Fred Espen Benth

University of Oslo - Department of Mathematics

Blindern, N-0162, Os

Norway

SCHOLARLY PAPERS

6

DOWNLOADS

537

SSRN CITATIONS
Rank 25,403

SSRN RANKINGS

Top 25,403

in Total Papers Citations

9

CROSSREF CITATIONS

19

Scholarly Papers (6)

1.

A Space-Time Random Field Model for Electricity Forward Prices

University of St.Gallen, School of Finance Research Paper No. 2016/11
Number of pages: 41 Posted: 24 May 2016 Last Revised: 23 Nov 2016
Fred Espen Benth and Florentina Paraschiv
University of Oslo - Department of Mathematics and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 180 (170,944)
Citation 2

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spatio-temporal models, price forward curves, term structure volatility, risk premia, electricity markets

2.

'Preface to' Stochastic Modeling of Electricity and Related Markets

Advanced Series on Statistical Science and Applied Probability, Vol. 11
Number of pages: 3 Posted: 02 Oct 2009
Fred Espen Benth, Steen Koekebakker and Jurate Saltyte Benth
University of Oslo - Department of Mathematics, School of Business and Law at the University of Agder and University of Oslo - Akershus University Hospital
Downloads 133 (220,362)
Citation 6

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Electricity Market, Gas Market, Weather Derivatives, Temperature, Energy Market, Mean Reversion, Ornstein-Uhlenbeck Processes, Jump Processes, Levy Processes, Futures Contracts, Forward Contracts, Options

3.

A Critical Empirical Study of Three Electricity Spot Price Models

Number of pages: 54 Posted: 13 Feb 2013
Fred Espen Benth, Ruediger Kiesel and Anna Nazarova
University of Oslo - Department of Mathematics, University of Duisburg-Essen - Faculty of Economic Science and University of Oslo
Downloads 120 (238,223)
Citation 1

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Electricty spot price, mean-reversion, spikes, jump-diffusion, Ornstein-Uhlenbeck process, electricity forwards, forward risk premium

4.

Calibration of Temperature Futures by Changing the Mean Reversion

Number of pages: 16 Posted: 21 Mar 2015
Fred Espen Benth and Salvador Ortiz-Latorre
University of Oslo - Department of Mathematics and University of Oslo - Department of Mathematics
Downloads 76 (321,438)

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calibration, temperature futures, pricing measure, mean reversion

5.

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes

Mathematical Finance, Vol. 13, pp. 55-72, 2003
Number of pages: 18 Posted: 20 Mar 2003
University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics and University of Oslo - Department of Mathematics
Downloads 28 (488,061)
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Incomplete Markets, Minimal Variance Hedging, Levy Processes, Stochastic Derivatives, Chaos Expansions, Clark-Haussmann-Ocone Theorem

6.

Pricing and Hedging Quanto Options in Energy Markets

Journal of Energy Markets, Vol. 8, No. 1, 2015
Number of pages: 36 Posted: 24 Jun 2016
Fred Espen Benth, Nina Lange and Tor Age Myklebust
University of Oslo - Department of Mathematics, Copenhagen Business School and Norwegian School of Economics (NHH)
Downloads 0 (681,334)
Citation 1
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gas derivatives, temperature derivatives, energy quanto options, quantity risk, pricing, hedging