Fred Espen Benth
Professor
Institutt for datavitenskap og analyse
Professor
Institutt for datavitenskap og analyse
Greevenbroek, Koen van; Grochowicz, Aleksander, Zeyringer, Marianne & Benth, Fred Espen (2025)
Nature Sustainability, Doi: https://doi.org/10.1038/s41893-025-01556-2 - Fulltekst i vitenarkiv
Thetransitiontonet-zeroemissionsinEuropeisdeterminedbyapatchworkofcountry-levelandEUwide policy, creating coordination challenges in an interconnected system. We use an optimisation model to mapoutnear-optimal energy system designs for 2050, focussing on the planning flexibility of individual regions while maintaining overall system robustness against different weather years, cost assumptions, and land use limitations. Our results reveal extensive flexibility at a regional level, where only few technologies (solar around the Adriatic and wind on the British Isles and in Germany) cannot be substituted. National policymakers can influence renewable energy export and hydrogen strategies significantly, provided they coordinate this with the remaining European system. However, stronger commitment to solar in Southern Europe and Germany unlocks more design options for Europe overall. These results on regional trade-offs facilitate more meaningful policy discussions which are crucial in the transition to a sustainable energy system.
Greevenbroek, Koen van; Grochowicz, Aleksander, Zeyringer, Marianne & Benth, Fred Espen (2025)
Nature Sustainability, Doi: https://doi.org/10.1038/s41893-025-01556-2 - Fulltekst i vitenarkiv
Thetransitiontonet-zeroemissionsinEuropeisdeterminedbyapatchworkofcountry-levelandEUwide policy, creating coordination challenges in an interconnected system. We use an optimisation model to mapoutnear-optimal energy system designs for 2050, focussing on the planning flexibility of individual regions while maintaining overall system robustness against different weather years, cost assumptions, and land use limitations. Our results reveal extensive flexibility at a regional level, where only few technologies (solar around the Adriatic and wind on the British Isles and in Germany) cannot be substituted. National policymakers can influence renewable energy export and hydrogen strategies significantly, provided they coordinate this with the remaining European system. However, stronger commitment to solar in Southern Europe and Germany unlocks more design options for Europe overall. These results on regional trade-offs facilitate more meaningful policy discussions which are crucial in the transition to a sustainable energy system.
Greevenbroek, Koen van; Grochowicz, Aleksander, Zeyringer, Marianne & Benth, Fred Espen (2025)
Nature Sustainability, Doi: https://doi.org/10.1038/s41893-025-01556-2 - Fulltekst i vitenarkiv
Thetransitiontonet-zeroemissionsinEuropeisdeterminedbyapatchworkofcountry-levelandEUwide policy, creating coordination challenges in an interconnected system. We use an optimisation model to mapoutnear-optimal energy system designs for 2050, focussing on the planning flexibility of individual regions while maintaining overall system robustness against different weather years, cost assumptions, and land use limitations. Our results reveal extensive flexibility at a regional level, where only few technologies (solar around the Adriatic and wind on the British Isles and in Germany) cannot be substituted. National policymakers can influence renewable energy export and hydrogen strategies significantly, provided they coordinate this with the remaining European system. However, stronger commitment to solar in Southern Europe and Germany unlocks more design options for Europe overall. These results on regional trade-offs facilitate more meaningful policy discussions which are crucial in the transition to a sustainable energy system.
Greevenbroek, Koen van; Grochowicz, Aleksander, Zeyringer, Marianne & Benth, Fred Espen (2025)
Nature Sustainability, Doi: https://doi.org/10.1038/s41893-025-01556-2 - Fulltekst i vitenarkiv
Thetransitiontonet-zeroemissionsinEuropeisdeterminedbyapatchworkofcountry-levelandEUwide policy, creating coordination challenges in an interconnected system. We use an optimisation model to mapoutnear-optimal energy system designs for 2050, focussing on the planning flexibility of individual regions while maintaining overall system robustness against different weather years, cost assumptions, and land use limitations. Our results reveal extensive flexibility at a regional level, where only few technologies (solar around the Adriatic and wind on the British Isles and in Germany) cannot be substituted. National policymakers can influence renewable energy export and hydrogen strategies significantly, provided they coordinate this with the remaining European system. However, stronger commitment to solar in Southern Europe and Germany unlocks more design options for Europe overall. These results on regional trade-offs facilitate more meaningful policy discussions which are crucial in the transition to a sustainable energy system.
