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Special issue: weather derivatives

Benth, Fred Espen (ed.) - 2018

Persistent link: https://www.econbiz.de/10012001956

A space-time random field model for electricity forward prices

Benth, Fred Espen; Paraschiv, Florentina - In: Journal of banking & finance 95 (2018), pp. 203-216

Persistent link: https://www.econbiz.de/10011966749

Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models

Benth, Fred Espen; Krühner, Paul - In: Finance and stochastics 22 (2018) 2, pp. 327-366

Persistent link: https://www.econbiz.de/10011945791

A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets

Pircalabu, Anca; Benth, Fred Espen - In: Energy economics 68 (2017), pp. 283-302

Persistent link: https://www.econbiz.de/10011905725

Multivariate modeling and analysis of regional ocean freight rates

Adland, Roar; Benth, Fred Espen; Koekebakker, Steen - In: Transportation research / E : an international journal 113 (2018), pp. 194-221

Persistent link: https://www.econbiz.de/10011864108

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks : open access journal 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...

Persistent link: https://www.econbiz.de/10011867386

Special issue on Barcelona workshop on mathematical finance

Corcuera, José Manuel (ed.); Schoutens, Wim (ed.); … - Barcelona Workshop on Mathematical Finance <2017, Barcelona> - 2018

Persistent link: https://www.econbiz.de/10011894050

Multivariate continuous-time modeling of wind indexes and hedging of wind risk

Benth, Fred Espen; Christensen, Troels Sønderby; … - In: Quantitative finance 21 (2021) 1, pp. 165-183

Persistent link: https://www.econbiz.de/10012424641

A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures

Benth, Fred Espen; Pircalabu, Anca - In: Applied mathematical finance 25 (2018) 1/2, pp. 36-65

Persistent link: https://www.econbiz.de/10011959115

Intersecting near-optimal spaces : European power systems with more resilience to weather variability

Grochowicz, Aleksander; Greevenbroek, Koen van; Benth, … - In: Energy economics 118 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014247670