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Forward prices in markets driven by continuous-time autoregressive processes
Benth, Fred Espen; Blanco, Ana Solanilla - In: Recent advances in financial engineering 2012 : …, (pp. 1-24). 2014
Persistent link: https://www.econbiz.de/10010359912
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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets
Benth, Fred Espen; Che Mohd Imran Che Taib - In: Energy economics 40 (2013), pp. 259-268
Persistent link: https://www.econbiz.de/10010349561
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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
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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
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Explicit representation of the minimal variance portfolio in markets driven by Lévy processes
Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; … - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001765640
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Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: Mathematical finance : an international journal of … 13 (2003) 2, pp. 215-244
Persistent link: https://www.econbiz.de/10001765678
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Modeling and pricing in financial markets for weather derivatives
Benth, Fred Espen; Saltyte Benth, Jurate - 2013
Persistent link: https://www.econbiz.de/10009718581
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An empirical study of the information premium on electricity markets
Benth, Fred Espen; Biegler-König, Richard; Kiesel, Rüdiger - In: Energy economics 36 (2013), pp. 55-77
Persistent link: https://www.econbiz.de/10009724766
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Stochastic modeling of financial electricity contracts
Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 30 (2008) 3, pp. 1116-1157
Persistent link: https://www.econbiz.de/10003744845