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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
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Modelling the joint behaviour of electricity prices in interconnected markets
Christensen, Troels Sønderby; Benth, Fred Espen - In: Quantitative finance 20 (2020) 9, pp. 1441-1456
Persistent link: https://www.econbiz.de/10012295613
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Tempered stable structural model in pricing credit spread and credit default swap
Kim, Sung Ik; Kim, Young Shin - In: Review of derivatives research 21 (2018) 1, pp. 119-148
Persistent link: https://www.econbiz.de/10012055733
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Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano - In: Mathematics and financial economics 13 (2019) 4, pp. 543-577
Persistent link: https://www.econbiz.de/10012055877
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Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Economics letters 145 (2016), pp. 225-229
Persistent link: https://www.econbiz.de/10011618437
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A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
Benth, Fred Espen; Pircalabu, Anca - In: Applied mathematical finance 25 (2018) 1/2, pp. 36-65
Persistent link: https://www.econbiz.de/10011959115
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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016
Persistent link: https://www.econbiz.de/10011800392
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Pricing options on flow forwards by neural networks in a Hilbert space
Benth, Fred Espen; Detering, Nils; Galimberti, Luca - In: Finance and stochastics 28 (2024) 1, pp. 81-121
Persistent link: https://www.econbiz.de/10014447586