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51

The forward dynamics in energy markets – infinite-dimensional modelling and simulation

Barth, Andrea, Benth, Fred Espen

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2014

Language:

english

File:

PDF, 1003 KB

english, 2014

52

UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES

BENTH, FRED ESPEN, PROSKE, FRANK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 295 KB

english, 2009

53

DONSKER'S DELTA FUNCTION AND THE COVARIANCE BETWEEN GENERALIZED FUNCTIONALS

BENTH, FRED ESPEN, NG, SIU-AH

Journal:

Journal of the London Mathematical Society

Year:

2002

Language:

english

File:

PDF, 246 KB

english, 2002

54

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2013 Volume 2081 || A Mathematical Theory of Financial Bubbles

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

Year:

2013

Language:

english

File:

PDF, 2.02 MB

english, 2013

55

Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk

Benth, Fred Espen, Di Nunno, Giulia, Khedher, Asma, Schmeck, Maren Diane

Journal:

Applied Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 373 KB

english, 2015

56

Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach

Benth, Fred Espen, Krühner, Paul

Journal:

SIAM Journal on Financial Mathematics

Year:

2015

Language:

english

File:

PDF, 1.46 MB

english, 2015

57

A CHANGE OF MEASURE PRESERVING THE AFFINE STRUCTURE IN THE BARNDORFF-NIELSEN AND SHEPHARD MODEL FOR COMMODITY MARKETS

BENTH, FRED ESPEN, ORTIZ-LATORRE, SALVADOR

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 651 KB

english, 2015

58

[Advanced Series on Statistical Science and Applied Probability] Modeling and Pricing in Financial Markets for Weather Derivatives Volume 17 || Modelling and pricing derivatives on precipitation

Benth, Fred Espen, Benth, Jūratė Šaltytė

Year:

2012

Language:

english

File:

PDF, 176 KB

english, 2012

59

FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES

BENTH, FRED ESPEN, BLANCO, SARA ANA SOLANILLA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 805 KB

english, 2015

60

Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives

Benth, Fred Espen, Šaltytė‐Benth, Jūratė

Journal:

Applied Mathematical Finance

Year:

2005

Language:

english

File:

PDF, 1.04 MB

english, 2005

61

Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations

Benth, Fred Espen, Eyjolfsson, Heidar

Journal:

Year:

2016

Language:

english

File:

PDF, 504 KB

english, 2016

62

A space-time random field model for electricity forward prices

Benth, Fred Espen, Paraschiv, Florentina

Journal:

Journal of Banking & Finance

Year:

2017

Language:

english

File:

PDF, 1.22 MB

english, 2017

63

[Advanced Series on Statistical Science & Applied Probability] Modeling and Pricing in Financial Markets for Weather Derivatives Volume 17 || Utility-based approaches to pricing weather derivatives

Benth, Fred Espen, Benth, Jūratė Šaltytė

Year:

2012

Language:

english

File:

PDF, 269 KB

english, 2012

64

Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility

Benth, Fred Espen, Rüdiger, Barbara, Süss, Andre

Journal:

Stochastic Processes and their Applications

Year:

2017

Language:

english

File:

PDF, 411 KB

english, 2017

65

Multivariate Modeling and Analysis of Regional Ocean Freight Rates

Adland, Roar, Benth, Fred Espen, Koekebakker, Steen

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 610 KB

english, 2017

66

Stochastic Modelling of Photovoltaic Power Generation and Electricity Prices

Benth, Fred Espen, Ibrahim, Noor 'Adilah

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 1.81 MB

english, 2017

67

Modelling Energy Spot Prices by Lévy Semistationary Processes

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 272 KB

english, 2010

68

Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets

Benth, Fred Espen, Koekebakker, Steen

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 449 KB

english, 2014

69

VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING

KREMER, MARCEL, BENTH, FRED ESPEN, FELTEN, BJÃRN, KIESEL, RÃDIGER

Journal:

International Journal of Theoretical and Applied Finance

Year:

2020

File:

PDF, 2.99 MB

2020

70

Smoothed Langevin proposals in Metropolis-Hastings algorithms

Øivind Skare, Fred Espen Benth, Arnoldo Frigessi

Journal:

Statistics & Probability Letters

Year:

2000

Language:

english

File:

PDF, 256 KB

english, 2000

71

Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

Fred Espen Benth, Kenneth Hvistendahl Karlsen, Kristin Reikvam

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 210 KB

english, 2001

72

Putting a Price on Temperature

FRED ESPEN BENTH, JŪRATĖ ŠALTYTĖ BENTH, STEEN KOEKEBAKKER

Journal:

Scandinavian Journal of Statistics

Year:

2007

Language:

english

File:

PDF, 908 KB

english, 2007

73

A Remark on the Equivalence between Poisson and Gaussian Stochastic Partial Differential Equations

Fred Espen Benth, Jon Gjerde

Journal:

Potential Analysis

Year:

1998

Language:

english

File:

PDF, 136 KB

english, 1998

74

A Nonlinear Parabolic Equation with Noise

Fred Espen Benth, Håkon K. Gjessing

Journal:

Potential Analysis

Year:

2000

Language:

english

File:

PDF, 111 KB

english, 2000

75

Kriging with Inequality Constraints

Petter Abrahamsen, Fred Espen Benth

Journal:

