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A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives
Benth, Fred Espen; Groth, Martin; Kettler, Paul C. - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 843-867
Persistent link: https://www.econbiz.de/10003380284
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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 (contributor); Cartea, Álvaro (contributor) - 2006
Persistent link: https://www.econbiz.de/10003384971
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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. 153-169
Persistent link: https://www.econbiz.de/10003542981
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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
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Analytical approximation for the price dynamics of spark spread options
Benth, Fred Espen (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10003559113
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Modelling electricity forward markets by ambit fields
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010
Persistent link: https://www.econbiz.de/10008651704
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Ambit processes and stochastic partial differential equations
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - In: Advanced mathematical methods for finance, (pp. 35-74). 2011
Persistent link: https://www.econbiz.de/10008991339
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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/10009579935
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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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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