Similar Search Results

Optimal Portfolios in commodity futures markets

Benth, Fred Espen; Lempa, Jukka - In: Finance and stochastics 18 (2014) 2, pp. 407-430

Persistent link: https://www.econbiz.de/10010340676

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

Optimal management of green certificates in the Swedish-Norwegian market

Benth, Fred Espen; Eriksson, Marcus; Westgaard, Sjur - In: The journal of energy markets 10 (2017) 2, pp. 1-39

Persistent link: https://www.econbiz.de/10011999418

Stochastic modeling of Supramax spot and forward freight rates

Benth, Fred Espen; Koekebakker, Steen - In: Maritime economics & logistics : a quarterly scientific … 18 (2016) 4, pp. 391-413

Persistent link: https://www.econbiz.de/10011587528

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406

Persistent link: https://www.econbiz.de/10010457150

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

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks : open access journal 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...

Persistent link: https://www.econbiz.de/10011867386

Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011403202

Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10011405425

On arbitrage-free pricing of weather derivatives based on fractional Brownian motion

Benth, Fred Espen - In: Applied mathematical finance 10 (2003) 4, pp. 302-324

Persistent link: https://www.econbiz.de/10001864238