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Benth, Fred Espen

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Author ID: benth.fred-espen Recent zbMATH articles by "Benth, Fred Espen"
Published as: Benth, F. E.; Benth, Fred E.; Benth, Fred Espen
Homepage: http://www.mn.uio.no/math/personer/vit/fredb/
External Links: MGP · Wikidata
Documents Indexed: 118 Publications since 1993, including 7 Books

Publications by Year

Citations contained in zbMATH

92 Publications have been cited 811 times in 506 Documents Cited by Year
Stochastic modeling of electricity and related markets. Zbl 1143.91002
Benth, Fred Espen; Šaltytė Benth, Jūratė; Koekebakker, Steen
62
2008
A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo
45
2007
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Zbl 0978.91039
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
39
2001
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes. Zbl 1337.60088
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.
32
2013
The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481
Benth, Fred Espen; Benth, Jūratė Šaltytė
27
2007
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes. Zbl 1173.91377
Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; Øksendal, Bernt; Proske, Frank
27
2003
Convergence rates for finite element approximations of stochastic partial differential equations. Zbl 0902.60048
Benth, Fred Espen; Gjerde, Jon
26
1998
Stochastic modelling of temperature variations with a view towards weather derivatives. Zbl 1093.91021
Benth, Fred Espen; Šaltytė-Benth, Jūratė
24
2005
Merton’s portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type. Zbl 1049.91060
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
23
2003
Ambit processes and stochastic partial differential equations. Zbl 1239.91188
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.
21
2011
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency. Zbl 1312.60063
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.
17
2015
Modelling electricity futures by ambit fields. Zbl 1304.91213
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.
17
2014
The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets. Zbl 1247.91178
Benth, Fred Espen
17
2011
Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model. Zbl 1141.91015
Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell
17
2007
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps. Zbl 1092.91020
Benth, Fred Espen; Meyer-Brandis, Thilo
17
2005
The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309
Benth, Fred Espen; Šaltytė-Benth, Jūratė
17
2004
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
17
2002
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution. Zbl 1049.91059
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
17
2001
A note on Merton’s portfolio selection problem for the Schwartz mean-reversion model. Zbl 1074.60068
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl
16
2005
Putting a price on temperature. Zbl 1164.62077
Benth, Fred Espen; Benth, Jüratė Šaltytė; Koekebakker, Steen
15
2007
Modeling and pricing in financial markets for weather derivatives. Zbl 1303.91004
Benth, Fred Espen; Benth, Jūratė Šaltytė
13
2012
A semilinear Black and Scholes partial differential equation for valuing American options. Zbl 1064.60080
Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin
13
2003
On the martingale property for generalized stochastic processes. Zbl 0866.60039
Benth, Fred E.; Potthoff, Jürgen
12
1996
The CARMA interest rate model. Zbl 1290.91170
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; Zakamulin, Valeriy
11
2014
Modeling the forward surface of mortality. Zbl 1255.91443
Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger
11
2012
Anticipative calculus for Lévy processes and stochastic differential equations. Zbl 1052.60052
Benth, Fred Espen; Løkka, Arne
11
2004
Robustness of option prices and their deltas in markets modelled by jump-diffusions. Zbl 1331.91172
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma
10
2011
A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets. Zbl 1115.91025
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl
10
2005
A note on arbitrage-free pricing of forward contracts in energy markets. Zbl 1101.91323
Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; Nielsen, Bjørn Fredrik
10
2003
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. Zbl 1087.91020
Benth, Fred Espen
10
2003
On stochastic integration for volatility modulated Lévy-driven Volterra processes. Zbl 1314.60106
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Pedersen, Jan; Veraart, Almut E. D.
9
2014
A remark on the equivalence between Poisson and Gaussian stochastic partial differential equations. Zbl 0926.60048
Benth, Fred Espen; Gjerde, Jon
9
1998
On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis. Zbl 1291.60109
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt
8
2014
Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets. Zbl 1269.91083
Benth, F. E.; Vos, L.
8
2013
A white noise approach to a class of non-linear stochastic heat equations. Zbl 0894.60039
Benth, F. E.; Deck, T.; Potthoff, J.
8
1997
Approximating Lévy semistationary processes via Fourier methods in the context of power markets. Zbl 1329.60120
Benth, Fred Espen; Eyjolfsson, Heidar; Veraart, Almut E. D.
