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Fred Espen Benth
Fred Espen Benth
Department of Mathematics, University of Oslo, Norway
Verified email at math.uio.no - Homepage
Title
Cited by
Cited by
Year
Stochastic modelling of electricity and related markets
FE Benth, JS Benth, S Koekebakker
World Scientific, 2008
5352008
Stochastic modelling of electricity and related markets
FE Benth, JS Benth, S Koekebakker
World Scientific, 2008
5352008
A non‐Gaussian Ornstein–Uhlenbeck process for electricity spot price modeling and derivatives pricing
FE Benth, J Kallsen, T Meyer‐Brandis
Applied Mathematical Finance 14 (2), 153-169, 2007
2922007
Stochastic modelling of temperature variations with a view towards weather derivatives
FE Benth, J Šaltytė‐Benth
Applied Mathematical Finance 12 (1), 53-85, 2005
2312005
Stochastic modeling of financial electricity contracts
FE Benth, S Koekebakker
Energy Economics 30 (3), 1116-1157, 2008
2292008
Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium
FE Benth, Á Cartea, R Kiesel
Journal of banking & finance 32 (10), 2006-2021, 2008
2222008
Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium
FE Benth, Á Cartea, R Kiesel
Journal of banking & finance 32 (10), 2006-2021, 2008
2222008
The volatility of temperature and pricing of weather derivatives
FE Benth, J Benth
Quantitative Finance 7 (5), 553-561, 2007
2192007
Putting a price on temperature
FE Benth, J Šaltytė Benth, S Koekebakker
Scandinavian Journal of Statistics 34 (4), 746-767, 2007
1502007
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes
FE Benth, G Di Nunno, A Lřkka, B Řksendal, F Proske
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003
1462003
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes
FE Benth, G Di Nunno, A Lřkka, B Řksendal, F Proske
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003
1462003
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: a viscosity solution approach
FE Benth, KH Karlsen, K Reikvam
Finance and Stochastics 5 (3), 275-303, 2001
1362001
A critical empirical study of three electricity spot price models
FE Benth, R Kiesel, A Nazarova
Energy Economics 34 (5), 1589-1616, 2012
1272012
The normal inverse Gaussian distribution and spot price modelling in energy markets
FE Benth, J Šaltytė-Benth
International journal of theoretical and applied finance 7 (02), 177-192, 2004
1232004
The normal inverse Gaussian distribution and spot price modelling in energy markets
FE Benth, J Šaltytė-Benth
International journal of theoretical and applied finance 7 (02), 177-192, 2004
1232004
On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
FE Benth
Applied Mathematical Finance 10 (4), 303-324, 2003
1232003
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
OE Barndorff-Nielsen, FE Benth, AED Veraart
Bernoulli 19 (3), 803-845, 2013
1162013
Modeling and pricing in financial markets for weather derivatives
FE Benth, J Saltyte-Benth
World Scientific, 2012
1102012
Modeling and pricing in financial markets for weather derivatives
FE Benth, J Saltyte-Benth
World Scientific, 2012
1102012
Modeling and pricing in financial markets for weather derivatives
FE Benth, J Saltyte-Benth
World Scientific, 2012
1102012
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