Now showing items 1-3 of 3

  • Barth, Andrea; Benth, Fred Espen (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
    In this paper an infinite-dimensional approach to model energy forward markets is introduced. Similar to the Heath–Jarrow–Morton framework in interest-rate modelling, a first-order hyperbolic stochastic partial differential ...
  • Barth, Andrea; Benth, Fred Espen; Potthoff, Jürgen (Research report / Forskningsrapport, 2008)
    The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial ...
  • Barth, Andrea (Doctoral thesis / Doktoravhandling, 2009)
    For many people the behaviour of stock prices may appear to be unpredictable. The price dynamics seem to exhibit no regularity. Although it might be hard to believe, mathematicians and physisists have managed to explain ...