7
2014
A connection between singular stochastic control and optimal stopping. Zbl 1056.93070
Benth, Fred Espen; Reikvam, Kristin
7
2004
Donsker’s delta function and the covariance between generalized functionals. Zbl 1013.60050
Benth, Fred Espen; Ng, Siu-Ah
7
2002
Hedging of spatial temperature risk with market-traded futures. Zbl 1213.91147
Barth, Andrea; Benth, Fred Espen; Potthoff, Jürgen
6
2011
Some regularity results for the stochastic pressure equation of Wick-type. Zbl 1036.60055
Benth, Fred Espen; Theting, Thomas Gorm
6
2002
The forward dynamics in energy markets – infinite-dimensional modelling and simulation. Zbl 1337.91086
Barth, Andrea; Benth, Fred Espen
5
2014
Representation of infinite-dimensional forward price models in commodity markets. Zbl 1322.60100
Benth, Fred Espen; Krühner, Paul
5
2014
A note on convergence of option prices and their Greeks for Lévy models. Zbl 1284.91539
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma
5
2013
The risk premium and the Esscher transform in power markets. Zbl 1250.62053
Benth, Fred Espen; Sgarra, Carlo
5
2012
Weather derivatives and stochastic modelling of temperature. Zbl 1229.91298
Benth, Fred Espen; Benth, Jūratė Šaltytė
5
2011
Derivatives pricing in energy markets: an infinite-dimensional approach. Zbl 1347.60082
Benth, Fred Espen; Krühner, Paul
4
2015
A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence. Zbl 1068.35190
Benth, F. E.; Karlsen, K. H.; Reikvam, K.
4
2004
Option theory with stochastic analysis. An introduction to mathematical finance. Zbl 1042.91034
Benth, Fred Espen
4
2004
Kriging with inequality constraints. Zbl 1011.86007
Abrahamsen, Petter; Benth, Fred Espen
4
2001
The Gross derivative and generalized random variables. Zbl 1043.60515
Benth, Fred Espen
4
1999
Integrals in the Hida distribution space \(({\mathcal S})^*\). Zbl 0823.60035
Benth, Fred Espen
4
1993
Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility. Zbl 1380.60010
Benth, Fred Espen; Rüdiger, Barbara; Süss, Andre
3
2018
Stochastic dynamical modelling of spot freight rates. Zbl 1433.91198
Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd Imran Che
3
2015
Pricing and hedging Asian-style options on energy. Zbl 1335.91076
Benth, Fred Espen; Detering, Nils
3
2015
A pricing measure to explain the risk premium in power markets. Zbl 1308.91156
Benth, Fred Espen; Ortiz-Latorre, Salvador
3
2014
Optimal portfolios in commodity futures markets. Zbl 1305.91213
Benth, Fred Espen; Lempa, Jukka
3
2014
Stochastic modeling of power markets using stationary processes. Zbl 1281.91151
Benth, Fred Espen; Eyjolfsson, Heidar
3
2013
Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets. Zbl 1269.91036
Benth, F. E.; Vos, L.
3
2013
Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model. Zbl 1196.91055
Benth, Fred Espen; Groth, Martin; Wallin, Olli
3
2010
The minimal entropy martingale measure and numerical option pricing for the Barndorff-Nielsen-Shephard stochastic volatility model. Zbl 1182.91194
Benth, Fred Espen; Groth, Martin
3
2009
Analytical approximation for the price dynamics of spark spread options. Zbl 1260.91256
Benth, Fred E.; Saltyte-Benth, Jurate
3
2006
A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives. Zbl 1138.91420
Benth, Fred Espen; Groth, Martin; Kettler, Paul C.
3
2006
Fast evaluation of the Asian basket option by singular value decomposition. Zbl 1002.91027
Dahl, Lars O.; Benth, Fred E.
3
2002
Laser cooling and stochastics. Zbl 1371.82072
Barndorff-Nielsen, O. E.; Benth, F. E.
3
2001
A nonlinear parabolic equation with noise. Zbl 0960.60058
Benth, Fred Espen; Gjessing, Håkon K.
3
2000
Explicit strong solutions of SPDE’s with applications to nonlinear filtering. Zbl 0905.60038
Benth, F. E.; Deck, Th.; Potthoff, J.; Våge, G.
3
1998
Nonlinear evolution equations with gradient coupled noise. Zbl 0911.60051
Benth, F. E.; Deck, Th.; Potthoff, J.; Streit, L.
