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

Persistent link: https://www.econbiz.de/10003803647

Optimal portfolio selection with consumtion 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. 275-303

Persistent link: https://www.econbiz.de/10001599263

A note on portfolio management under non-Gaussian logreturns

Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: International journal of theoretical and applied finance 4 (2001) 5, pp. 711-731

Persistent link: https://www.econbiz.de/10001612203

Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution

Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: Finance and stochastics 5 (2001) 4, pp. 447-467

Persistent link: https://www.econbiz.de/10001614597

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

A semilinear Black and Scholes partial differential equation for valuing American options

Benth, Fred Espen; Karlsen, Kenneth H.; Reikvam, Kristin - In: Finance and stochastics 7 (2003) 3, pp. 277-298

Persistent link: https://www.econbiz.de/10001771698

Option theory with stochastic analysis : an introduction to mathematical finance

Benth, Fred Espen - 2004

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

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