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Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10011405425

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

Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: Mathematical finance : an international journal of … 13 (2003) 2, pp. 215-244

Persistent link: https://www.econbiz.de/10001765678

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

Modelling Energy Spot Prices by Lévy Semistationary Processes

Barndorff-Nielsen, Ole E. - 2010

This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how...

Persistent link: https://www.econbiz.de/10013144201