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Dynamic pricing of wind futures
Benth, Fred Espen; Šaltytė Benth, Jūratė - In: Energy economics 31 (2009) 1, pp. 16-24
Persistent link: https://www.econbiz.de/10008162171
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A critical view on temperature modelling for application in weather derivatives markets
Šaltytė Benth, Jūratė; Benth, Fred Espen - In: Energy economics 34 (2012) 2, pp. 592-603
Persistent link: https://www.econbiz.de/10009836245
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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Benth, Fred Espen; Meyer-Brandis, Thilo - In: Finance and stochastics 9 (2005) 4, pp. 563-576
Persistent link: https://www.econbiz.de/10008214149
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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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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