Edit Profile Benth, Fred Espen Compute Distance To: Compute Author ID: 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 all top 5 Co-Authors 14 single-authored 11 Karlsen, Kenneth Hvistendahl 10 Barndorff-Nielsen, Ole Eiler 10 Šaltytė-Benth, Jūratė 9 Reikvam, Kristin 8 Di Nunno, Giulia 7 Veraart, Almut E. D. 5 Khedher, Asma 5 Potthoff, Jürgen 4 Eyjolfsson, Heidar 4 Groth, Martin 4 Koekebakker, Steen 4 Krühner, Paul 4 Süss, André 3 Deck, Thomas 3 Gjerde, Jon 3 Øksendal, Bernt Karsten 2 Barth, Andrea 2 Blanco, Sara Ana Solanilla 2 Dahl, Lars O. 2 Jensen, Jens Ledet 2 Kiesel, Rüdiger 2 Kufakunesu, Rodwell 2 Løkka, Arne 2 Meyer-Brandis, Thilo 2 Ortiz-Latorre, Salvador 2 Proske, Frank Norbert 2 Schmeck, Maren Diane 2 Streit, Ludwig 2 Zhang, Tusheng S. 1 Abrahamsen, Petter 1 Andresen, Arne 1 Bauer, Daniel J. 1 Christensen, Troels Sønderby 1 Dahl, Geir 1 Detering, Nils 1 Ekeland, Lars 1 Felten, Björn 1 Frigessi, Arnoldo 1 Gjessing, Håkon K. 1 Hauge, Ragnar 1 Henriksen, Pål Nicolai 1 Jacka, Saul D. 1 Jalinskas, Paulius 1 Kallsen, Jan 1 Kettler, Paul C. 1 Kremer, Marcel 1 Lempa, Jukka 1 Lindstrøm, Tom L. 1 Mannino, Carlo 1 Ng, Siu-Ah 1 Nielsen, Bjørn Fredrik 1 Pedersen, Jan Bækgaard 1 Piccirilli, Marco 1 Pircalabu, Anca 1 Rohde, Victor Ulrich 1 Rüdiger, Barbara 1 Sgarra, Carlo 1 Simonsen, Iben Cathrine 1 Skare, Øivind 1 Sørensen, Torquil Macdonald 1 Szozda, Benedykt 1 Taib, Che Mohd Imran Che 1 Theting, Thomas Gorm 1 Timpel, Matthias 1 Ubœ, Jan 1 Våge, Gjermund 1 Vargiolu, Tiziano 1 Vos, Lena 1 Vos, Linda 1 Wallin, Olli 1 Zakamulin, Valeriy 1 Zdanowicz, Hanna all top 5 Serials 11 International Journal of Theoretical and Applied Finance 8 Applied Mathematical Finance 8 Stochastics 7 Finance and Stochastics 6 Stochastic Analysis and Applications 6 Stochastics and Stochastics Reports 4 Advances in Applied Probability 4 SIAM Journal on Financial Mathematics 3 Potential Analysis 3 Bernoulli 3 Mathematical Finance 2 Stochastic Processes and their Applications 2 Infinite Dimensional Analysis, Quantum Probability and Related Topics 2 Journal of Applied Statistics 2 Quantitative Finance 2 Advanced Series on Statistical Science & Applied Probability 2 Mathematics and Financial Economics 1 Journal of Mathematical Analysis and Applications 1 Letters in Mathematical Physics 1 Scandinavian Journal of Statistics 1 Applied Mathematics and Optimization 1 Journal of Functional Analysis 1 Journal of the London Mathematical Society. Second Series 1 Operations Research 1 Statistics & Probability Letters 1 Acta Applicandae Mathematicae 1 SIAM Journal on Scientific Computing 1 Studies in Nonlinear Dynamics and Econometrics 1 Interfaces and Free Boundaries 1 Mathematical Geology 1 IMA Journal of Management Mathematics 1 Journal of Forecasting 1 Abel Symposia 1 Communications on Stochastic Analysis 1 International Journal of Stochastic Analysis 1 Springer Proceedings in Mathematics & Statistics 1 Communications in Mathematics and Statistics 1 Probability Theory and Stochastic Modelling 1 Universitext all top 5 Fields 86 Probability theory and stochastic processes (60-XX) 76 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 15 Statistics (62-XX) 10 Numerical analysis (65-XX) 8 Systems theory; control (93-XX) 7 Partial differential equations (35-XX) 7 Functional analysis (46-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 5 Geophysics (86-XX) 4 General and overarching topics; collections (00-XX) 3 Quantum theory (81-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Integral equations (45-XX) 1 Mathematical logic and foundations (03-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Fluid mechanics (76-XX) 1 Optics, electromagnetic theory (78-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications 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 1143.91002Benth, Fred Espen; Šaltytė Benth, Jūratė; Koekebakker, Steen 62 2008 