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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
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Pricing of forwards and other derivatives in cointegrated commodity markets
Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 52 (2015) 1, pp. 104-117
Persistent link: https://www.econbiz.de/10011568135
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Stochastic modeling of Supramax spot and forward freight rates
Benth, Fred Espen; Koekebakker, Steen - In: Maritime economics & logistics : a quarterly scientific … 18 (2016) 4, pp. 391-413
Persistent link: https://www.econbiz.de/10011587528
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THE CARMA INTEREST RATE MODEL
ANDRESEN, ARNE; BENTH, FRED ESPEN; KOEKEBAKKER, STEEN; … - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450008-1
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure...
Persistent link: https://www.econbiz.de/10010883222
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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016
Persistent link: https://www.econbiz.de/10011800392
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A stochastic time-series model for solar irradiation
Larsson, Karl; Green, Rikard; Benth, Fred Espen - In: Energy economics 117 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014437109
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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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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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Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
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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