3
1998
On the positivity of the stochastic heat equation. Zbl 0874.60058
Benth, Fred Espen
3
1997
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework. Zbl 1422.91736
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano
2
2019
Ambit stochastics. Zbl 06946620
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.
2
2018
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework. Zbl 1367.91174
Benth, Fred Espen
2
2016
Pricing of spread options on a bivariate jump market and stability to model risk. Zbl 1396.91717
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane
2
2015
Integrability of multivariate subordinated Lévy processes in Hilbert space. Zbl 1327.60103
Benth, Fred Espen; Krühner, Paul
2
2015
Lévy process simulation by stochastic step functions. Zbl 1296.60124
Sørensen, Torquil Macdonald; Benth, Fred Espen
2
2013
Lévy models robustness and sensitivity. Zbl 1256.60019
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma
2
2010
A note on portfolio management under non-Gaussian logreturns. Zbl 1152.91483
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
2
2001
A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures. Zbl 1418.91503
Benth, Fred Espen; Pircalabu, Anca
1
2018
Pricing and hedging of energy spread options and volatility modulated Volterra processes. Zbl 1406.91434
Benth, Fred Espen; Zdanowicz, Hanna
1
2016
A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets. Zbl 1343.60091
Benth, Fred Espen; Ortiz-Latorre, Salvador
1
2015
Modeling temperature for pricing weather derivatives. Zbl 1356.86015
Benth, Fred Espen
1
2013
Stability of Merton’s portfolio optimization problem for Lévy models. Zbl 1284.93258
Benth, Fred Espen; Schmeck, Maren Diane
1
2013
Stochastic volatility and dependency in energy markets: multi-factor modelling. Zbl 1315.91022
Benth, Fred Espen
1
2013
Computing optimal recovery policies for financial markets. Zbl 1262.91144
Benth, Fred E.; Dahl, Geir; Mannino, Carlo
1
2012
Pricing of basket options using univariate normal inverse Gaussian approximations. Zbl 1211.91252
Benth, Fred Espen; Henriksen, Pål Nicolai
1
2011
Pricing of exotic energy derivatives based on arithmetic spot models. Zbl 1178.91190
Benth, Fred Espen; Kufakunesu, Rodwell
1
2009
Utility indifference pricing of interest-rate guarantees. Zbl 1205.91077
Benth, Fred Espen; Proske, Frank
1
2009
Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets. Zbl 1079.91527
Benth, Fred E.; Dahl, Lars O.; Karlsen, Kenneth H.
1
2003
On weighted \(L^2(\Omega)\)-spaces, their duals and Itô integration. Zbl 0988.60054
Benth, Fred Espen
1
2001
On the existence of optimal controls for a singular stochastic control problem in finance. Zbl 0987.91035
Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin
1
2001
The Burgers equation with a non-Gaussian random force. Zbl 1126.35355
Benth, Fred Espen; Streit, Ludwig
1
1998
A note on population growth in a crowded stochastic environment. Zbl 0837.92017
Benth, Fred Espen
1
1996
An explicit functional process solution to a stochastic partial differential equation with applications to nonlinear filtering. Zbl 0851.60061
Benth, Fred Espen
1
1994
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework. Zbl 1422.91736
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano
2
2019
Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility. Zbl 1380.60010
Benth, Fred Espen; Rüdiger, Barbara; Süss, Andre
3
2018
Ambit stochastics. Zbl 06946620
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.
2
2018
A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures. Zbl 1418.91503
Benth, Fred Espen; Pircalabu, Anca
1
2018
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework. Zbl 1367.91174
Benth, Fred Espen
2
2016
Pricing and hedging of energy spread options and volatility modulated Volterra processes. Zbl 1406.91434
Benth, Fred Espen; Zdanowicz, Hanna
1
2016
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency. Zbl 1312.60063
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.
17
2015
Derivatives pricing in energy markets: an infinite-dimensional approach. Zbl 1347.60082
Benth, Fred Espen; Krühner, Paul
4
2015
Stochastic dynamical modelling of spot freight rates. Zbl 1433.91198
Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd Imran Che
3
2015
Pricing and hedging Asian-style options on energy. Zbl 1335.91076
Benth, Fred Espen; Detering, Nils
3
2015
Pricing of spread options on a bivariate jump market and stability to model risk. Zbl 1396.91717
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane
2
2015
Integrability of multivariate subordinated Lévy processes in Hilbert space. Zbl 1327.60103
Benth, Fred Espen; Krühner, Paul
2
2015
A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets. Zbl 1343.60091
Benth, Fred Espen; Ortiz-Latorre, Salvador
1
2015
Modelling electricity futures by ambit fields. Zbl 1304.91213
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.