A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337Benth, 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 0978.91039Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 39 2001 Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes. Zbl 1337.60088Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 32 2013 The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481Benth, Fred Espen; Benth, Jūratė Šaltytė 27 2007 Explicit representation of the minimal variance portfolio in markets driven by Lévy processes. Zbl 1173.91377Benth, 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 0902.60048Benth, Fred Espen; Gjerde, Jon 26 1998 Stochastic modelling of temperature variations with a view towards weather derivatives. Zbl 1093.91021Benth, 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 1049.91060Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 23 2003 Ambit processes and stochastic partial differential equations. Zbl 1239.91188Barndorff-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 1312.60063Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 17 2015 Modelling electricity futures by ambit fields. Zbl 1304.91213Barndorff-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 1247.91178Benth, Fred Espen 17 2011 Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model. Zbl 1141.91015Benth, 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 1092.91020Benth, Fred Espen; Meyer-Brandis, Thilo 17 2005 The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309Benth, Fred Espen; Šaltytė-Benth, Jūratė 17 2004 Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 17 2002 Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution. Zbl 1049.91059Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 17 2001 A note on Merton’s portfolio selection problem for the Schwartz mean-reversion model. Zbl 1074.60068Benth, Fred Espen; Karlsen, Kenneth Hvistendahl 16 2005 Putting a price on temperature. Zbl 1164.62077Benth, Fred Espen; Benth, Jüratė Šaltytė; Koekebakker, Steen 15 2007 Modeling and pricing in financial markets for weather derivatives. Zbl 1303.91004Benth, Fred Espen; Benth, Jūratė Šaltytė 13 2012 A semilinear Black and Scholes partial differential equation for valuing American options. Zbl 1064.60080Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin 13 2003 On the martingale property for generalized stochastic processes. Zbl 0866.60039Benth, Fred E.; Potthoff, Jürgen 12 1996 The CARMA interest rate model. Zbl 1290.91170Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; Zakamulin, Valeriy 11 2014 Modeling the forward surface of mortality. Zbl 1255.91443Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger 11 2012 Anticipative calculus for Lévy processes and stochastic differential equations. Zbl 1052.60052Benth, Fred Espen; Løkka, Arne 11 2004 Robustness of option prices and their deltas in markets modelled by jump-diffusions. Zbl 1331.91172Benth, 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 1115.91025Benth, Fred Espen; Karlsen, Kenneth Hvistendahl 10 2005 A note on arbitrage-free pricing of forward contracts in energy markets. Zbl 1101.91323Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; Nielsen, Bjørn Fredrik 10 2003 On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. Zbl 1087.91020Benth, Fred Espen 10 2003 On stochastic integration for volatility modulated Lévy-driven Volterra processes. Zbl 1314.60106Barndorff-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 0926.60048Benth, Fred Espen; Gjerde, Jon 9 1998 On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis. Zbl 1291.60109Barndorff-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 1269.91083Benth, F. E.; Vos, L. 8 2013 A white noise approach to a class of non-linear stochastic heat equations. Zbl 0894.60039Benth, F. E.; Deck, T.; Potthoff, J. 8 1997 Approximating Lévy semistationary processes