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Consistent factor models for temperature markets

Hell, Philipp; Meyer-Brandis, Thilo; Rheinländer, Thorsten - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10009624466

Local risk-minimization with multiple assets under illiquidity with applications in energy markets

Christodoulou, Panagiotis; Detering, Nils; … - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-44

Persistent link: https://www.econbiz.de/10011891849

A consistent two-factor model for pricing temperature derivatives

Groll, Andreas; López Cabrera, Brenda; Meyer-Brandis, Thilo - In: Energy economics 55 (2016), pp. 112-126

Persistent link: https://www.econbiz.de/10011663144

A consistent two-factor model for pricing temperature derivatives

Groll, Andreas; López Cabrera, Brenda; Meyer-Brandis, Thilo - 2014

We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...

Persistent link: https://www.econbiz.de/10010230563

Hedging of spatial temperature risk with market-traded futures

Barth, Andrea; Benth, Fred Espen; Potthoff, Jürgen - In: Applied mathematical finance 18 (2011) 1/2, pp. 93-117

Persistent link: https://www.econbiz.de/10009155488

Stochastic modelling of electricity and related markets

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

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Dynamic pricing of wind futures

Benth, Fred Espen; Saltyte Benth, Jurate - In: Energy economics 31 (2009) 1, pp. 16-24

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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. 347-363

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Pricing and hedging of energy spread options and volatility modulated Volterra processes

Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011453780

Pricing and hedging Asian-style options on energy

Benth, Fred Espen; Detering, Nils - In: Finance and stochastics 19 (2015) 4, pp. 849-889

Persistent link: https://www.econbiz.de/10011421055