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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

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

Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets

Benth, Fred Espen; Dahl, Lars O.; Hvistendahl Karlsen, … - In: International journal of theoretical and applied finance 6 (2003) 8, pp. 865-884

Persistent link: https://www.econbiz.de/10001862191

A note on arbitrage-free pricing of forward contracts in energy markets

Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; … - In: Applied mathematical finance 10 (2003) 4, pp. 325-336

Persistent link: https://www.econbiz.de/10001864254

The normal inverse gaussian distribution and spot price modelling in energy markets

Benth, Fred Espen; Šaltytė-Benth, Jūratė - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 177-192

Persistent link: https://www.econbiz.de/10002021511

A semilinear Black and Scholes partial differential equation for valuing American options

Benth, Fred Espen; Karlsen, Kenneth H.; Reikvam, Kristin - In: Finance and stochastics 7 (2003) 3, pp. 277-298

Persistent link: https://www.econbiz.de/10001771698

Stochastics of Environmental and Financial Economics : Centre of Advanced Study, Oslo, Norway, 2014-2015

Benth, Fred Espen (ed.); Di Nunno, Giulia (ed.) - Conference on Stochastics of Environmental and … - 2016

These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in...

Persistent link: https://www.econbiz.de/10012654091

Accuracy of deep learning in calibrating HJM forward curves

Benth, Fred Espen; Detering, Nils; Lavagnini, Silvia - In: Digital finance : smart data analytics, investment … 3 (2021) 3/4, pp. 209-248

Persistent link: https://www.econbiz.de/10012697962

Analysis of the risk premium in the forward market for salmon

Benth, Fred Espen; Eikeset, Anne Maria; Levin, Simon Asher - In: Journal of commodity markets 21 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012807713

Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

Persistent link: https://www.econbiz.de/10012807773