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A note on arbitrage-free pricing of forward contracts in energy markets

Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; … - In: Applied Mathematical Finance 10 (2003) 4, pp. 325-336

Arbitrage theory is used to price forward (futures) contracts in energy markets, where the underlying assets are non-tradeable. The method is based on the so-called 'fitting of the yield curve' technique from interest rate theory. The spot price dynamics of Schwartz is generalized to...

Persistent link: https://www.econbiz.de/10005495373

A note on arbitrage-free pricing of forward contracts in energy markets

Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; … - In: Applied mathematical finance 10 (2003) 4, pp. 325-336

Persistent link: https://www.econbiz.de/10008215114

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

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