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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Mathematics and financial economics"
~person:"Benth, Fred Espen"
~person:"Koskela, Erkki"
~person:"Yu, Jun"
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Benth, Fred Espen
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Cointegration in continuous time for factor models
Benth, Fred Espen
;
Süss, Andre
- In:
Mathematics and financial economics
13
(
2019
)
1
,
pp. 87-114
Persistent link: https://www.econbiz.de/10012055754
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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. 595-625
Persistent link: https://www.econbiz.de/10009311688
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3
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
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4
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
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