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1 Benth, Fred Espen; Khedher, Asma; Vanmaele, Michèle.
Pricing of commodity derivatives on processes with memory. Risks 2020
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2 Krecar, Nikola; Benth, Fred Espen; Gubina, Andrej.
Towards definition of the risk premium function. IEEE Transactions on Power Systems 2020 ;Volume 35.(2) p. 1085-1098
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3 Benth, Fred Espen.
Stochastic volatility in commodity markets. Conference on Stochastic Analysis; 2019-08-26 - 2019-08-30
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4 Benth, Fred Espen.
Stochastic volatility in energy and commodity markets. Vienna Conference on Mathematical Finance; 2019-09-09 - 2019-09-11
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5 Benth, Fred Espen.
Stochastic volatility in energy markets. Numerical methods for SPDES; 2019-05-20 - 2019-05-24
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6 Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano.
Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework. Mathematics and Financial Economics 2019 ;Volume 13.(4) p. 543-577
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7 Benth, Fred Espen; Rohde, Victor.
On non-negative modeling with CARMA processes. Journal of Mathematical Analysis and Applications 2019 ;Volume 476.(1) p. 196-214
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8 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D..
Ambit Stochastics. Springer Nature 2018 (ISBN 978-3-319-94128-8) 402 p. Probability Theory and Stochastic Modelling(88)
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9 Benth, Fred Espen.
Ambit fields and stochastic integration. IMS Annual Meeting on Probability and Statistics; 2018-07-02 - 2018-07-06
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10 Benth, Fred Espen.
Cointegration in continuous time. Seminar in mathematical finance; 2018-11-14
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11 Benth, Fred Espen.
Cointegration in continuous time in commodity markets. ECOMFIN Webinar; 2018-04-17
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12 Benth, Fred Espen.
Polynomial processes in Banach space. Matematisches Colloquim; 2018-10-30
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13 Benth, Fred Espen.
Stochastic integration for BSS processes. Farewell workshop of Professor Jurgen Potthoff; 2018-06-22
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14 Benth, Fred Espen.
Stochastic volatility modeling in power markets. Statkraft seminar; 2018-12-04
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15 Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia.
Stochastic modelling of wind derivatives in energy markets. Risks 2018 ;Volume 6.(2)
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16 Benth, Fred Espen; Krühner, Paul.
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models. Finance and Stochastics 2018 ;Volume 22.(2) p. 327-366
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17 Benth, Fred Espen; Pircalabu, Anca.
A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures. Applied Mathematical Finance 2018 ;Volume 25.(1) p. 36-65
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18 Benth, Fred Espen; Ruediger, Barbara; Suess, Andre.
Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility. Stochastic Processes and their Applications 2018 ;Volume 128.(2) p. 461-486
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19 Benth, Fred Espen; Simonsen, Iben Cathrine.
The Heston stochastic volatility model in Hilbert space. Stochastic Analysis and Applications 2018 ;Volume 36.(4) p. 733-750
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20 Benth, Fred Espen; Suss, Andre.
Cointegration in continuous time for factor models. Mathematics and Financial Economics 2018 ;Volume 13.(1) p. 87-114
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21 Benth, Fred Espen; Suss, Andre.
Continuous-Time Autoregressive Moving-Average Processes in Hilbert Space. I: Computation and Combinatorics in Dynamics, Stochastics and Control. Springer 2018 ISBN 978-3-030-01592-3. p. 297-320
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22 Ådland, Roar Os; Benth, Fred Espen; Koekebakker, Steen.
Multivariate modeling and analysis of regional ocean freight rates. Transportation Research Part E: Logistics and Transportation Review 2018 ;Volume 113. p. 194-221
NHH UIA UiO Untitled
23 Benth, Fred Espen.
CARMA processes in Hilbert space. Second Conference on Ambit Fields and Related Topics; 2017-08-14 - 2017-08-16
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24 Benth, Fred Espen.
Continuous-time cointegration for factor models. Seminars in Mathematical Finance; 2017-03-30 - 2017-03-30
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25 Benth, Fred Espen.
Modelling stochastic volatility in forward markets. HIPERFIT; 2017-11-16
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26 Benth, Fred Espen.
Stochastic volatility for the forward price dynamics. 8th General AMaMeF Conference; 2017-06-19 - 2017-06-23
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27 Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur.
