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Wick products of complex valued random variables 
Benth, Fred Espen; Øksendal, Bernt; Ubøe, Jan; Zhang, Tusheng (Research report / Forskningsrapport, 1995)
Multivariate continuous-time modeling of wind indexes and hedging of wind risk 
Benth, Fred Espen; Sønderby Christensen, Troels; Rohde, Victor (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2021)
With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for wind ...
Pricing Futures and Options in Electricity Markets 
Benth, Fred Espen; Schmeck, Maren Diane (Chapter / Bokkapittel / AcceptedVersion; Peer reviewed, 2014)
In this paper we derive power futures prices from a two-factor spot model being a generalization of the classical Schwartz–Smith commodity dynamics. We include non-Gaussian effects by introducing Lévy processes as 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. ...
Convergence Rates for Finite Element Approximations of Stochastic Partial Differential Equations 
Benth, Fred Espen; Gjerde, Jon (Research report / Forskningsrapport, 1996)
Explicit Representation of the Minimal Variance Portfolio in Markets driven by Lévy processes. 
Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; Øksendal, Bernt; Proske, Frank (Research report / Forskningsrapport, 2001)
In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We ...
On the existence of optimal controls for a singular stochastic control problem in finance 
Benth, Fred Espen; Karlsen, Kenneth H.; Reikvam, Kristin (Research report / Forskningsrapport, 2000)
On the Positivity of the Stochastic Heat Equation 
Benth, Fred Espen (Research report / Forskningsrapport, 1995)
Numerical Solution of the Pressure Equation for Fluid Flow in a Stochastic Medium 
Benth, Fred Espen; Gjerde, Jon (Research report / Forskningsrapport, 1996)
Pricing of temperature index insurance 
Che Taib, Che Mohd Imran; Benth, Fred Espen (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. ...
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Date Issued2020 - 2022 (16)2010 - 2019 (44)2000 - 2009 (31)1993 - 1999 (7)Document TypeTidsskriftartikkel (50)Forskningsrapport (46)Bokkapittel (2)Author
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