17
2014
The CARMA interest rate model. Zbl 1290.91170
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; Zakamulin, Valeriy
11
2014
On stochastic integration for volatility modulated Lévy-driven Volterra processes. Zbl 1314.60106
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Pedersen, Jan; Veraart, Almut E. D.
9
2014
On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis. Zbl 1291.60109
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt
8
2014
Approximating Lévy semistationary processes via Fourier methods in the context of power markets. Zbl 1329.60120
Benth, Fred Espen; Eyjolfsson, Heidar; Veraart, Almut E. D.
7
2014
The forward dynamics in energy markets – infinite-dimensional modelling and simulation. Zbl 1337.91086
Barth, Andrea; Benth, Fred Espen
5
2014
Representation of infinite-dimensional forward price models in commodity markets. Zbl 1322.60100
Benth, Fred Espen; Krühner, Paul
5
2014
A pricing measure to explain the risk premium in power markets. Zbl 1308.91156
Benth, Fred Espen; Ortiz-Latorre, Salvador
3
2014
Optimal portfolios in commodity futures markets. Zbl 1305.91213
Benth, Fred Espen; Lempa, Jukka
3
2014
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes. Zbl 1337.60088
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.
32
2013
Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets. Zbl 1269.91083
Benth, F. E.; Vos, L.
8
2013
A note on convergence of option prices and their Greeks for Lévy models. Zbl 1284.91539
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma
5
2013
Stochastic modeling of power markets using stationary processes. Zbl 1281.91151
Benth, Fred Espen; Eyjolfsson, Heidar
3
2013
Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets. Zbl 1269.91036
Benth, F. E.; Vos, L.
3
2013
Lévy process simulation by stochastic step functions. Zbl 1296.60124
Sørensen, Torquil Macdonald; Benth, Fred Espen
2
2013
Modeling temperature for pricing weather derivatives. Zbl 1356.86015
Benth, Fred Espen
1
2013
Stability of Merton’s portfolio optimization problem for Lévy models. Zbl 1284.93258
Benth, Fred Espen; Schmeck, Maren Diane
1
2013
Stochastic volatility and dependency in energy markets: multi-factor modelling. Zbl 1315.91022
Benth, Fred Espen
1
2013
Modeling and pricing in financial markets for weather derivatives. Zbl 1303.91004
Benth, Fred Espen; Benth, Jūratė Šaltytė
13
2012
Modeling the forward surface of mortality. Zbl 1255.91443
Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger
11
2012
The risk premium and the Esscher transform in power markets. Zbl 1250.62053
Benth, Fred Espen; Sgarra, Carlo
5
2012
Computing optimal recovery policies for financial markets. Zbl 1262.91144
Benth, Fred E.; Dahl, Geir; Mannino, Carlo
1
2012
Ambit processes and stochastic partial differential equations. Zbl 1239.91188
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D.
21
2011
The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets. Zbl 1247.91178
Benth, Fred Espen
17
2011
Robustness of option prices and their deltas in markets modelled by jump-diffusions. Zbl 1331.91172
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma
10
2011
Hedging of spatial temperature risk with market-traded futures. Zbl 1213.91147
Barth, Andrea; Benth, Fred Espen; Potthoff, Jürgen
6
2011
Weather derivatives and stochastic modelling of temperature. Zbl 1229.91298
Benth, Fred Espen; Benth, Jūratė Šaltytė
5
2011
Pricing of basket options using univariate normal inverse Gaussian approximations. Zbl 1211.91252
Benth, Fred Espen; Henriksen, Pål Nicolai
1
2011
Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model. Zbl 1196.91055
Benth, Fred Espen; Groth, Martin; Wallin, Olli
3
2010
Lévy models robustness and sensitivity. Zbl 1256.60019
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma
2
2010
The minimal entropy martingale measure and numerical option pricing for the Barndorff-Nielsen-Shephard stochastic volatility model. Zbl 1182.91194
Benth, Fred Espen; Groth, Martin
3
2009
Pricing of exotic energy derivatives based on arithmetic spot models. Zbl 1178.91190
Benth, Fred Espen; Kufakunesu, Rodwell
1
2009
Utility indifference pricing of interest-rate guarantees. Zbl 1205.91077
Benth, Fred Espen; Proske, Frank
1
2009
Stochastic modeling of electricity and related markets. Zbl 1143.91002
Benth, Fred Espen; Šaltytė Benth, Jūratė; Koekebakker, Steen
62
2008
A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo
45
2007
The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481
Benth, Fred Espen; Benth, Jūratė Šaltytė
27
2007
Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model. Zbl 1141.91015
Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell
17
2007
Putting a price on temperature. Zbl 1164.62077
Benth, Fred Espen; Benth, Jüratė Šaltytė; Koekebakker, Steen
15
2007
Analytical approximation for the price dynamics of spark spread options. Zbl 1260.91256
Benth, Fred E.; Saltyte-Benth, Jurate
3
2006
A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives. Zbl 1138.91420
Benth, Fred Espen; Groth, Martin; Kettler, Paul C.
