Fred Espen Benth

University of Oslo

Professor

Center of Mathematics for Applications

Oslo, N-0317

Norway

SCHOLARLY PAPERS

30

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Scholarly Papers (30)

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 1,625 (10,239)
Citation 17

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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 518 (53,016)
Citation 4

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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.

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 277 (109,893)
Citation 2

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

4.

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 251 (121,722)
Citation 11

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

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 245 (124,825)
Citation 2

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

6.

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 222 (137,624)
Citation 8

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

7.

Electricity Options and Additional Information

Number of pages: 25 Posted: 21 Jul 2012
Richard Biegler-König, Fred Espen Benth and Ruediger Kiesel
Evonik Steag GmbH, University of Oslo and University of Duisburg-Essen - Faculty of Economic Science
Downloads 181 (166,427)

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

8.

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 150 (195,562)
Citation 3

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

9.

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 139 (208,026)
Citation 1

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

10.

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

Number of pages: 31 Posted: 28 Oct 2009
Linda Vos and Fred Espen Benth
University of Agder and University of Oslo
Downloads 138 (209,248)

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

11.

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 125 (226,133)

Abstract:

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Ambit fields, commodities, forward prices, spread options

12.

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
Evonik Steag GmbH, University of Oslo and University of Duisburg-Essen - Faculty of Economic Science
Downloads 124 (227,556)
Citation 5

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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

13.

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

Number of pages: 34 Posted: 17 Jun 2019
University of Duisburg-Essen, University of Oslo, University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 120 (234,645)

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Volatility, Liquidity, Electricity Futures, High-Frequency Prices, Stochastic Modeling, Monte Carlo Simulation, Time-Weighted Realized Variance

14.

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 115 (240,556)
Citation 1

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

15.

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 113 (243,608)

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

16.

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 111 (246,709)

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

17.

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 109 (249,965)

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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

18.

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 Oslo - Department of Mathematics
Downloads 105 (256,574)
Citation 3

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

19.

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 103 (259,994)
Citation 3

Abstract:

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

20.

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 66 (340,036)

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

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 45 (413,597)

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

22.

Pricing of Asian Temperature Risk

SFB 649 Discussion Paper 2009-046
Number of pages: 34 Posted: 11 Dec 2017
University of Oslo, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 25 (493,684)
Citation 2

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

23.

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 23 (510,792)

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

24.

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 22 (510,792)

Abstract:

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

25.

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 1 (652,711)
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calibration, temperature futures, pricing measure, mean reversion, continuous-time autoregressive (CAR) processes, half-life

26.

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 0 (670,354)
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photovoltaic (PV) power production, electricity prices, quanto options, skewed normal distribution, autoregressive-moving-average (ARMA) time series

27.

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 0 (670,354)
Citation 1
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energy markets, pricing, hedging, Black-76 model

28.

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)

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

29.

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

30.

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