Fred Espen Benth

University of Oslo

Professor

Center of Mathematics for Applications

Oslo, N-0317

Norway

SCHOLARLY PAPERS

36

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7,489

SSRN CITATIONS
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Top 15,767

in Total Papers Citations

57

CROSSREF CITATIONS

30

Scholarly Papers (36)

1.

Pricing Forward Contracts in Power Markets By the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium

Journal of Banking and Finance 32, Issue 10, (2008), pp. 2006-2021
Number of pages: 29 Posted: 01 Nov 2006 Last Revised: 11 Mar 2013
Fred Espen Benth, Álvaro Cartea and Ruediger Kiesel
University of Oslo, University of Oxford and University of Duisburg-Essen - Faculty of Economic Science
Downloads 1,796 (17,327)
Citation 18

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Contango, backwardation, market price of risk, electricity forwards, market risk premium, forward risk premium, forward bias

2.

The CARMA Interest Rate Model

Number of pages: 33 Posted: 30 May 2008 Last Revised: 01 Feb 2013
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, University of Oslo, School of Business and Law at the University of Agder and University of Agder - School of Business and Law
Downloads 595 (82,057)
Citation 6

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interest rate model, short rate, forward rate, term structure, CARMA process, bond pricing, bond option pricing, yield curve, volatility curve, calibration

3.

Volatility and Liquidity on High-frequency Electricity Futures Markets: Empirical Analysis and Stochastic Modeling

International Journal of Theoretical and Applied Finance, 23(4):2050027, 2020
Number of pages: 34 Posted: 17 Jun 2019 Last Revised: 03 Aug 2020
University of Duisburg-Essen, University of Oslo, University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 383 (139,146)
Citation 1

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Volatility, Liquidity, Electricity futures, High-frequency prices, Stochastic modeling, Monte Carlo simulation, Time-weighted realized variance

4.

Pricing and Hedging Asian-Style Options in Energy

Number of pages: 35 Posted: 25 Sep 2013 Last Revised: 27 Sep 2014
Fred Espen Benth and Nils Detering
University of Oslo and University of California, Santa Barbara (UCSB)
Downloads 334 (161,686)
Citation 4

Abstract:

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Asian options, energy markets, trading restrictions, quadratic hedging, moment matching

5.

The Risk Premium and the Esscher Transform in Power Markets

Number of pages: 25 Posted: 17 Nov 2009 Last Revised: 20 Nov 2009
Fred Espen Benth and Carlo Sgarra
University of Oslo and Politecnico di Milano- Dipartimento di Matematica
Downloads 313 (173,249)
Citation 2

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Power Market, Derivatives Pricing, Independent Increments Processes, Esscher Transform, Risk Premium

6.

Modelling Electricity Forward Markets by Ambit Fields

Number of pages: 45 Posted: 05 Oct 2011
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 290 (187,707)
Citation 13

Abstract:

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Electricity Markets, Forward Prices, Random Fields, Ambit Fields, Levy Basis, Samuelson Effect, Stochastic Volatility

7.

Modelling Energy Spot Prices by Lévy Semistationary Processes

CREATES Research Paper 2010-18
Number of pages: 30 Posted: 03 May 2010
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 284 (191,803)
Citation 12

Abstract:

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Energy markets, forward price, Lévy semistationary process, stochastic integration, spot price

8.

A Non-Gaussian Ornstein-Uhlenbeck Model for Pricing Wind Power Futures

Number of pages: 20 Posted: 03 Jun 2017
Fred Espen Benth and Anca Pircalabu
University of Oslo and Aalborg University
Downloads 270 (201,963)
Citation 5

Abstract:

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wind power futures, Ornstein-Uhlenbeck process, weather derivatives, market price of risk

9.

