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Fred Espen Benth

Identifiers

  • name variant Fred Espen Benth 0.60 · backfill

Papers (23)

  1. The fine structure of electricity price volatility q-fin.GN · 2026 · author #2
  2. Pricing of commodity derivatives on processes with memory q-fin.PR · 2017 · author #1
  3. Cointegration in continuous time for factor models math.PR · 2017 · author #1
  4. Additive energy forward curves in a Heath-Jarrow-Morton framework q-fin.MF · 2017 · author #1
  5. The Heston stochastic volatility model in Hilbert space math.PR · 2017 · author #1
  6. Continuous-time autoregressive moving-average processes in Hilbert space math.PR · 2017 · author #1
  7. Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations math.ST · 2016 · author #1
  8. Approximation of forward curve models in commodity markets with arbitrage-free finite dimensional models q-fin.MF · 2015 · author #1
  9. Representation and approximation of ambit fields in Hilbert space math.PR · 2015 · author #1
  10. Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility math.PR · 2015 · author #1
  11. Derivatives pricing in energy markets: an infinite dimensional approach q-fin.MF · 2014 · author #1
  12. Pricing and hedging of energy spread options and volatility modulated Volterra processes q-fin.PR · 2014 · author #1
  13. A change of measure preserving the affine structure in the BNS model for commodity markets q-fin.PR · 2014 · author #1
  14. Representation of infinite dimensional forward price models in commodity markets q-fin.PR · 2014 · author #1
  15. A pricing measure to explain the risk premium in power markets q-fin.PR · 2013 · author #1
  16. Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes q-fin.PR · 2013 · author #2
  17. Integration theory for infinite dimensional volatility modulated Volterra processes math.PR · 2013 · author #1
  18. On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis math.PR · 2013 · author #2
  19. Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency math.PR · 2012 · author #2
  20. On stochastic integration for volatility modulated L\'{e}vy-driven Volterra processes math.PR · 2012 · author #2
  21. Optimal portfolios in commodity futures markets q-fin.PM · 2012 · author #1
  22. Futures pricing in electricity markets based on stable CARMA spot models stat.AP · 2012 · author #1
  23. Levy process simulation by stochastic step functions math.PR · 2011 · author #2

Mentions

  • 1110.2367 #2 · backfill · confidence 0.70 Fred Espen Benth

Frequent Coauthors