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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
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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
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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
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How fair-value accounting can influence firm hedging
Beisland, Leif Atle; Frestad, Dennis - In: Review of derivatives research 16 (2013) 2, pp. 193-217
Persistent link: https://www.econbiz.de/10009774393
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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
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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
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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
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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
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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
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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