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Fred Espen Benth · Study
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Author
Fred Espen Benth
51 works
· latest 2018
· 2 institutions
cluster: provisional
ORCID 0000-0001-9907-6811
Works
51 shown
Stochastic Modeling of Wind Derivatives in Energy Markets
Risks
·
2018
·
3 authors
·
Open access
46
citations
A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures
Applied Mathematical Finance
·
2018
·
2 authors
·
Open access
42
citations
Ambit Stochastics
Probability theory and stochastic modelling
·
2018
·
3 authors
·
book
57
citations
A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets
Energy Economics
·
2017
·
2 authors
·
Open access
35
citations
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Banach Center Publications
·
2015
·
3 authors
·
Open access
48
citations
Modelling Electricity Futures by Ambit Fields
Advances in Applied Probability
·
2014
·
3 authors
·
Open access
41
citations
Futures pricing in electricity markets based on stable CARMA spot models
Energy Economics
·
2014
·
4 authors
79
citations
THE CARMA INTEREST RATE MODEL
International Journal of Theoretical and Applied Finance
·
2014
·
4 authors
·
Open access
38
citations
Representation of Infinite-Dimensional Forward Price Models in Commodity Markets
Communications in Mathematics and Statistics
·
2014
·
2 authors
·
Open access
33
citations
Quantitative Energy Finance
Springer eBooks
·
2013
·
3 authors
·
book
47
citations
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
Bernoulli
·
2013
·
3 authors
·
Open access
111
citations
Paris-Princeton Lectures on Mathematical Finance 2013
Lecture notes in mathematics
·
2013
·
7 authors
·
book
44
citations
Modeling and Pricing in Financial Markets for Weather Derivatives
Advanced series on statistical science and applied probability
·
2012
·
2 authors
·
book
100
citations
Modeling the Forward Surface of Mortality
SIAM Journal on Financial Mathematics
·
2012
·
2 authors
36
citations
Pricing and Hedging Quanto Options in Energy Markets
The Journal of Energy Markets
·
2012
·
3 authors
·
Open access
34
citations
The Risk Premium and the Esscher Transform in Power Markets
Stochastic Analysis and Applications
·
2011
·
2 authors
·
Open access
39
citations
A critical view on temperature modelling for application in weather derivatives markets
Energy Economics
·
2011
·
2 authors
·
Open access
35
citations
Weather Derivatives and Stochastic Modelling of Temperature
International Journal of Stochastic Analysis
·
2011
·
2 authors
·
Open access
45
citations
A Critical Empirical Study of Three Electricity Spot Price Models
Energy Economics
·
2011
·
3 authors
·
Open access
108
citations
Ambit Processes and Stochastic Partial Differential Equations
Springer eBooks
·
2011
·
3 authors
·
chapter
·
Open access
50
citations
Dynamic copula models for the spark spread
Quantitative Finance
·
2010
·
2 authors
·
Open access
39
citations
THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS
Mathematical Finance
·
2010
·
1 author
71
citations
Modeling Term Structure Dynamics in the Nordic Electricity Swap Market
The Energy Journal
·
2010
·
3 authors
33
citations
HMM filtering and parameter estimation of an electricity spot price model
Energy Economics
·
2010
·
3 authors
·
Open access
61
citations
The information premium for non-storable commodities
The Journal of Energy Markets
·
2009
·
2 authors
94
citations
Stochastic Modeling of Electricity and Related Markets
Advanced series on statistical science and applied probability
·
2008
·
3 authors
·
book
235
citations
STochastic Modeling of Electricity and Related Markets
Advanced series on statistical science and applied probability
·
2008
·
3 authors
·
book
307
citations
The volatility of temperature and pricing of weather derivatives
Quantitative Finance
·
2007
·
2 authors
·
Open access
172
citations
Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation
The Journal of Derivatives
·
2007
·
3 authors
74
citations
Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
Applied Mathematical Finance
·
2007
·
3 authors
56
citations
Stochastic modeling of financial electricity contracts
Energy Economics
·
2007
·
2 authors
·
Open access
161
citations
Putting a Price on Temperature*
Scandinavian Journal of Statistics
·
2007
·
3 authors
120
citations
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
Applied Mathematical Finance
·
2007
·
3 authors
·
Open access
244
citations
Stochastic Analysis and Applications
Springer eBooks
·
2007
·
5 authors
·
book
91
citations
A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
Stochastic Analysis and Applications
·
2005
·
2 authors
·
Open access
49
citations
A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
Stochastics
·
2005
·
2 authors
·
Open access
79
citations
Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
Applied Mathematical Finance
·
2005
·
2 authors
·
Open access
196
citations
THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
International Journal of Theoretical and Applied Finance
·
2004
·
2 authors
·
Open access
96
citations
Option Theory with Stochastic Analysis
Universitext
·
2004
·
1 author
·
book
31
citations
On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
Applied Mathematical Finance
·
2003
·
1 author
·
Open access
85
citations
A note on arbitrage‐free pricing of forward contracts in energy markets
Applied Mathematical Finance
·
2003
·
3 authors
59
citations
A Connection between Singular Stochastic Control and Optimal Stopping
Applied Mathematics & Optimization
·
2003
·
2 authors
34
citations
A semilinear Black and Scholes partial differential equation for valuing American options
Finance and Stochastics
·
2003
·
3 authors
35
citations
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
Mathematical Finance
·
2003
·
3 authors
61
citations
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
Mathematical Finance
·
2003
·
5 authors
·
Open access
87
citations
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
Stochastics and stochastics reports
·
2002
·
3 authors
·
Open access
41
citations
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Finance and Stochastics
·
2001
·
3 authors
·
Open access
63
citations
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
Finance and Stochastics
·
2001
·
3 authors
·
Open access
109
citations
Convergence rates for finite elementapproximations of stochastic partial differential equations
Stochastics and stochastics reports
·
1998
·
1 author
·
Open access
63
citations
A Remark on the Equivalence between Poisson and Gaussian Stochastic Partial Differential Equations
Potential Analysis
·
1998
·
1 author
57
citations
On the martingale property for generalized stochastic processes
Stochastics and stochastics reports
·
1996
·
2 authors
36
citations