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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of banking & finance"
~person:"Benth, Fred Espen"
~subject:"Kapitaleinkommen"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Mehrbändiges Werk"
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Kapitaleinkommen
Volatilität
Volatility
7
Option pricing theory
6
Optionspreistheorie
6
Theorie
6
Theory
6
Derivat
5
Derivative
5
Energiemarkt
5
Energy market
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Statistical distribution
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Monte Carlo simulation
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Elektrizität
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Zinsstruktur
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energy markets
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Barndorff-Nielsen and Shephard stochastic volatility model
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Benth, Fred Espen
Skiadopoulos, George
9
Prokopczuk, Marcel
8
Faff, Robert W.
7
Bali, Turan G.
6
Cakici, Nusret
6
Jiang, George J.
6
Lee, Bong-soo
6
Taylor, Stephen
6
Branger, Nicole
5
Brigo, Damiano
5
Chang, Eric Chieh
5
Rebonato, Riccardo
5
Takahashi, Akihiko
5
Wu, Chunchi
5
Zaremba, Adam
5
Alexander, Carol
4
Chou, Pin-huang
4
Clements, Adam
4
Doran, James S.
4
Driessen, Joost
4
Grasselli, Martino
4
Gray, Philip K.
4
Guo, Hui
4
Li, Junye
4
Madan, Dilip B.
4
Mansi, Sattar
4
Marquering, Wessel A.
4
Narayan, Paresh Kumar
4
Pallavicini, Andrea
4
Peterson, David R.
4
Platen, Eckhard
4
Schoutens, Wim
4
Shackleton, Mark B.
4
Subrahmanyam, Avanidhar
4
Wese Simen, Chardin
4
Yao, Yaqiong
4
Akhtar, Shumi
3
Bianchi, Robert
3
Blau, Benjamin
3
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International journal of theoretical and applied finance
Journal of banking & finance
Applied mathematical finance
2
Energy economics
2
Finance and stochastics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Risks : open access journal
2
IMA journal of management mathematics
1
Mathematics and financial economics
1
Quantitative finance
1
The energy journal
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
7
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7
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1
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
Saved in:
2
Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel
;
Benth, Fred Espen
;
Felten, Björn
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
Saved in:
3
A space-time random field model for electricity forward prices
Benth, Fred Espen
;
Paraschiv, Florentina
- In:
Journal of banking & finance
95
(
2018
),
pp. 203-216
Persistent link: https://www.econbiz.de/10011966749
Saved in:
4
Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen
;
Zdanowicz, Hanna
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
Saved in:
5
A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets
Benth, Fred Espen
;
Ortiz-Latorre, Salvador
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011403907
Saved in:
6
The CARMA interest rate model
Andresen, Arne
;
Benth, Fred Espen
;
Koekebakker, Steen
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
Saved in:
7
A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives
Benth, Fred Espen
;
Groth, Martin
;
Kettler, Paul C.
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 843-867
Persistent link: https://www.econbiz.de/10003380284
Saved in:
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