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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

Year:

2012

Language:

english

File:

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

Year:

2003

Language:

english

File:

PDF, 291 KB

english, 2003

3

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

Year:

2007

Language:

english

File:

PDF, 923 KB

english, 2007

4

Stochastic modeling of Supramax spot and forward freight rates

Benth, Fred Espen, Koekebakker, Steen

Journal:

Maritime Economics & Logistics

Year:

2016

Language:

english

File:

PDF, 1.12 MB

english, 2016

5

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

Benth, Fred Espen, Pircalabu, Anca

Journal:

Applied Mathematical Finance

Year:

2018

Language:

english

File:

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

Year:

2011

Language:

english

File:

PDF, 437 KB

english, 2011

7

Quantitative Energy Finance ||

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

Year:

2014

Language:

english

File:

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

Year:

2007

Language:

english

File:

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

Year:

2011

Language:

english

File:

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

Year:

2008

Language:

english

File:

PDF, 285 KB

english, 2008

11

The volatility of temperature and pricing of weather derivatives

Benth, Fred ESPEN, Benth, Jūratė šaltytė

Journal:

Quantitative Finance

Year:

2007

Language:

english

File:

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

Year:

2006

Language:

english

File:

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

Year:

2003

Language:

english

File:

PDF, 169 KB

english, 2003

14

Stochastic Modeling of Wind Derivatives in Energy Markets

Benth, Fred, Di Persio, Luca, Lavagnini, Silvia

Journal:

Year:

2018

Language:

english

File:

PDF, 543 KB

english, 2018

15

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

Year:

2005

Language:

english

File:

PDF, 154 KB

english, 2005

16

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

Year:

2005

Language:

english

File:

PDF, 149 KB

english, 2005

17

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

Year:

2005

Language:

english

File:

PDF, 289 KB

english, 2005

18

Pricing of temperature index insurance

Che Mohd Imran Che Taib, Fred Espen Benth

Journal:

Review of Development Finance

Year:

2012

Language:

english

File:

PDF, 1.44 MB

english, 2012

19

Computing Optimal Recovery Policies for Financial Markets

Benth, Fred E., Dahl, Geir, Mannino, Carlo

Journal:

Operations Research

Year:

2012

Language:

english

File:

PDF, 601 KB

english, 2012

20

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

Year:

2013

Language:

english

File:

PDF, 248 KB

english, 2013

21

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

Year:

2007

Language:

english

File:

PDF, 528 KB

english, 2007

22

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

Year:

2014

Language:

english

File:

PDF, 303 KB

english, 2014

23

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

Year:

2004

Language:

english

File:

PDF, 292 KB

english, 2004

24

QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS

BENTH, FRED E., DAHL, LARS O., KARLSEN, KENNETH H.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2003

Language:

english

File:

PDF, 296 KB

english, 2003

25

THE CARMA INTEREST RATE MODEL

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

Journal:

International Journal of Theoretical and Applied Finance

Year:

2014

Language:

english

File:

PDF, 391 KB

english, 2014

26

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

Year:

2007

Language:

english

File:

PDF, 436 KB

english, 2007

27

The Risk Premium and the Esscher Transform in Power Markets

Benth, Fred Espen, Sgarra, Carlo

Journal:

Stochastic Analysis and Applications

Year:

2012

Language:

english

File:

PDF, 274 KB

english, 2012

28

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

Year:

2003

Language:

english

File:

PDF, 227 KB

english, 2003

29

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

Year:

2016

Language:

english

File:

PDF, 287 KB

english, 2016

30

[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

Year:

2008

Language:

english

File:

PDF, 449 KB

english, 2008

31

[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

Year:

2012

Language:

english

File:

PDF, 163 KB

english, 2012

32

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

Benth, Fred Espen, Krühner, Paul

Journal:

Finance and Stochastics

Year:

2018

Language:

english

File:

PDF, 987 KB

english, 2018

33

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

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

Journal:

Mathematics and Financial Economics

Year:

2019

Language:

english

File:

PDF, 508 KB

english, 2019

34

Stochastic modeling of financial electricity contracts

Fred Espen Benth, Steen Koekebakker

Journal:

Energy Economics

Year:

2008

Language:

english

File:

PDF, 515 KB

english, 2008

35

HMM filtering and parameter estimation of an electricity spot price model

Christina Erlwein, Fred Espen Benth, Rogemar Mamon

Journal:

Energy Economics

Year:

2010

Language:

english

File:

PDF, 951 KB

english, 2010

36

A Connection between Singular Stochastic Control and Optimal Stopping

Fred Espen Benth, Kristin Reikvam

Journal:

Applied Mathematics & Optimization

Year:

2004

Language:

english

File:

PDF, 225 KB

english, 2004

37

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

Year:

2001

Language:

english

File:

PDF, 155 KB

english, 2001

38

Dynamic pricing of wind futures

Fred Espen Benth, Jūratė Šaltytė Benth

Journal:

Energy Economics

Year:

2009

Language:

english

File:

PDF, 633 KB

english, 2009

39

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

Year:

2003

Language:

english

File:

PDF, 153 KB

english, 2003

40

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

Fred Espen Benth

Journal:

Mathematical Finance

Year:

2011

Language:

english

File:

PDF, 383 KB

english, 2011

41

On the Positivity of the Stochastic Heat Equation

Fred Espen Benth

Journal:

Potential Analysis

Year:

1997

Language:

english

File:

PDF, 181 KB

english, 1997

42

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

Jūratė Šaltytė Benth, Fred Espen Benth

Journal:

Energy Economics

Year:

2012

Language:

english

File:

PDF, 950 KB

english, 2012

43

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

Benth, Fred Espen

Year:

2004

Language:

english

File:

PDF, 4.30 MB

english, 2004

44

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

Benth, Fred Espen

Year:

2004

Language:

english

File:

PDF, 2.06 MB

english, 2004

45

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

Year:

2007

Language:

english

File:

PDF, 297 KB

english, 2007

46

Optimal portfolios in commodity futures markets

Benth, Fred Espen, Lempa, Jukka

Journal:

Finance and Stochastics

Year:

2014

Language:

english

File:

PDF, 749 KB

english, 2014

47

[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

Year:

2013

Language:

english

File:

PDF, 4.02 MB

english, 2013

48

Modeling the Forward Surface of Mortality

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

Journal:

SIAM Journal on Financial Mathematics

Year:

2012

Language:

english

File:

PDF, 422 KB

english, 2012

49

Dynamic copula models for the spark spread

Benth, Fred Espen, Kettler, Paul C.

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 883 KB

english, 2011

50

A Pricing Measure to Explain the Risk Premium in Power Markets

Benth, Fred Espen, Ortiz-Latorre, Salvador

Journal:

SIAM Journal on Financial Mathematics

Year:

2014

Language:

english

File:

PDF, 561 KB

english, 2014