3
2006
Stochastic modelling of temperature variations with a view towards weather derivatives. Zbl 1093.91021
Benth, Fred Espen; Šaltytė-Benth, Jūratė
24
2005
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps. Zbl 1092.91020
Benth, Fred Espen; Meyer-Brandis, Thilo
17
2005
A note on Merton’s portfolio selection problem for the Schwartz mean-reversion model. Zbl 1074.60068
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl
16
2005
A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets. Zbl 1115.91025
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl
10
2005
The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309
Benth, Fred Espen; Šaltytė-Benth, Jūratė
17
2004
Anticipative calculus for Lévy processes and stochastic differential equations. Zbl 1052.60052
Benth, Fred Espen; Løkka, Arne
11
2004
A connection between singular stochastic control and optimal stopping. Zbl 1056.93070
Benth, Fred Espen; Reikvam, Kristin
7
2004
A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence. Zbl 1068.35190
Benth, F. E.; Karlsen, K. H.; Reikvam, K.
4
2004
Option theory with stochastic analysis. An introduction to mathematical finance. Zbl 1042.91034
Benth, Fred Espen
4
2004
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes. Zbl 1173.91377
Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; Øksendal, Bernt; Proske, Frank
27
2003
Merton’s portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type. Zbl 1049.91060
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
23
2003
A semilinear Black and Scholes partial differential equation for valuing American options. Zbl 1064.60080
Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin
13
2003
A note on arbitrage-free pricing of forward contracts in energy markets. Zbl 1101.91323
Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; Nielsen, Bjørn Fredrik
10
2003
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. Zbl 1087.91020
Benth, Fred Espen
10
2003
Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets. Zbl 1079.91527
Benth, Fred E.; Dahl, Lars O.; Karlsen, Kenneth H.
1
2003
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
17
2002
Donsker’s delta function and the covariance between generalized functionals. Zbl 1013.60050
Benth, Fred Espen; Ng, Siu-Ah
7
2002
Some regularity results for the stochastic pressure equation of Wick-type. Zbl 1036.60055
Benth, Fred Espen; Theting, Thomas Gorm
6
2002
Fast evaluation of the Asian basket option by singular value decomposition. Zbl 1002.91027
Dahl, Lars O.; Benth, Fred E.
3
2002
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Zbl 0978.91039
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
39
2001
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution. Zbl 1049.91059
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
17
2001
Kriging with inequality constraints. Zbl 1011.86007
Abrahamsen, Petter; Benth, Fred Espen
4
2001
Laser cooling and stochastics. Zbl 1371.82072
Barndorff-Nielsen, O. E.; Benth, F. E.
3
2001
A note on portfolio management under non-Gaussian logreturns. Zbl 1152.91483
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
2
2001
On weighted \(L^2(\Omega)\)-spaces, their duals and Itô integration. Zbl 0988.60054
Benth, Fred Espen
1
2001
On the existence of optimal controls for a singular stochastic control problem in finance. Zbl 0987.91035
Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin
1
2001
A nonlinear parabolic equation with noise. Zbl 0960.60058
Benth, Fred Espen; Gjessing, Håkon K.
3
2000
The Gross derivative and generalized random variables. Zbl 1043.60515
Benth, Fred Espen
4
1999
Convergence rates for finite element approximations of stochastic partial differential equations. Zbl 0902.60048
Benth, Fred Espen; Gjerde, Jon
26
1998
A remark on the equivalence between Poisson and Gaussian stochastic partial differential equations. Zbl 0926.60048
Benth, Fred Espen; Gjerde, Jon
9
1998
Explicit strong solutions of SPDE’s with applications to nonlinear filtering. Zbl 0905.60038
Benth, F. E.; Deck, Th.; Potthoff, J.; Våge, G.
