theoretical and Applied Finance

Année:

2004

Langue:

english

Fichier:

PDF, 292 KB

english, 2004

27

THE CARMA INTEREST RATE MODEL

ANDRESEN, ARNE, BENTH, FRED ESPEN, KOEKEBAKKER, STEEN, ZAKAMULIN, VALERIY

Journal:

International Journal of Theoretical and Applied Finance

Année:

2014

Langue:

english

Fichier:

PDF, 391 KB

english, 2014

28

The Risk Premium and the Esscher Transform in Power Markets

Benth, Fred Espen, Sgarra, Carlo

Journal:

Stochastic Analysis and Applications

Année:

2012

Langue:

english

Fichier:

PDF, 274 KB

english, 2012

29

A note on arbitrage‐free pricing of forward contracts in energy markets

Benth, Fred Espen, Ekeland, Lars, Hauge, Ragnar, Nielsen, Bj⊘Rn Fredrik

Journal:

Applied Mathematical Finance

Année:

2003

Langue:

english

Fichier:

PDF, 227 KB

english, 2003

30

PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES

BENTH, FRED ESPEN, ZDANOWICZ, HANNA

Journal:

International Journal of Theoretical and Applied Finance

Année:

2016

Langue:

english

Fichier:

PDF, 287 KB

english, 2016

31

[Advanced Series on Statistical Science & Applied Probability] Stochastic Modeling of Electricity and Related Markets Volume 11 || Modelling of the Electricity Futures Market

Benth, Fred Espen, Benth, Jūratė Šaltytė, Koekebakker, Steen

Année:

2008

Langue:

english

Fichier:

PDF, 449 KB

english, 2008

32

[Advanced Series on Statistical Science & Applied Probability] Modeling and Pricing in Financial Markets for Weather Derivatives Volume 17 || BACK MATTER

Benth, Fred Espen, Benth, Jūratė Šaltytė

Année:

2012

Langue:

english

Fichier:

PDF, 163 KB

english, 2012

33

Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models

Benth, Fred Espen, Krühner, Paul

Journal:

Finance and Stochastics

Année:

2018

Langue:

english

Fichier:

PDF, 987 KB

english, 2018

34

Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework

Benth, Fred Espen, Piccirilli, Marco, Vargiolu, Tiziano

Journal:

Mathematics and Financial Economics

Année:

2019

Langue:

english

Fichier:

PDF, 508 KB

english, 2019

35

A Connection between Singular Stochastic Control and Optimal Stopping

Fred Espen Benth, Kristin Reikvam

Journal:

Applied Mathematics & Optimization

Année:

2004

Langue:

english

Fichier:

PDF, 225 KB

english, 2004

36

Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution

Fred Espen Benth, Kenneth Hvistendahl Karlsen, Kristin Reikvam

Journal:

Finance and Stochastics

Année:

2001

Langue:

english

Fichier:

PDF, 155 KB

english, 2001

37

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes

Fred Espen Benth, Giulia Di Nunno, Arne Løkka, Bernt Øksendal, Frank Proske

Journal:

Mathematical Finance

Année:

2003

Langue:

english

Fichier:

PDF, 153 KB

english, 2003

38

THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS

Fred Espen Benth

Journal:

Mathematical Finance

Année:

2011

Langue:

english

Fichier:

PDF, 383 KB

english, 2011

39

On the Positivity of the Stochastic Heat Equation

Fred Espen Benth

Journal:

Potential Analysis

Année:

1997

Langue:

english

Fichier:

PDF, 181 KB

english, 1997

40

[Universitext] Option Theory with Stochastic Analysis || Pricing and Hedging of Contingent Claims

Benth, Fred Espen

Année:

2004

Langue:

english

Fichier:

PDF, 4.30 MB

english, 2004

41

[Universitext] Option Theory with Stochastic Analysis || Statistical Analysis of Data from the Stock Market

Benth, Fred Espen

Année:

2004

Langue:

english

Fichier:

PDF, 2.06 MB

english, 2004

42

An empirical study of the information premium on electricity markets

Benth, Fred Espen, Biegler-König, Richard, Kiesel, Rüdiger

Journal:

Energy Economics

Année:

2013

Langue:

english

Fichier:

PDF, 2.36 MB

english, 2013

43

Stochastic Analysis and Applications || Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2

Benth, Fred Espen, Di Nunno, Giulia, Lindstrøm, Tom, Øksendal, Bernt, Zhang, Tusheng

Année:

2007

Langue:

english

Fichier:

PDF, 297 KB

english, 2007

44

Optimal portfolios in commodity futures markets

Benth, Fred Espen, Lempa, Jukka

Journal:

Finance and Stochastics

Année:

2014

Langue:

english

Fichier:

PDF, 749 KB

english, 2014

45

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen, Klüppelberg, Claudia, Müller, Gernot, Vos, Linda

Journal:

Energy Economics

Année:

2014

Langue:

english

Fichier:

PDF, 652 KB

english, 2014

46

On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets

Benth, Fred Espen, Taib, Che Mohd Imran Che

Journal:

Energy Economics

Année:

2013

Langue:

english

Fichier:

PDF, 438 KB

english, 2013

47

A critical empirical study of three electricity spot price models

Benth, Fred Espen, Kiesel, Rüdiger, Nazarova, Anna

Journal:

Energy Economics

Année:

2012

Langue:

english

Fichier:

PDF, 2.72 MB

english, 2012

48

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2013 Volume 2081 ||

Benth, Fred Espen, Crisan, Dan, Guasoni, Paolo, Manolarakis, Konstantinos, Muhle-Karbe, Johannes, Nee, Colm, Protter, Philip

Année:

2013

Langue:

english

Fichier:

PDF, 4.02 MB

english, 2013

49

Modeling the Forward Surface of Mortality

Bauer, Daniel, Benth, Fred Espen, Kiesel, Rüdiger

Journal:

SIAM Journal on Financial Mathematics

Année:

2012

Langue:

english

Fichier:

PDF, 422 KB

english, 2012

50

Dynamic copula models for the spark spread

Benth, Fred Espen, Kettler, Paul C.

Journal:

Quantitative Finance

Année:

2011

Langue:

english

Fichier:

PDF, 883 KB

english, 2011