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Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation

Benth, Fred Espen; Koekebakker, Steen; Ollmar, Fridthjof - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 52-66

Persistent link: https://www.econbiz.de/10003611427

The CARMA interest rate model

Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27

Persistent link: https://www.econbiz.de/10010363925

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

Volatility and price jumps in agricultural futures prices : evidence from wheat options

Koekebakker, Steen; Lien, Gudbrand - In: American journal of agricultural economics 86 (2004) 4, pp. 1018-1031

Persistent link: https://www.econbiz.de/10002388555

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

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

The Implied Risk Aversion from Utility Indifference Option Pricing in a Stochastic Volatility Model

Benth, Fred Espen - 2009

The academic interest in utility indifference based approaches to derivative pricing in incomplete markets has grown during the last decades. In lack of arbitrage arguments the fair price of an option can be found through the value function of two optional investment choices, one where an option...

Persistent link: https://www.econbiz.de/10013155782