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Stochastic modelling of electricity and related markets

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

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

Stochastic Modelling of Electricity and Related Markets.

Benth, Fred Espen - 2008

Key Features:Gives a detailed account of advanced stochastic models for spot, futures and option price dynamics in energy marketsGives a detailed analysis of electricity and gas futures prices, with an emphasis on market models (also known as LIBOR models).

Persistent link: https://www.econbiz.de/10012684999

Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets

Benth, Fred Espen; Dahl, Lars O.; Hvistendahl Karlsen, … - In: International journal of theoretical and applied finance 6 (2003) 8, pp. 865-884

Persistent link: https://www.econbiz.de/10001862191

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/10001864254

The normal inverse gaussian distribution and spot price modelling in energy markets

Benth, Fred Espen; Šaltytė-Benth, Jūratė - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 177-192

Persistent link: https://www.econbiz.de/10002021511

On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets

Benth, Fred Espen; Che Mohd Imran Che Taib - In: Energy economics 40 (2013), pp. 259-268

Persistent link: https://www.econbiz.de/10010349561

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406

Persistent link: https://www.econbiz.de/10010457150

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021

Persistent link: https://www.econbiz.de/10003778569

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen (contributor); Cartea, Álvaro (contributor) - 2006

Persistent link: https://www.econbiz.de/10003384971

Pricing of exotic energy derivatives based on arithmetic spot models

Benth, Fred Espen; Kufakunesu, Rodwell - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 491-506

Persistent link: https://www.econbiz.de/10003879078