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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. 563-575

Persistent link: https://www.econbiz.de/10003133280

Multi-Factor Jump-Diffusion Models of Electricity Prices

Meyer-Brandis, Thilo; Tankov, Peter - 2009

The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is freely traded. In this paper, we study the most salient statistical features of electricity prices with a particular attention to the European energy exchanges. These features can...

Persistent link: https://www.econbiz.de/10014200325

Electricity futures price modeling with Lévy term structure models

Biagini, Francesca; Bregman, Julia; Meyer-Brandis, Thilo - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011403170

Financial contagion in a stochastic block model

Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, … - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-53

Persistent link: https://www.econbiz.de/10012496916

Option theory with stochastic analysis : an introduction to mathematical finance

Benth, Fred Espen - 2004

Persistent link: https://www.econbiz.de/10001786485

On arbitrage-free pricing of weather derivatives based on fractional Brownian motion

Benth, Fred Espen - In: Applied mathematical finance 10 (2003) 4, pp. 302-324

Persistent link: https://www.econbiz.de/10001864238

On forward price modeling in power markets

Benth, Fred Espen - In: Alternative investments and strategies : credit, …, (pp. 93-122). 2010

Persistent link: https://www.econbiz.de/10008655206

The stochastic volatility model of Barndorff-Nielsen and Shephard in commodity markets

Benth, Fred Espen - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 595-625

Persistent link: https://www.econbiz.de/10009311688

Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

Persistent link: https://www.econbiz.de/10011800392

Explicit representation of the minimal variance portfolio in markets driven by Lévy processes

Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; … - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 55-72

Persistent link: https://www.econbiz.de/10001765640