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The stochastic volatility model of Barndorff-Nielsen and Shephard in commodity markets

Benth, Fred Espen - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 595-625

Persistent link: https://www.econbiz.de/10009311688

Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation

Benth, Fred Espen; Koekebakker, Steen; Ollmar, Fridthjof - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 52-66

Persistent link: https://www.econbiz.de/10003611427

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

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

Pricing futures and options in electricity markets

Benth, Fred Espen; Schmeck, Maren Diane - In: The interrelationship between financial and energy markets, (pp. 233-260). 2014

Persistent link: https://www.econbiz.de/10010411140

Optimal Portfolios in Commodity Futures Markets

Benth, Fred Espen - 2012

We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of...

Persistent link: https://www.econbiz.de/10013107869

Analysis of the risk premium in the forward market for salmon

Benth, Fred Espen; Eikeset, Anne Maria; Levin, Simon Asher - In: Journal of commodity markets 21 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012807713

Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling

Kremer, Marcel; Benth, Fred Espen; Felten, Björn; … - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-38

Persistent link: https://www.econbiz.de/10012271026

Pricing of forwards and other derivatives in cointegrated commodity markets

Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 52 (2015) 1, pp. 104-117

Persistent link: https://www.econbiz.de/10011568135

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