Fred Espen Benth

University of Oslo

Professor

Center of Mathematics for Applications

Oslo, N-0317

Norway

SCHOLARLY PAPERS

26

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CITATIONS
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34

Scholarly Papers (26)

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 1,472 (8,741)
Citation 15

Abstract:

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 424 (47,560)
Citation 2

Abstract:

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
Downloads 220 (95,919)

Abstract:

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 214 (105,408)
Citation 4

Abstract:

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 212 (112,450)
Citation 1

Abstract:

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 180 (126,441)
Citation 3

Abstract:

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 147 (146,532)

Abstract:

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

8.

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 124 (182,727)
Citation 2

Abstract:

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

9.

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 121 (182,727)
Citation 3

Abstract:

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

10.

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 104 (199,367)
Citation 1

Abstract:

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

11.

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 96 (212,632)
Citation 2

Abstract:

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

12.

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 75 (230,610)

Abstract:

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

13.

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 70 (217,011)

Abstract:

Ambit fields, commodities, forward prices, spread options

14.

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 68 (217,011)

Abstract:

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

15.

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 66 (195,635)

Abstract:

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

Optimal Management of Green Certificates in the Swedish-Norwegian Market

Number of pages: 26 Posted: 28 Aug 2014
University of Oslo, University of Oslo and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 42 (364,974)

Abstract:

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
University of Oslo, University of Oslo and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
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Abstract:

green certificates, optimal decision rule, empirical analysis, normal inverse Gaussian (NIG) distribution, singular stochastic control, dynamic programming

17.

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 'Adilah Ibrahim
University of Oslo and Islamic Science University of Malaysia
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Abstract:

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

18.

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 0 (368,230)

Abstract:

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

19.

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 0 (382,739)

Abstract:

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

20.

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 'Adilah Ibrahim
University of Oslo and Islamic Science University of Malaysia
Downloads 0 (378,985)

Abstract:

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

21.

A Regime-Switching Copula Approach to Modeling Day-Ahead Prices in Coupled Electricity Markets

Posted: 07 Feb 2017 Last Revised: 12 Oct 2017
Anca Pircalabu and Fred Espen Benth
Aalborg University and University of Oslo

Abstract:

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

22.

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
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Abstract:

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

23.

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 Diane Schmeck
University of Oslo and University of Oslo
Downloads 0 (568,467)
Citation 1
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Abstract:

energy markets, pricing, hedging, Black-76 model

24.

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:

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

25.

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 Sr.
University of Oslo and University of Pretoria - Mathematics and Applied Mathematics Dept.

Abstract:

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

26.

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:

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