Mathematical Geosciences

Year:

2001

Language:

english

File:

PDF, 4.70 MB

english, 2001

76

[Universitext] Option Theory with Stochastic Analysis || An Introduction to Stochastic Analysis

Benth, Fred Espen

Year:

2004

Language:

english

File:

PDF, 1.84 MB

english, 2004

77

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

Benth, Fred Espen

Year:

2004

Language:

english

File:

PDF, 1.84 MB

english, 2004

78

[Universitext] Option Theory with Stochastic Analysis || Introduction

Benth, Fred Espen

Year:

2004

Language:

english

File:

PDF, 1.16 MB

english, 2004

79

An empirical study of the information premium on electricity markets

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

Journal:

Energy Economics

Year:

2013

Language:

english

File:

PDF, 2.36 MB

english, 2013

80

A note on convergence of option prices and their Greeks for Lévy models

Benth, Fred Espen, Nunno, Giulia Di, Khedher, Asma

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2013

Language:

english

File:

PDF, 254 KB

english, 2013

81

Stochastic Analysis and Applications ||

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

Year:

2007

Language:

english

File:

PDF, 8.47 MB

english, 2007

82

Stochastic Analysis and Applications || An Application of Probability to Nonlinear Analysis

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

Year:

2007

Language:

english

File:

PDF, 337 KB

english, 2007

83

Futures pricing in electricity markets based on stable CARMA spot models

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

Journal:

Energy Economics

Year:

2014

Language:

english

File:

PDF, 652 KB

english, 2014

84

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

Year:

2013

Language:

english

File:

PDF, 438 KB

english, 2013

85

On stochastic integration for volatility modulated Lévy-driven Volterra processes

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Pedersen, Jan, Veraart, Almut E.D.

Journal:

Stochastic Processes and their Applications

Year:

2014

Language:

english

File:

PDF, 332 KB

english, 2014

86

A critical empirical study of three electricity spot price models

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

Journal:

Energy Economics

Year:

2012

Language:

english

File:

PDF, 2.72 MB

english, 2012

87

Markov Jump Processes with a Singularity

Ole E. Barndorff-Nielsen, Fred Espen Benth and Jens Ledet Jensen

Journal:

Advances in Applied Probability

Year:

2000

Language:

english

File:

PDF, 1.44 MB

english, 2000

88

Analysis and modelling of wind speed in New York

Benth, Jūratė Šaltytė, Benth, Fred Espen

Journal:

Journal of Applied Statistics

Year:

2010

Language:

english

File:

PDF, 570 KB

english, 2010

89

Representation of Infinite-Dimensional Forward Price Models in Commodity Markets

Fred Espen Benth,Paul Krühner

Journal:

Communications in Mathematics and Statistics

Year:

2014

Language:

english

File:

PDF, 479 KB

english, 2014

90

A Spatial-temporal Model for Temperature with Seasonal Variance

Benth, Jūratė šaltytė, Benth, Fred Espen, Jalinskas, Paulius

Journal:

Journal of Applied Statistics

Year:

2007

Language:

english

File:

PDF, 620 KB

english, 2007

91

Convergence rates for finite elementapproximations of stochastic partial differential equations

Benth, Fred Espen, Gjerde, Jon

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1998

Language:

english

File:

PDF, 505 KB

english, 1998

92

Anticipative calculus for Lévy processes and stochastic differential equations *

Espen Benth, Fred, L&#x000D8, kka, Arne

Journal:

Stochastics and Stochastics Reports

Year:

2004

Language:

english

File:

PDF, 247 KB

english, 2004

93

The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model

Benth, Fred Espen, Groth, Martin

Journal:

Stochastic Analysis and Applications

Year:

2009

Language:

english

File:

PDF, 1.73 MB

english, 2009

94

Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut E. D.

Journal:

Year:

2013

Language:

english

File:

PDF, 621 KB

english, 2013

95

Levy Process Simulation by Stochastic Step Functions

Sørensen, Torquil Macdonald, Benth, Fred Espen

Journal:

SIAM Journal on Scientific Computing

Year:

2013

Language:

english

File:

PDF, 1.26 MB

english, 2013

96

SOME REGULARITY RESULTS FOR THE STOCHASTIC PRESSURE EQUATION OF WICK-TYPE

Benth, Fred Espen, Theting, Thomas Gorm

Journal:

Stochastic Analysis and Applications

Year:

2002

Language:

english

File:

PDF, 356 KB

english, 2002

97

On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Szozda, Benedykt

Journal:

Infinite Dimensional Analysis Quantum Probability and Related Topics

Year:

2014

Language:

english

File:

PDF, 338 KB

english, 2014

98

THE GROSS DERIVATIVE AND GENERALIZED RANDOM VARIABLES

BENTH, FRED ESPEN

Journal:

Infinite Dimensional Analysis Quantum Probability and Related Topics

Year:

1999

Language:

english

File:

PDF, 360 KB

english, 1999

99

Integrability of multivariate subordinated Lévy processes in Hilbert space

Benth, Fred Espen, Krühner, Paul

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 268 KB

english, 2015

100

Stochastic Analysis and Applications || Perpetual Integral Functionals of Diffusions and their Numerical Computations

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

Year:

2007

Language:

english

File:

PDF, 668 KB

english, 2007