Narrow search
Showing 1 - 10 of 11
Cover Image
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
Cover Image
Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
Cover Image
Tempered stable processes with time-varying exponential tails
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Quanto option pricing with Lévy models
Fallahgoul, Hasan A.; Kim, Young Shin; Fabozzi, Frank J.; … - In: Computational economics 53 (2019) 3, pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
Cover Image
Tempered stable process, first passage time, and path-dependent option pricing
Kim, Young Shin - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 187-215
Persistent link: https://www.econbiz.de/10011993461