Narrow search
Showing 1 - 10 of 141
Cover Image
Option theory with stochastic analysis : an introduction to mathematical finance
Benth, Fred Espen - 2004
Persistent link: https://www.econbiz.de/10001786485
Cover Image
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
Benth, Fred Espen - In: Applied mathematical finance 10 (2003) 4, pp. 302-324
Persistent link: https://www.econbiz.de/10001864238
Cover Image
On forward price modeling in power markets
Benth, Fred Espen - In: Alternative investments and strategies : credit, …, (pp. 93-122). 2010
Persistent link: https://www.econbiz.de/10008655206
Cover Image
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
Cover Image
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
Cover Image
Optimal portfolio selection with consumtion and nonlinear integro-differential equations with gradient constraint : a viscosity solution approach
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; … - In: Finance and stochastics 5 (2001) 3, pp. 275-303
Persistent link: https://www.econbiz.de/10001599263
Cover Image
A note on portfolio management under non-Gaussian logreturns
Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: International journal of theoretical and applied finance 4 (2001) 5, pp. 711-731
Persistent link: https://www.econbiz.de/10001612203
Cover Image
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: Finance and stochastics 5 (2001) 4, pp. 447-467
Persistent link: https://www.econbiz.de/10001614597
Cover Image
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
Cover Image
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