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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
Persistent link: https://www.econbiz.de/10008221672
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A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied mathematical finance 14 (2007) 2, pp. 153-170
Persistent link: https://www.econbiz.de/10008221848
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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/10010083741
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A critical empirical study of three electricity spot price models
Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna - In: Energy economics 34 (2012) 5, pp. 1589-1617
Persistent link: https://www.econbiz.de/10010002882
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Pricing of temperature index insurance
Che Taib, Che Mohd Imran; Benth, Fred Espen - In: Review of development finance 2 (2012) 1, pp. 22-31
Persistent link: https://www.econbiz.de/10010017353
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Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium
Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021
Persistent link: https://www.econbiz.de/10008099637
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A critical view on temperature modelling for application in weather derivatives markets
Šaltytė Benth, Jūratė; Benth, Fred Espen - In: Energy economics 34 (2012) 2, pp. 592-603
Persistent link: https://www.econbiz.de/10009836245
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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. 595-626
Persistent link: https://www.econbiz.de/10009258253
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Pricing of basket options using univariate normal inverse gaussian approximations
Benth, Fred Espen; Henriksen, Pål Nicolai - In: Journal of forecasting 30 (2011) 3, pp. 355-377
Persistent link: https://www.econbiz.de/10008931375
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Hedging of Spatial Temperature Risk with Market-Traded Futures
Barth, Andrea; Benth, Fred Espen; Potthoff, Jurgen - In: Applied mathematical finance 18 (2011) 2, pp. 93-118
Persistent link: https://www.econbiz.de/10008878462