via Fourier methods in the context of power markets. Zbl 1329.60120Benth, Fred Espen; Eyjolfsson, Heidar; Veraart, Almut E. D. 7 2014 A connection between singular stochastic control and optimal stopping. Zbl 1056.93070Benth, Fred Espen; Reikvam, Kristin 7 2004 Donsker’s delta function and the covariance between generalized functionals. Zbl 1013.60050Benth, Fred Espen; Ng, Siu-Ah 7 2002 Hedging of spatial temperature risk with market-traded futures. Zbl 1213.91147Barth, Andrea; Benth, Fred Espen; Potthoff, Jürgen 6 2011 Some regularity results for the stochastic pressure equation of Wick-type. Zbl 1036.60055Benth, Fred Espen; Theting, Thomas Gorm 6 2002 The forward dynamics in energy markets – infinite-dimensional modelling and simulation. Zbl 1337.91086Barth, Andrea; Benth, Fred Espen 5 2014 Representation of infinite-dimensional forward price models in commodity markets. Zbl 1322.60100Benth, Fred Espen; Krühner, Paul 5 2014 A note on convergence of option prices and their Greeks for Lévy models. Zbl 1284.91539Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma 5 2013 The risk premium and the Esscher transform in power markets. Zbl 1250.62053Benth, Fred Espen; Sgarra, Carlo 5 2012 Weather derivatives and stochastic modelling of temperature. Zbl 1229.91298Benth, Fred Espen; Benth, Jūratė Šaltytė 5 2011 Derivatives pricing in energy markets: an infinite-dimensional approach. Zbl 1347.60082Benth, Fred Espen; Krühner, Paul 4 2015 A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence. Zbl 1068.35190Benth, F. E.; Karlsen, K. H.; Reikvam, K. 4 2004 Option theory with stochastic analysis. An introduction to mathematical finance. Zbl 1042.91034Benth, Fred Espen 4 2004 Kriging with inequality constraints. Zbl 1011.86007Abrahamsen, Petter; Benth, Fred Espen 4 2001 The Gross derivative and generalized random variables. Zbl 1043.60515Benth, Fred Espen 4 1999 Integrals in the Hida distribution space \(({\mathcal S})^*\). Zbl 0823.60035Benth, Fred Espen 4 1993 Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility. Zbl 1380.60010Benth, Fred Espen; Rüdiger, Barbara; Süss, Andre 3 2018 Stochastic dynamical modelling of spot freight rates. Zbl 1433.91198Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd Imran Che 3 2015 Pricing and hedging Asian-style options on energy. Zbl 1335.91076Benth, Fred Espen; Detering, Nils 3 2015 A pricing measure to explain the risk premium in power markets. Zbl 1308.91156Benth, Fred Espen; Ortiz-Latorre, Salvador 3 2014 Optimal portfolios in commodity futures markets. Zbl 1305.91213Benth, Fred Espen; Lempa, Jukka 3 2014 Stochastic modeling of power markets using stationary processes. Zbl 1281.91151Benth, Fred Espen; Eyjolfsson, Heidar 3 2013 Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets. Zbl 1269.91036Benth, F. E.; Vos, L. 3 2013 Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model. Zbl 1196.91055Benth, 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 1182.91194Benth, Fred Espen; Groth, Martin 3 2009 Analytical approximation for the price dynamics of spark spread options. Zbl 1260.91256Benth, Fred E.; Saltyte-Benth, Jurate 3 2006 A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives. Zbl 1138.91420Benth, Fred Espen; Groth, Martin; Kettler, Paul C. 3 2006 Fast evaluation of the Asian basket option by singular value decomposition. Zbl 1002.91027Dahl, Lars O.; Benth, Fred E. 3 2002 Laser cooling and stochastics. Zbl 1371.82072Barndorff-Nielsen, O. E.; Benth, F. E. 3 2001 A nonlinear parabolic equation with noise. Zbl 0960.60058Benth, Fred Espen; Gjessing, Håkon K. 3 2000 Explicit strong solutions of SPDE’s with applications to nonlinear filtering. Zbl 0905.60038Benth, F. E.; Deck, Th.; Potthoff, J.; Våge, G. 3 1998 Nonlinear evolution equations with gradient coupled noise. Zbl 0911.60051Benth, F. E.; Deck, Th.; Potthoff, J.; Streit, L. 3 1998 On the positivity of the