3
1998
Nonlinear evolution equations with gradient coupled noise. Zbl 0911.60051
Benth, F. E.; Deck, Th.; Potthoff, J.; Streit, L.
3
1998
The Burgers equation with a non-Gaussian random force. Zbl 1126.35355
Benth, Fred Espen; Streit, Ludwig
1
1998
A white noise approach to a class of non-linear stochastic heat equations. Zbl 0894.60039
Benth, F. E.; Deck, T.; Potthoff, J.
8
1997
On the positivity of the stochastic heat equation. Zbl 0874.60058
Benth, Fred Espen
3
1997
On the martingale property for generalized stochastic processes. Zbl 0866.60039
Benth, Fred E.; Potthoff, Jürgen
12
1996
A note on population growth in a crowded stochastic environment. Zbl 0837.92017
Benth, Fred Espen
1
1996
An explicit functional process solution to a stochastic partial differential equation with applications to nonlinear filtering. Zbl 0851.60061
Benth, Fred Espen
1
1994
Integrals in the Hida distribution space \(({\mathcal S})^*\). Zbl 0823.60035
Benth, Fred Espen
4
1993
all top 5

Cited by 747 Authors

49 Benth, Fred Espen
13 Øksendal, Bernt Karsten
12 Veraart, Almut E. D.
11 Barndorff-Nielsen, Ole Eiler
10 Di Nunno, Giulia
10 Khedher, Asma
8 Kallsen, Jan
7 Karlsen, Kenneth Hvistendahl
7 Meyer-Brandis, Thilo
7 Vanmaele, Michèle
6 Leach, Peter Gavin Lawrence
6 Proske, Frank Norbert
6 Šaltytė-Benth, Jūratė
6 Shehu, Yekini
5 Chong, Carsten
5 Jakobsen, Espen Robstad
5 Muhle-Karbe, Johannes
4 Bender, Christian
4 Heß, Markus
4 Ji, Un Cig
4 Kachanovsky, N. A.
4 Klüppelberg, Claudia
4 Krühner, Paul
4 Kufakunesu, Rodwell
4 Lanconelli, Alberto
4 Ngare, Philip
4 O’Hara, James Gabriel
4 Pakkanen, Mikko S.
4 Podolskij, Mark
4 Sauri, Orimar
4 Schmeck, Maren Diane
4 Sgarra, Carlo
4 Sophocleous, Christodoulos
4 Zhang, Shibin
3 Arai, Takuji
3 Azcue, Pablo
3 Baños, David R.
3 Barth, Andrea
3 Campi, Luciano
3 Cartea, Álvaro
3 Cui, Zhenyu
3 Daveloose, Catherine
3 De Angelis, Tiziano
3 Di Persio, Luca
3 Eyjolfsson, Heidar
3 Fasen, Vicky
3 Ghanem, Roger G.
3 Groth, Martin
3 Härdle, Wolfgang Karl
3 Hubalek, Friedrich
3 Janczura, Joanna
3 Leonenko, Nikolai N.
3 Lindberg, Carl
3 Lunde, Asger
3 Manouzi, Hassan
3 Muler, Nora E.
3 Nouy, Anthony
3 Rheinländer, Thorsten
3 Schmiegel, Jürgen
3 Sircar, Ronnie
3 Süss, André
3 Szozda, Benedykt
3 Taib, Che Mohd Imran Che
3 Theting, Thomas Gorm
3 Vargiolu, Tiziano
3 Weron, Rafał
3 Wong, Hoi Ying
3 Zhang, Tusheng S.
3 Zhu, Songping
2 Accardi, Luigi
2 Aïd, René
2 Albrecher, Hansjörg
2 Audouze, Christophe
2 Bai, Lihua
2 Basse-O’Connor, Andreas
2 Bennedsen, Mikkel
2 Bennett, Jonathan
2 Bian, Baojun
2 Biswas, Imran H.
2 Blake, David
2 Bo, Lijun
2 Brockwell, Peter J.
2 Cai, Gang
2 Çanakoğlu, Ethem
2 Carmona, René A.
2 Cherif, Sidi Mohamed Lalaoui Ben
2 Choulli, Tahir
2 Coulon, Michael
2 da Silva, José Luís
2 Dai, Wanyang
2 Darus, Mukminah
2 Deck, Thomas
2 Detering, Nils
2 Doostan, Alireza
2 Draouil, Olfa
2 Duedahl, Sindre
2 Dzupire, Nelson Christopher
2 Eddahbi, M’hamed
2 Erraoui, Mohamed
2 Féron, Olivier
...and 647 more Authors
all top 5

Cited in 146 Serials

26 Stochastic Processes and their Applications
25 International Journal of Theoretical and Applied Finance
20 Quantitative Finance
20 Stochastics
16 Applied Mathematical Finance
15 Stochastic Analysis and Applications
14 Mathematical Finance
13 The Annals of Applied Probability
12 Insurance Mathematics & Economics
12 Finance and Stochastics
11 Journal of Computational and Applied Mathematics
11 European Journal of Operational Research
10 Infinite Dimensional Analysis, Quantum Probability and Related Topics