Optimal management of green certificates in the Swedish-Norwegian market. Journal of Energy Markets 2017 ;Volume 10.(2) p. 1-39
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28 Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur.
Stochastic Volatility Modeling of Emission Allowances Futures Prices in the European Union Emission Trading System Market. I: Real Options in Energy and Commodity Markets. World Scientific 2017 ISBN 978-981-3149-40-3. p. 63-115
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29 Benth, Fred Espen; Eyjolfsson, Heidar.
Representation and approximation of ambit fields in Hilbert space. Stochastics: An International Journal of Probability and Stochastic Processes 2017 ;Volume 89.(1) p. 311-347
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30 Benth, Fred Espen; Ibrahim, Noor Adilah.
Stochastic modeling of photovoltaic power generation and electricity prices. Journal of Energy Markets 2017 ;Volume 10.(3) p. 1-33
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31 Benth, Fred Espen; Ortiz-Latorre, Salvador.
Calibration of temperature futures by changing the mean reversion. Journal of Energy Markets 2017 ;Volume 10.(1) p. 1-25
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32 Benth, Fred Espen; Paraschiv, Florentina.
A space-time random field model for electricity forward prices. Journal of Banking & Finance 2017 ;Volume 95. p. 203-216
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33 Pircalabu, Anca; Benth, Fred Espen.
A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. Energy Economics 2017 ;Volume 68. p. 283-302
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34 Benth, Fred Espen.
Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework. I: Advanced Modelling in Mathematical Finance. Springer Publishing Company 2016 ISBN 978-3-319-45873-1. p. 477-496
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35 Benth, Fred Espen.
Cointegration in continuous time -- commodity spot and forward markets. Seminar in Finance; 2016-04-12
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36 Benth, Fred Espen.
Modelling in energy markets. Intensive course; 2016-07-04 - 2016-07-04
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37 Benth, Fred Espen.
Ornstein-Uhlenbeck processes in Hilbert space - analysis and application. Abelsymposium 2016; 2016-08-16 - 2016-08-19
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38 Benth, Fred Espen.
Stochastic modelling of energy markets. Winter School in Mathematical FInance; 2016-01-25 - 2016-01-27
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39 Benth, Fred Espen; Di Nunno, Giulia.
Stochastics of Environmental and Financial Economics. Springer Science+Business Media B.V. 2016 (ISBN 978-3-319-23424-3) ;Volume 138.360 p. Springer Proceedings in Mathematics & statistics(138)
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40 Benth, Fred Espen; Eyjolfsson, Heidar.
Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations. Bernoulli 2016 ;Volume 22.(2) p. 774-793
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41 Benth, Fred Espen; Khedher, Asma.
Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion. I: The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen. Springer Science+Business Media B.V. 2016 ISBN 978-3-319-25824-9. p. 153-189
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42 Benth, Fred Espen; Koekebakker, Steen.
Stochastic modeling of Supramax spot and forward freight rates. Maritime Economics & Logistics 2016 ;Volume 18.(4) p. 391-413
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43 Benth, Fred Espen; Suess, Andre.
Integration theory for infinite dimensional volatility modulated Volterra processes. Bernoulli 2016 ;Volume 22.(3) p. 1383-1430
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44 Benth, Fred Espen; Zdanowicz, Hanna Marta.
Pricing and hedging of energy spread options and volatility modulated volterra processes. International Journal of Theoretical and Applied Finance 2016 ;Volume 19.(1) p. -
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45 Ådland, Roar Os; Koekebakker, Steen; Benth, Fred Espen.
Multivariate modelling of regional ocean freight rates. 6th International Conference on Logistics and Maritime System; 2016-06-21 - 2016-06-23
NHH UIA UiO Untitled
46 Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E.D..
Cross-commodity modelling by multivariate ambit fields. Fields Institute Communications 2015 ;Volume 74. p. 109-148
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47 Benth, Fred Espen.
CMA: Erfaringer med forskning på tvers og på langs i en SFF. SFF Forum; 2015-10-20 - 2015-10-21
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48 Benth, Fred Espen.
Forsikrer seg mot fornybar risiko. Klima 2015
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49 Benth, Fred Espen.
Kriging smooth futures curves. Energy Risk: Incisive Media 2015 6 p.
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50 Benth, Fred Espen.
Modelling energy forward prices - representation of ambit fields. Mathematical finance beyond classical models; 2015-09-16 - 2015-09-18
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