Browsing Matematisk institutt by Author "Benth, Fred Espen"

Now showing items 1-20 of 104

  • A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures 
    Benth, Fred Espen (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)
    The recent introduction of wind power futures written on the German wind power production index has brought with it new interesting challenges in terms of modelling and pricing. Some particularities of this product are the ...
  • A pricing measure to explain the risk premium in power markets 
    Benth, Fred Espen; Ortiz-Latorre, Salvador (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2014)
    In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein–Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. ...
  • A stochastic study of carbon emission reduction from electrification and interconnecting cable utilization. The Norway and Germany case 
    Schrader, Simon Elias; Benth, Fred Espen (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2022)
    We analyse how carbon emissions are reduced utilizing the new NordLink cable between Norway and Germany, taking policy plans of platform electrification in Norway into account. Building a stochastic model based on existing ...
  • A stochastic time-series model for solar irradiation 
    Larsson, Karl; Green, Rikard; Benth, Fred Espen (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2023)
    We propose a novel stochastic time series model able to explain the stylized features of daily irradiation level data in 5 cities in Germany. The model is suitable for applications to risk management of photovoltaic power ...
  • A topological proof of Sklar’s theorem in arbitrary dimensions 
    Benth, Fred Espen; Nunno, Giulia Di; Schroers, Dennis (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2022)
    Abstract Copulas are appealing tools in multivariate probability theory and statistics. Nevertheless, the transfer of this concept to infinite dimensions entails some nontrivial topological and functional analytic ...
  • A weak law of large numbers for realised covariation in a Hilbert space setting 
    Benth, Fred Espen; Schroers, Dennis; Veraart, Almut E. D. (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2022)
    This article generalises the concept of realised covariation to Hilbert-space-valued stochastic processes. More precisely, based on high-frequency functional data, we construct an estimator of the trace-class operator-valued ...
  • Accuracy of deep learning in calibrating HJM forward curves 
    Benth, Fred Espen; Detering, Nils; Lavagnini, Silvia (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2021)
    We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath–Jarrow–Morton (HJM) approach. For this purpose, we introduce a new class of state-dependent ...
  • Analysis of the risk premium in the forward market for salmon 
    Benth, Fred Espen; Eikeset, Anne Maria; Levin, Simon A.; Ren, Wanjuan (Journal article / Tidsskriftartikkel / SubmittedVersion, 2021)
    We analyse forward prices observed at the Fishpool market, and propose a two-factor continuous-time stochastic process for modelling the time dynamics. The data analysis reveals that the two factors can be assumed to be a ...
  • ANALYTICAL APPROXIMATION FOR THE PRICE DYNAMICS OF SPARK SPREAD OPTIONS 
    Benth, Fred Espen; Saltyte-Benth, Jurate (Research report / Forskningsrapport, 2005)
    This paper presents an analytic approximation for the pricing dynamics of spark spread options in terms of Fourier transforms. We propose to model the spark spread, that is, the price difference of electricity and gas, ...
  • ANTICIPATIVE CALCULUS FOR LÉVY PROCESSES AND STOCHASTIC DIFFERENTIAL EQUATIONS 
    Benth, Fred Espen; Løkka, Arne (Research report / Forskningsrapport, 2002)
    We develop an anticipative calculus for Lévy processes with finite second moment. The calculus is based on the chaos expansion of square-integrable random variables in terms of iterated integrals of the compensated Poisson ...
  • Approximating Levy semistationary processes via Fourier methods in the context of power markets 
    Benth, Fred Espen; Eyjolfsson, Heidar; Veraart, Almut E. D. (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2014)
    The present paper discusses simulation of Lévy semistationary (LSS) processes in the context of power markets. A disadvantage of applying numerical integration to obtain trajectories of LSS processes is that such a scheme ...
  • APPROXIMATING LÉVY SEMISTATIONARY PROCESSES VIA FOURIER METHODS IN THE CONTEXT OF POWER MARKETS 
    Eyjolfsson, Heidar; Benth, Fred Espen; Veraart, Almut E. D. (Research report / Forskningsrapport, 2013)
    The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. ...
  • Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models 
    Benth, Fred Espen; Krühner, Paul (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)
    In this paper, we show how to approximate Heath–Jarrow–Morton dynamics for the forward prices in commodity markets with arbitrage-free models which have a finite-dimensional state space. Moreover, we recover a closed-form ...
  • ARBITRAGE-FREE PRICING DYNAMICS OF INTEREST-RATE GUARANTEES BASED ON THE UTILITY INDIFFERENCE METHOD 
    Benth, Fred Espen; Proske, Frank (Research report / Forskningsrapport, 2005)
    We consider the problem of utility indifference pricing of a put option written on a non-tradeable asset, where we can hedge in a correlated asset. The dynamics are assumed to be a two-dimensional geometric Brownian motion, ...
  • A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets 
    Benth, Fred Espen; Ortiz-Latorre, Salvador (Journal article / Tidsskriftartikkel / SubmittedVersion, 2015)
    For a commodity spot price dynamics given by an Ornstein–Uhlenbeck (OU) process with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards using a class of pricing measures that simultaneously allow for ...
  • Cointegration in continuous time for factor models 
    Benth, Fred Espen; Suess, Andre (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
    We develop cointegration for multivariate continuous-time stochastic processes, both in finite and infinite dimension. Our definition and analysis are based on factor processes and operators mapping to the space of prices ...
  • COMPUTATION OF GREEKS IN MULTI-FACTOR MODELS WITH APPLICATIONS TO POWER AND COMMODITY MARKETS 
    Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma (Research report / Forskningsrapport, 2010)
    We study the computation of the Greeks of options written on assets modelled by a multi-factor dynamics. For this purpose, we apply the conditional density method in which the knowledge of the density of one factor is ...
  • Convergence Rates for Finite Element Approximations of Stochastic Partial Differential Equations 
    Benth, Fred Espen; Gjerde, Jon (Research report / Forskningsrapport, 1996)
  • Correlators of Polynomial Processes 
    Benth, Fred Espen; Lavagnini, Silvia (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2021)
    In the setting of one-dimensional polynomial jump-diffusion dynamics, we provide an explicit formula for computing correlators, namely, cross-moments of the process at different time points along its path. The formula ...
  • A critical view on temperature modelling for application in weather derivatives markets 
    Saltyte Benth, Jurate; Benth, Fred Espen (Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)
    In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated ...