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A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied mathematical finance 14 (2007) 2, pp. 153-170
Persistent link: https://www.econbiz.de/10008221848
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Pricing of catastrophe insurance options written on a loss index with reestimation
Biagini, Francesca; Bregman, Yuliya; Meyer-Brandis, Thilo - In: Insurance / Mathematics & economics 43 (2008) 2, pp. 214-222
Persistent link: https://www.econbiz.de/10008104614
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Pricing of catastrophe insurance options written on a loss index with reestimation
Biagini, Francesca; Bregman, Yuliya; Meyer-Brandis, Thilo - In: Insurance / Mathematics & economics 43 (2008) 2, pp. 214-223
Persistent link: https://www.econbiz.de/10008880509
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A note on arbitrage-free pricing of forward contracts in energy markets
Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; … - In: Applied mathematical finance 10 (2003) 4, pp. 325-336
Persistent link: https://www.econbiz.de/10008215114
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On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
Benth, Fred Espen - In: Applied mathematical finance 10 (2003) 4, pp. 303-324
Persistent link: https://www.econbiz.de/10008215115
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Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
Benth, Fred Espen; Nunno, Giulia Di; Løkka, Arne; … - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10008215733
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Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; … - In: Finance and stochastics 5 (2001) 4, pp. 447-468
Persistent link: https://www.econbiz.de/10008216793
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Optimal portfolio selection with consumption 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. 275-304
Persistent link: https://www.econbiz.de/10008216998
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Valuing Volatility and Variance Swaps for a Non-Gaussian Ornstein-Uhlenbeck Stochastic Volatility Model
Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell - In: Applied mathematical finance 14 (2007) 4, pp. 347
Persistent link: https://www.econbiz.de/10008221672
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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/10007871190