stochastic heat equation. Zbl 0874.60058Benth, Fred Espen 3 1997 Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework. Zbl 1422.91736Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano 2 2019 Ambit stochastics. Zbl 06946620Barndorff-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 1367.91174Benth, Fred Espen 2 2016 Pricing of spread options on a bivariate jump market and stability to model risk. Zbl 1396.91717Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane 2 2015 Integrability of multivariate subordinated Lévy processes in Hilbert space. Zbl 1327.60103Benth, Fred Espen; Krühner, Paul 2 2015 Lévy process simulation by stochastic step functions. Zbl 1296.60124Sørensen, Torquil Macdonald; Benth, Fred Espen 2 2013 Lévy models robustness and sensitivity. Zbl 1256.60019Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma 2 2010 A note on portfolio management under non-Gaussian logreturns. Zbl 1152.91483Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 2 2001 A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures. Zbl 1418.91503Benth, Fred Espen; Pircalabu, Anca 1 2018 Pricing and hedging of energy spread options and volatility modulated Volterra processes. Zbl 1406.91434Benth, 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 1343.60091Benth, Fred Espen; Ortiz-Latorre, Salvador 1 2015 Modeling temperature for pricing weather derivatives. Zbl 1356.86015Benth, Fred Espen 1 2013 Stability of Merton’s portfolio optimization problem for Lévy models. Zbl 1284.93258Benth, Fred Espen; Schmeck, Maren Diane 1 2013 Stochastic volatility and dependency in energy markets: multi-factor modelling. Zbl 1315.91022Benth, Fred Espen 1 2013 Computing optimal recovery policies for financial markets. Zbl 1262.91144Benth, Fred E.; Dahl, Geir; Mannino, Carlo 1 2012 Pricing of basket options using univariate normal inverse Gaussian approximations. Zbl 1211.91252Benth, Fred Espen; Henriksen, Pål Nicolai 1 2011 Pricing of exotic energy derivatives based on arithmetic spot models. Zbl 1178.91190Benth, Fred Espen; Kufakunesu, Rodwell 1 2009 Utility indifference pricing of interest-rate guarantees. Zbl 1205.91077Benth, Fred Espen; Proske, Frank 1 2009 Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets. Zbl 1079.91527Benth, Fred E.; Dahl, Lars O.; Karlsen, Kenneth H. 1 2003 On weighted \(L^2(\Omega)\)-spaces, their duals and Itô integration. Zbl 0988.60054Benth, Fred Espen 1 2001 On the existence of optimal controls for a singular stochastic control problem in finance. Zbl 0987.91035Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin 1 2001 The Burgers equation with a non-Gaussian random force. Zbl 1126.35355Benth, Fred Espen; Streit, Ludwig 1 1998 A note on population growth in a crowded stochastic environment. Zbl 0837.92017Benth, Fred Espen 1 1996 An explicit functional process solution to a stochastic partial differential equation with applications to nonlinear filtering. Zbl 0851.60061Benth, Fred Espen 1 1994 Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework. Zbl 1422.91736Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano 2 2019 Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility. Zbl 1380.60010Benth, Fred Espen; Rüdiger, Barbara; Süss, Andre 3 2018 Ambit stochastics. Zbl 06946620Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 2 2018 A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures. Zbl 1418.91503Benth, Fred Espen; Pircalabu, Anca 1 2018 Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework. Zbl 1367.91174Benth, Fred Espen 2 2016 Pricing and hedging of energy spread options and volatility modulated Volterra processes. Zbl 1406.91434Benth, Fred Espen; Zdanowicz, Hanna 1 2016 Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency. Zbl 1312.60063Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 17 2015 Derivatives pricing in energy markets: an