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Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model

Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell - In: Applied mathematical finance 14 (2007) 4, pp. 347-363

Persistent link: https://www.econbiz.de/10003543050

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

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

Special issue: weather derivatives

Benth, Fred Espen (ed.) - 2018

Persistent link: https://www.econbiz.de/10012001956

Dynamic pricing of wind futures

Benth, Fred Espen; Saltyte Benth, Jurate - In: Energy economics 31 (2009) 1, pp. 16-24

Persistent link: https://www.econbiz.de/10003803647

A critical view on temperature modelling for application in weather derivatives markets

Saltyte Benth, Jurate; Benth, Fred Espen - In: Energy economics 34 (2012) 2, pp. 592-602

Persistent link: https://www.econbiz.de/10009618677

Hedging of spatial temperature risk with market-traded futures

Barth, Andrea; Benth, Fred Espen; Potthoff, Jürgen - In: Applied mathematical finance 18 (2011) 1/2, pp. 93-117

Persistent link: https://www.econbiz.de/10009155488

Stochastic modelling of electricity and related markets

Benth, Fred Espen; Saltyte Benth, Jurate; Koekebakker, Steen - 2008

Persistent link: https://www.econbiz.de/10003676692

Multivariate continuous-time modeling of wind indexes and hedging of wind risk

Benth, Fred Espen; Christensen, Troels Sønderby; … - In: Quantitative finance 21 (2021) 1, pp. 165-183

Persistent link: https://www.econbiz.de/10012424641

Stochastic Modelling of Electricity and Related Markets.

Benth, Fred Espen - 2008

Key Features:Gives a detailed account of advanced stochastic models for spot, futures and option price dynamics in energy marketsGives a detailed analysis of electricity and gas futures prices, with an emphasis on market models (also known as LIBOR models).

Persistent link: https://www.econbiz.de/10012684999