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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

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

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

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

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

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

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Financial Risk and Derivatives : A Special Issue of the Geneva Papers on Risk and Insurance Theory

Loubergé, Henri (ed.); Subrahmanyam, Marti G. (ed.) - 1996

Financial Risk and Derivatives provides an excellent illustration of the links that have developed in recent years between the theory of finance on one hand and insurance economics and actuarial science on the other. Advances in contingent claims analysis and developments in the academic and...

Persistent link: https://www.econbiz.de/10013522109