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Quantitative energy finance : modeling, pricing, and hedging in energy and commodity markets
Benth, Fred Espen (ed.) - 2014
Persistent link: https://www.econbiz.de/10011459115
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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
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Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
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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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Pricing of basket options using univariate normal inverse Gaussian approximations
Benth, Fred Espen; Henriksen, Pål Nicolai - In: Journal of forecasting 30 (2011) 3, pp. 355-376
Persistent link: https://www.econbiz.de/10009233877
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HMM filtering and parameter estimation of an electricity spot price model
Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar - In: Energy economics 32 (2010) 5, pp. 1034-1043
Persistent link: https://www.econbiz.de/10008934330
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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
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Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes
Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011403202
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A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets
Benth, Fred Espen; Ortiz-Latorre, Salvador - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-40
Persistent link: https://www.econbiz.de/10011403907
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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Benth, Fred Espen; Meyer-Brandis, Thilo - In: Finance and stochastics 9 (2005) 4, pp. 563-575
Persistent link: https://www.econbiz.de/10003133280