infinite-dimensional approach. Zbl 1347.60082Benth, Fred Espen; Krühner, Paul 4 2015 Stochastic dynamical modelling of spot freight rates. Zbl 1433.91198Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd Imran Che 3 2015 Pricing and hedging Asian-style options on energy. Zbl 1335.91076Benth, Fred Espen; Detering, Nils 3 2015 Pricing of spread options on a bivariate jump market and stability to model risk. Zbl 1396.91717Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane 2 2015 Integrability of multivariate subordinated Lévy processes in Hilbert space. Zbl 1327.60103Benth, 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 1343.60091Benth, Fred Espen; Ortiz-Latorre, Salvador 1 2015 Modelling electricity futures by ambit fields. Zbl 1304.91213Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut E. D. 17 2014 The CARMA interest rate model. Zbl 1290.91170Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; Zakamulin, Valeriy 11 2014 On stochastic integration for volatility modulated Lévy-driven Volterra processes. Zbl 1314.60106Barndorff-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 1291.60109Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt 8 2014 Approximating Lévy semistationary processes via Fourier methods in the context of power markets. Zbl 1329.60120Benth, Fred Espen; Eyjolfsson, Heidar; Veraart, Almut E. D. 7 2014 The forward dynamics in energy markets – infinite-dimensional modelling and simulation. Zbl 1337.91086Barth, Andrea; Benth, Fred Espen 5 2014 Representation of infinite-dimensional forward price models in commodity markets. Zbl 1322.60100Benth, Fred Espen; Krühner, Paul 5 2014 A pricing measure to explain the risk premium in power markets. Zbl 1308.91156Benth, Fred Espen; Ortiz-Latorre, Salvador 3 2014 Optimal portfolios in commodity futures markets. Zbl 1305.91213Benth, Fred Espen; Lempa, Jukka 3 2014 Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes. Zbl 1337.60088Barndorff-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 1269.91083Benth, F. E.; Vos, L. 8 2013 A note on convergence of option prices and their Greeks for Lévy models. Zbl 1284.91539Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma 5 2013 Stochastic modeling of power markets using stationary processes. Zbl 1281.91151Benth, Fred Espen; Eyjolfsson, Heidar 3 2013 Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets. Zbl 1269.91036Benth, F. E.; Vos, L. 3 2013 Lévy process simulation by stochastic step functions. Zbl 1296.60124Sørensen, Torquil Macdonald; Benth, Fred Espen 2 2013 Modeling temperature for pricing weather derivatives. Zbl 1356.86015Benth, Fred Espen 1 2013 Stability of Merton’s portfolio optimization problem for Lévy models. Zbl 1284.93258Benth, Fred Espen; Schmeck, Maren Diane 1 2013 Stochastic volatility and dependency in energy markets: multi-factor modelling. Zbl 1315.91022Benth, Fred Espen 1 2013 Modeling and pricing in financial markets for weather derivatives. Zbl 1303.91004Benth, Fred Espen; Benth, Jūratė Šaltytė 13 2012 Modeling the forward surface of mortality. Zbl 1255.91443Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger 11 2012 The risk premium and the Esscher transform in power markets. Zbl 1250.62053Benth, Fred Espen; Sgarra, Carlo 5 2012 Computing optimal recovery policies for financial markets. Zbl 1262.91144Benth, Fred E.; Dahl, Geir; Mannino, Carlo 1 2012 Ambit processes and stochastic partial differential equations. Zbl 1239.91188Barndorff-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 1247.91178Benth, Fred Espen 17 2011 Robustness of option prices and their deltas in markets modelled by jump-diffusions. Zbl 1331.91172Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma 10 2011 Hedging of spatial temperature risk with market-traded futures. Zbl 1213.91147Barth, Andrea; Benth, Fred Espen; Potthoff, Jürgen 6 2011 Weather derivatives and stochastic modelling of temperature. Zbl 1229.91298Benth, Fred Espen; Benth, Jūratė Šaltytė 5 2011 Pricing of basket options using univariate normal inverse Gaussian approximations. Zbl 1211.91252Benth, Fred Espen; Henriksen, Pål Nicolai 1 2011 Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model. Zbl 1196.91055Benth, Fred Espen; Groth, Martin; Wallin, Olli 3 2010 Lévy models robustness and sensitivity. Zbl 1256.60019Benth, 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 1182.91194Benth, Fred Espen; Groth, Martin 3 2009 Pricing of exotic energy derivatives based on arithmetic spot models. Zbl 1178.91190Benth, Fred Espen; Kufakunesu, Rodwell 1 2009 Utility indifference pricing of interest-rate guarantees. Zbl 1205.91077Benth, Fred Espen; Proske, Frank 1 2009 Stochastic modeling of electricity and related markets. Zbl 1143.91002Benth, Fred Espen; Šaltytė Benth, Jūratė; Koekebakker, Steen 62 2008 A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo 45 2007 The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481Benth, Fred Espen; Benth, Jūratė Šaltytė 27 2007 Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model. Zbl 1141.91015Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell 17 2007 Putting a price on temperature. Zbl 1164.62077Benth, Fred Espen; Benth, Jüratė Šaltytė; Koekebakker, Steen 15 2007 Analytical approximation for the price dynamics of spark spread options. Zbl 1260.91256Benth, Fred E.; Saltyte-Benth, Jurate 3 2006 A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives. Zbl 1138.91420Benth, Fred Espen; Groth, Martin; Kettler, Paul C. 3 2006 Stochastic modelling of temperature variations with a view towards weather derivatives. Zbl 1093.91021Benth, Fred Espen; Šaltytė-Benth, Jūratė 24 2005 The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps. Zbl 1092.91020Benth, Fred Espen; Meyer-Brandis, Thilo 17 2005 A note on Merton’s portfolio selection problem for the Schwartz mean-reversion model. Zbl 1074.60068Benth, Fred Espen; Karlsen, Kenneth Hvistendahl 16 2005 A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets. Zbl 1115.91025Benth, Fred Espen; Karlsen, Kenneth Hvistendahl 10 2005 The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309Benth, Fred Espen; Šaltytė-Benth, Jūratė 17 2004 Anticipative calculus for Lévy processes and stochastic differential equations. Zbl 1052.60052Benth, Fred Espen; Løkka, Arne 11 2004 A connection between singular stochastic control and optimal stopping. Zbl 1056.93070Benth, Fred Espen; Reikvam, Kristin 7 2004 A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence. Zbl 1068.35190Benth, F. E.; Karlsen, K. H.; Reikvam, K. 4 2004 Option theory with stochastic analysis. An introduction to mathematical finance. Zbl 1042.91034Benth, Fred Espen 4 2004 Explicit representation of the minimal variance portfolio in markets driven by Lévy processes. Zbl 1173.91377Benth, 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 1049.91060Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 23 2003 A semilinear Black and Scholes partial differential equation for valuing American options. Zbl 1064.60080Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin 13 2003 A note on arbitrage-free pricing of forward contracts in energy markets. Zbl 1101.91323Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; Nielsen, Bjørn Fredrik 10 2003 On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. Zbl 1087.91020Benth, Fred Espen 10 2003 Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets. Zbl 1079.91527Benth, Fred E.; Dahl, Lars O.; Karlsen, Kenneth H. 1 2003 Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs. Zbl 1035.91027Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 17 2002 Donsker’s delta function and the covariance between generalized functionals. Zbl 1013.60050Benth, Fred Espen; Ng, Siu-Ah 7 2002 Some regularity results for the stochastic pressure