An Application of Functional Data Analysis to Forecast Weather Variables

Number of pages: 49 Posted: 09 Mar 2021
Gleda Kutrolli and Fred Espen Benth
University of Milano-Bicocca and University of Oslo
Downloads 239 (229,762)

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functional data analysis, linear concurrent model, temperature, wind speed, smoothing

10.

Stochastic Modelling of Photovoltaic Power Generation and Electricity Prices

Number of pages: 26 Posted: 07 Mar 2017 Last Revised: 19 Jul 2017
Fred Espen Benth and Noor Ibrahim
University of Oslo and Islamic Science University of Malaysia
Downloads 237 (230,665)
Citation 8

Abstract:

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Photovoltaic power generation, stochastic modelling, time series, electricity prices, quanto options

11.

Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets

Number of pages: 22 Posted: 28 Oct 2014
Fred Espen Benth and Steen Koekebakker
University of Oslo and School of Business and Law at the University of Agder
Downloads 232 (234,441)
Citation 1

Abstract:

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Cointegration, risk premium, CARMA processes, commodity markets, spot and forward relationship, Heath-Jarrow-Morton modeling

12.

Electricity Options and Additional Information

Number of pages: 25 Posted: 21 Jul 2012
Richard Biegler-König, Fred Espen Benth and Ruediger Kiesel
STEAG GmbH, University of Oslo and University of Duisburg-Essen - Faculty of Economic Science
Downloads 230 (236,349)

Abstract:

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Information premium, Electricity markets, Forwards, Options, Enlargement of Filtrations

13.

Ambit Processes and Stochastic Partial Differential Equations

CREATES Research Paper 2010-17
Number of pages: 37 Posted: 03 May 2010
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 213 (254,087)
Citation 3

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Ambit processes, stochastic partial differential equations, Lévy bases, Lévy noise, Walsh theory of martingale measures, turbulence, finance

14.

A Regime-Switching Copula Approach to Modeling Day-Ahead Prices in Coupled Electricity Markets (Pre-print)

Working paper
Number of pages: 24 Posted: 07 Feb 2017 Last Revised: 23 Oct 2017
Anca Pircalabu and Fred Espen Benth
Aalborg University and University of Oslo
Downloads 173 (306,153)
Citation 1

Abstract:

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Day-Ahead Electricity Prices, Market Coupling, Copula Models, Tail Dependence, Financial Transmission Rights, Tail Quantile Forecasting

15.

An Empirical Study of the Information Premium on Electricity Markets

Number of pages: 48 Posted: 21 Jul 2012
Richard Biegler-König, Fred Espen Benth and Ruediger Kiesel
STEAG GmbH, University of Oslo and University of Duisburg-Essen - Faculty of Economic Science
Downloads 165 (318,986)
Citation 6

Abstract:

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Electricity markets, risk premium, information premium,spot-forward relationship, enlargement of filtrations, Gaussian and non-Gaussian Ornstein-Uhlenbeck processes, Hilbert space representation

16.

Cross-Commodity Modelling by Multivariate Ambit Fields

Number of pages: 25 Posted: 21 Jan 2014
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 163 (322,280)

Abstract:

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Ambit fields, commodities, forward prices, spread options

17.

A Multivariate Non-Gaussian Stochastic Volatility Model with Leverage for Energy Markets

Number of pages: 31 Posted: 28 Oct 2009
Linda Vos, Linda Vos and Fred Espen Benth
University of AgderCentre of mathematics for applications (CMA), University of Oslo and University of Oslo
Downloads 158 (330,932)

Abstract:

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Energy markets, Ornstein-Uhlenbeck process, Stochastic volatility, Subordinators

18.

The Implied Risk Aversion from Utility Indifference Option Pricing in a Stochastic Volatility Model

International Journal of Applied Mathematics & Statistics, Vol. 16, No. M10, pp. 11-37, March 2010
Number of pages: 27 Posted: 11 Oct 2009 Last Revised: 25 Nov 2009
Fred Espen Benth, Martin Groth and Carl Lindberg
University of Oslo, University of Oslo and Chalmers University of Technology
Downloads 152 (341,810)

Abstract:

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stochastic volatility, utility indifference option pricing, risk aversion, Lévy processes

19.

