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Pricing and hedging of energy spread options and volatility modulated Volterra processes

Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011453780

Pricing and hedging Asian-style options on energy

Benth, Fred Espen; Detering, Nils - In: Finance and stochastics 19 (2015) 4, pp. 849-889

Persistent link: https://www.econbiz.de/10011421055

Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011403202

A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets

Benth, Fred Espen; Ortiz-Latorre, Salvador - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-40

Persistent link: https://www.econbiz.de/10011403907

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks : open access journal 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...

Persistent link: https://www.econbiz.de/10011867386

A space-time random field model for electricity forward prices

Benth, Fred Espen; Paraschiv, Florentina - In: Journal of banking & finance 95 (2018), pp. 203-216

Persistent link: https://www.econbiz.de/10011966749

A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets

Pircalabu, Anca; Benth, Fred Espen - In: Energy economics 68 (2017), pp. 283-302

Persistent link: https://www.econbiz.de/10011905725

Calibration of temperature futures by changing the mean reversion

Benth, Fred Espen; Ortiz-Latorre, Salvador - In: The journal of energy markets 10 (2017) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011999391

Optimal management of green certificates in the Swedish-Norwegian market

Benth, Fred Espen; Eriksson, Marcus; Westgaard, Sjur - In: The journal of energy markets 10 (2017) 2, pp. 1-39

Persistent link: https://www.econbiz.de/10011999418

Stochastic modeling of photovoltaic power generation and electricity prices

Benth, Fred Espen; Noor 'Adilah Ibrahim - In: The journal of energy markets 10 (2017) 3, pp. 1-33

Persistent link: https://www.econbiz.de/10011999448