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Pricing and hedging Asian-style options on energy
Benth, Fred Espen; Detering, Nils - In: Finance and stochastics 19 (2015) 4, pp. 849-889
Persistent link: https://www.econbiz.de/10011421055
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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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Accuracy of deep learning in calibrating HJM forward curves
Benth, Fred Espen; Detering, Nils; Lavagnini, Silvia - In: Digital finance : smart data analytics, investment … 3 (2021) 3/4, pp. 209-248
Persistent link: https://www.econbiz.de/10012697962
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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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Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Benth, Fred Espen; Krühner, Paul - In: Finance and stochastics 22 (2018) 2, pp. 327-366
Persistent link: https://www.econbiz.de/10011945791
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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