Modelling Energy Spot Prices by Volatility Modulated Lévy-Driven Volterra Processes

Number of pages: 38 Posted: 24 Feb 2013
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 142 (361,004)
Citation 4

Abstract:

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energy markets, forward price, generalised hyperbolic distribution, Lévy semistationary process, volatility modulated Lévy-driven Volterra process, stochastic integration, stochastic volatility, Samuelson effect, spot price

20.

Optimal Portfolios in Commodity Futures Markets

Number of pages: 21 Posted: 12 Apr 2012
Fred Espen Benth and Jukka Lempa
University of Oslo and University of Turku - Department of Mathematics and Statistics
Downloads 139 (367,050)
Citation 3

Abstract:

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futures contract, commodity markets, portfolio optimization, stochastic partial differential equations, finite-dimensional realization, invariant foliation

21.

Modeling the Exact Convergence of Electricity Prices in Interconnected Markets

Number of pages: 19 Posted: 11 Jan 2019
Troels Sønderby Christensen and Fred Espen Benth
Aalborg University - Department of Mathematical Sciences and University of Oslo
Downloads 134 (377,607)

Abstract:

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Day-Ahead Electricity Prices, Interconnected Markets, Stochastic Modeling, Derivative Pricing

22.

A Stochastic Time-Series Model for Solar Irradiation

Number of pages: 30 Posted: 04 Aug 2021
Karl Larsson, Rikard Green and Fred Espen Benth
Örebro University, Energy Quant Solutions Sweden and University of Oslo
Downloads 131 (384,139)

Abstract:

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Solar, irradiation, time series, photovoltaic, energy, seasonality, volatility, bimodal, risk

23.

Dynamic Probabilistic Forecasting with Uncertainty

Number of pages: 37 Posted: 24 Jun 2019
Fred Espen Benth, Gleda Kutrolli and Silvana Stefani
University of Oslo, University of Milano-Bicocca and University of Milano-Bicocca
Downloads 129 (391,212)

Abstract:

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probability density, model uncertainty, risk measure, volatility, option prices

24.

Multivariate Modeling and Analysis of Regional Ocean Freight Rates

Number of pages: 32 Posted: 16 May 2017
Roar Adland, Fred Espen Benth and Steen Koekebakker
Norwegian School of Economics (NHH), University of Oslo and School of Business and Law at the University of Agder
Downloads 127 (393,571)
Citation 1

Abstract:

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Freight rates, autoregressive models in continuous time, cointegration, Forward freight agreements

25.

Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk

Number of pages: 34 Posted: 31 Dec 2019
University of Oslo, Aalborg University - Department of Mathematical Sciences and Aarhus University
Downloads 124 (405,595)
Citation 2

Abstract:

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multivariate Ornstein-Uhlenbeck process; wind power futures; hedging; risk premium

26.

Hedging Temperature Risk with CDD and HDD Temperature Futures

Number of pages: 14 Posted: 25 Apr 2023
Fred Espen Benth and Jukka Lempa
University of Oslo and University of Turku - Department of Mathematics and Statistics
Downloads 97 (478,137)

Abstract:

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temperature risk, dynamic hedging, futures contracts, continuous-time autoregressive processes

Optimal Management of Green Certificates in the Swedish-Norwegian Market

Number of pages: 26 Posted: 28 Aug 2014
Fred Espen Benth, Marcus Eriksson and Sjur Westgaard
University of Oslo, University of Oslo and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 79 (549,392)

Abstract:

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Green certificates, Optimal decision rule, Empirical analysis, NIG distribution

Optimal Management of Green Certificates in the Swedish–Norwegian Market

Journal of Energy Markets, Forthcoming
Number of pages: 39 Posted: 15 Jun 2017
Fred Espen Benth, Marcus Eriksson and Sjur Westgaard
University of Oslo, University of Oslo and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
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green certificates, optimal decision rule, empirical analysis, normal inverse Gaussian (NIG) distribution, singular stochastic control, dynamic programming

28.

