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Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation

Benth, Fred Espen; Koekebakker, Steen; Ollmar, Fridthjof - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 52-66

Persistent link: https://www.econbiz.de/10003611427

Forward curve dynamics in the Nordic electricity market

Koekebakker, Steen; Ollmar, Fridthjof - In: Managerial Finance 31 (2005) 6, pp. 73-94

The forward curve dynamics in the Nordic electricity market is examined. Six years of price data on futures and forward contracts traded in the Nordic electricity market are analysed. For the forward price function of electricity, we specify a multi‐factor term structure models in a...

Persistent link: https://www.econbiz.de/10014939807

'Preface to' Stochastic Modeling of Electricity and Related Markets

Benth, Fred Espen - 2009

The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is...

Persistent link: https://www.econbiz.de/10013156505

The CARMA interest rate model

Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10010363925

Modeling term structure dynamics in the Nordic electricity swap market

Frestad, Dennis; Benth, Fred Espen; Koekebakker, Steen - In: The energy journal 31 (2010) 2, pp. 53-86

Persistent link: https://www.econbiz.de/10008732275

Stochastic modelling of electricity and related markets

Benth, Fred Espen; Saltyte Benth, Jurate; Koekebakker, Steen - 2008

Persistent link: https://www.econbiz.de/10003676692

Stochastic modeling of financial electricity contracts

Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 30 (2008) 3, pp. 1116-1157

Persistent link: https://www.econbiz.de/10003744845

Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10011405425

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

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