8 Advances in Applied Probability
8 Mathematics and Financial Economics
7 Computer Methods in Applied Mechanics and Engineering
7 Mathematical Methods of Operations Research
6 Journal of Mathematical Analysis and Applications
6 Journal of Economic Dynamics & Control
6 Bernoulli
6 ASTIN Bulletin
6 SIAM Journal on Financial Mathematics
6 Carpathian Mathematical Publications
5 Annals of the Institute of Statistical Mathematics
5 Applied Mathematics and Computation
5 Statistics & Probability Letters
4 Scandinavian Journal of Statistics
4 Journal of Functional Analysis
4 Journal of Optimization Theory and Applications
4 Numerische Mathematik
4 International Journal of Computer Mathematics
4 Mathematical Problems in Engineering
4 Journal of Applied Statistics
4 Decisions in Economics and Finance
4 Asia-Pacific Financial Markets
4 AStA. Advances in Statistical Analysis
3 Computers & Mathematics with Applications
3 Journal of Computational Physics
3 Journal of Differential Equations
3 SIAM Journal on Control and Optimization
3 Journal of Theoretical Probability
3 Annals of Operations Research
3 Journal of Statistical Computation and Simulation
3 Monte Carlo Methods and Applications
3 Abstract and Applied Analysis
3 Scandinavian Actuarial Journal
3 North American Actuarial Journal
3 Journal of Probability and Statistics
3 Stochastic and Partial Differential Equations. Analysis and Computations
2 Lithuanian Mathematical Journal
2 Mathematical Methods in the Applied Sciences
2 Chaos, Solitons and Fractals
2 Theory of Probability and its Applications
2 Applied Mathematics and Optimization
2 Quarterly of Applied Mathematics
2 Operations Research Letters
2 Computers & Operations Research
2 Numerical Methods for Partial Differential Equations
2 Applied Mathematics Letters
2 Japan Journal of Industrial and Applied Mathematics
2 Communications in Statistics. Simulation and Computation
2 SIAM Journal on Scientific Computing
2 Random Operators and Stochastic Equations
2 Discrete and Continuous Dynamical Systems
2 Fractional Calculus & Applied Analysis
2 Communications in Nonlinear Science and Numerical Simulation
2 Stochastics and Dynamics
2 Journal of Applied Mathematics and Computing
2 Journal of Hyperbolic Differential Equations
2 Computational Management Science
2 Frontiers of Mathematics in China
2 Electronic Journal of Statistics
2 Mathematical Geosciences
2 International Journal of Stochastic Analysis
2 Annals of Finance
2 Communications in Mathematics and Statistics
2 Modern Stochastics. Theory and Applications
1 Archive for Rational Mechanics and Analysis
1 Communications in Mathematical Physics
1 Physica A
1 Reports on Mathematical Physics
1 Rocky Mountain Journal of Mathematics
1 The Annals of Probability
1 Automatica
1 Inventiones Mathematicae
1 Journal of Applied Probability
1 Journal of Econometrics
1 Journal of Mathematical Economics
1 Journal of Multivariate Analysis
1 Mathematics and Computers in Simulation
1 Mathematics of Operations Research
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Osaka Journal of Mathematics
1 Quaestiones Mathematicae
1 Acta Applicandae Mathematicae
1 Bulletin of the Iranian Mathematical Society
1 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
1 Applied Numerical Mathematics
1 Acta Mathematicae Applicatae Sinica. English Series
1 Probability Theory and Related Fields
...and 46 more Serials

Citations by Year

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