equation of Wick-type. Zbl 1036.60055Benth, Fred Espen; Theting, Thomas Gorm 6 2002 Fast evaluation of the Asian basket option by singular value decomposition. Zbl 1002.91027Dahl, 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 0978.91039Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 39 2001 Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution. Zbl 1049.91059Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 17 2001 Kriging with inequality constraints. Zbl 1011.86007Abrahamsen, Petter; Benth, Fred Espen 4 2001 Laser cooling and stochastics. Zbl 1371.82072Barndorff-Nielsen, O. E.; Benth, F. E. 3 2001 A note on portfolio management under non-Gaussian logreturns. Zbl 1152.91483Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 2 2001 On weighted \(L^2(\Omega)\)-spaces, their duals and Itô integration. Zbl 0988.60054Benth, Fred Espen 1 2001 On the existence of optimal controls for a singular stochastic control problem in finance. Zbl 0987.91035Benth, Fred E.; Karlsen, Kenneth H.; Reikvam, Kristin 1 2001 A nonlinear parabolic equation with noise. Zbl 0960.60058Benth, Fred Espen; Gjessing, Håkon K. 3 2000 The Gross derivative and generalized random variables. Zbl 1043.60515Benth, Fred Espen 4 1999 Convergence rates for finite element approximations of stochastic partial differential equations. Zbl 0902.60048Benth, Fred Espen; Gjerde, Jon 26 1998 A remark on the equivalence between Poisson and Gaussian stochastic partial differential equations. Zbl 0926.60048Benth, Fred Espen; Gjerde, Jon 9 1998 Explicit strong solutions of SPDE’s with applications to nonlinear filtering. Zbl 0905.60038Benth, F. E.; Deck, Th.; Potthoff, J.; Våge, G. 3 1998 Nonlinear evolution equations with gradient coupled noise. Zbl 0911.60051Benth, F. E.; Deck, Th.; Potthoff, J.; Streit, L. 3 1998 The Burgers equation with a non-Gaussian random force. Zbl 1126.35355Benth, Fred Espen; Streit, Ludwig 1 1998 A white noise approach to a class of non-linear stochastic heat equations. Zbl 0894.60039Benth, F. E.; Deck, T.; Potthoff, J. 8 1997 On the positivity of the stochastic heat equation. Zbl 0874.60058Benth, Fred Espen 3 1997 On the martingale property for generalized stochastic processes. Zbl 0866.60039Benth, Fred E.; Potthoff, Jürgen 12 1996 A note on population growth in a crowded stochastic environment. Zbl 0837.92017Benth, Fred Espen 1 1996 An explicit functional process solution to a stochastic partial differential equation with applications to nonlinear filtering. Zbl 0851.60061Benth, Fred Espen 1 1994 Integrals in the Hida distribution space \(({\mathcal S})^*\). Zbl 0823.60035Benth, Fred Espen 4 1993 all cited Publications top 5 cited Publications 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 all top 5 Cited in 31 Fields 331 Probability theory and stochastic processes (60-XX) 301 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 86 Statistics (62-XX) 69 Numerical analysis (65-XX) 58 Systems theory; control (93-XX) 51 Partial differential equations (35-XX) 47 Calculus of variations and optimal control; optimization (49-XX) 19 Operations research, mathematical programming (90-XX) 18 Functional analysis (46-XX) 14 Operator theory (47-XX) 14 Geophysics (86-XX) 7 Integral equations (45-XX) 5 Quantum theory (81-XX) 3 Real functions (26-XX) 3 Ordinary differential equations (34-XX) 3 Mechanics of deformable solids (74-XX) 2 General and overarching topics; collections (00-XX) 2 Mechanics of particles and systems (70-XX) 2 Fluid mechanics (76-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Nonassociative rings and algebras (17-XX) 1 Topological groups, Lie groups (22-XX) 1 Measure and integration (28-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Computer science (68-XX) 1 Optics, electromagnetic theory (78-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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