Pricing of Asian Temperature Risk

SFB 649 Discussion Paper 2009-046
Number of pages: 34 Posted: 11 Dec 2017
University of Oslo, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin
Downloads 68 (590,026)
Citation 2

Abstract:

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Weather Derivatives, Continuous Autoregressive Model, CAT, CDD, HDD, Risk Premium

29.

Pricing options on flow forwards by neural networks in Hilbert space

Number of pages: 21 Posted: 28 Mar 2022
Fred Espen Benth, Nils Detering and Luca Galimberti
University of Oslo, University of California, Santa Barbara (UCSB) and Norwegian University of Science and Technology (NTNU)
Downloads 50 (683,691)

Abstract:

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flow forwards derivatives, term structure, neural networks

30.
Downloads 37 (769,249)

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Emission reduction, Electricity transport, Stochastic models, Renewable energy, Time series analysis

31.

Calibration of Temperature Futures by Changing the Mean Reversion

Journal of Energy Markets, Forthcoming
Number of pages: 25 Posted: 27 Jan 2017
Fred Espen Benth and Salvador Ortiz-Latorre
University of Oslo and University of Oslo - Department of Mathematics
Downloads 2 (1,076,835)
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calibration, temperature futures, pricing measure, mean reversion, continuous-time autoregressive (CAR) processes, half-life

32.

Pricing and Hedging Options in Energy Markets Using Black-76

Journal of Energy Markets, Vol. 7, No. 2, 2014
Number of pages: 36 Posted: 06 Jun 2016
Fred Espen Benth and Maren Schmeck
University of Oslo and University of Oslo
Downloads 2 (1,076,835)
Citation 2
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energy markets, pricing, hedging, Black-76 model

33.

Stochastic Modeling of Photovoltaic Power Generation and Electricity Prices

Journal of Energy Markets, Forthcoming
Number of pages: 33 Posted: 08 Sep 2017
Fred Espen Benth and Noor Ibrahim
University of Oslo and Islamic Science University of Malaysia
Downloads 1 (1,084,880)
Citation 2
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photovoltaic (PV) power production, electricity prices, quanto options, skewed normal distribution, autoregressive-moving-average (ARMA) time series

34.

Pricing and Hedging Quanto Options in Energy Markets

Journal of Energy Markets, 2015
Posted: 22 Aug 2012 Last Revised: 10 Jun 2016
Fred Espen Benth, Nina Lange and Tor Age Myklebust
University of Oslo, Copenhagen Business School and Norwegian School of Economics (NHH)

Abstract:

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gas markets, quanto options, HDD futures, temperature, energy, derivatives pricing, weather derivatives

35.

Pricing of Exotic Energy Derivatives Based on Arithmetic Spot Models

International Journal of Theoretical and Applied Finance, Vol. 12, No. 4, pp. 491-506, 2009
Posted: 02 Dec 2009
Fred Espen Benth and Rodwell Kufakunesu
University of Oslo and University of Pretoria - Mathematics and Applied Mathematics Dept.

Abstract:

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Energy markets, spread options, Asian options, fast Fourier transform, non-Gaussian Ornstein–Uhlenbeck processes, independent increment processes

36.

Utility Indifference Pricing of Interest-Rate Guarantees

International Journal of Theoretical and Applied Finance, Vol. 12, No. 1, pp. 63-82, 2009
Posted: 02 Dec 2009
Fred Espen Benth and Frank Proske
University of Oslo and University of Oslo - Department of Mathematics

Abstract:

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interest-rate guarantees, utility indifference pricing, hedging, arbitrage-free pricing, correlation, risk