Greevenbroek, Koen van; Grochowicz, Aleksander, Zeyringer, Marianne & Benth, Fred Espen (2025)
Nature Sustainability, Doi: https://doi.org/10.1038/s41893-025-01556-2 - Fulltekst i vitenarkiv
Thetransitiontonet-zeroemissionsinEuropeisdeterminedbyapatchworkofcountry-levelandEUwide policy, creating coordination challenges in an interconnected system. We use an optimisation model to mapoutnear-optimal energy system designs for 2050, focussing on the planning flexibility of individual regions while maintaining overall system robustness against different weather years, cost assumptions, and land use limitations. Our results reveal extensive flexibility at a regional level, where only few technologies (solar around the Adriatic and wind on the British Isles and in Germany) cannot be substituted. National policymakers can influence renewable energy export and hydrogen strategies significantly, provided they coordinate this with the remaining European system. However, stronger commitment to solar in Southern Europe and Germany unlocks more design options for Europe overall. These results on regional trade-offs facilitate more meaningful policy discussions which are crucial in the transition to a sustainable energy system.
Vorobeva, Ekaterina; Eggen, Mari Dahl, Midtfjord, Alise Danielle, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan Joseph Georges Emile G. & Näsholm, Sven Peter (2024)
Quarterly Journal of the Royal Meteorological Society, 150, s. 2712-2726. Doi: https://doi.org/10.1002/qj.4731 - Fulltekst i vitenarkiv
There are sparse opportunities for direct measurement of upper stratospheric winds, yet improving their representation in subseasonal-to-seasonal prediction models can have significant benefits. There is solid evidence from previous research that global atmospheric infrasound waves are sensitive to stratospheric dynamics. However, there is a lack of results providing a direct mapping between infrasound recordings and polar-cap upper stratospheric winds. The global International Monitoring System (IMS), which monitors compliance with the Comprehensive Nuclear-Test-Ban Treaty, includes ground-based stations that can be used to characterize the infrasound soundscape continuously. In this study, multi-station IMS infrasound data were utilized along with a machine-learning supported stochastic model, Delay-SDE-net, to demonstrate how a near-real-time estimate of the polar-cap averaged zonal wind at 1-hPa pressure level can be found from infrasound data. The infrasound was filtered to a temporal low-frequency regime dominated by microbaroms, which are ambient-noise infrasonic waves continuously radiated into the atmosphere from nonlinear interaction between counter-propagating ocean surface waves. Delay-SDE-net was trained on 5 years (2014–2018) of infrasound data from three stations and the ERA5 reanalysis 1-hPa polar-cap averaged zonal wind. Using infrasound in 2019–2020 for validation, we demonstrate a prediction of the polar-cap averaged zonal wind, with an error standard deviation of around 12 m·s compared with ERA5. These findings highlight the potential of using infrasound data for near-real-time measurements of upper stratospheric dynamics. A long-term goal is to improve high-top atmospheric model accuracy, which can have significant implications for weather and climate prediction.
Benth, Jurate Saltyte; Benth, Fred Espen & Nakstad, Espen Rostrup (2024)
Journal of Computational Biology, 31(8) , s. 727-741. Doi: https://doi.org/10.1089/cmb.2023.0414
Benth, Fred Espen; Eggen, Mari Dahl & Eisenberg, Paul (2024)
Stochastics: An International Journal of Probability and Stochastic Processes, 97(1) , s. 55-80. Doi: https://doi.org/10.1080/17442508.2024.2422122 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2024)
Electronic Journal of Probability (EJP), 29, s. 1-41. Doi: https://doi.org/10.1214/24-EJP1182 - Fulltekst i vitenarkiv
Benth, Fred Espen & Eyjolfsson, Heidar (2024)
Finance and Stochastics, 28, s. 1117-1146. Doi: https://doi.org/10.1007/s00780-024-00542-4 - Fulltekst i vitenarkiv
Benth, Fred Espen & Sgarra, Carlo (2024)
Finance and Stochastics, 28(4) , s. 1035-1076. Doi: https://doi.org/10.1007/s00780-024-00546-0 - Fulltekst i vitenarkiv
Grochowicz, Aleksander; Benth, Fred Espen & Zeyringer, Marianne (2024)
Applied Energy, 356 Doi: https://doi.org/10.1016/j.apenergy.2023.122338 - Fulltekst i vitenarkiv
In this article, we investigate the mismatch of renewable electricity production to demand and how flexibility options enabling spatial and temporal smoothing can reduce risks of variability. As a case study we pick a simplified (partial) 2-region representation of the Norwegian electricity system and focus on wind power. We represent regional electricity production and demand through two stochastic processes: the wind capacity factors are modelled as a two-dimensional Ornstein–Uhlenbeck process and electricity demand consists of realistic base load and temperature-induced load coming from a deseasonalised autoregressive process. We validate these processes, that we have trained on historical data, through Monte Carlo simulations allowing us to generate many statistically representative weather years. For the investigated realisations (weather years) we study deviations of production from demand under different wind capacities, and introduce different scenarios where flexibility options like storage and transmission are available. Our analysis shows that simulated loss values are reduced significantly by cooperation between regions and either mode of flexibility. Combining storage and transmission leads to even more synergies and helps to stabilise production levels and thus reduces likelihoods of inadequacy of renewable power systems.
Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E.D. (2024)
The Annals of Applied Probability, 34(2) , s. 2208-2242. Doi: https://doi.org/10.1214/23-AAP2019
Benth, Fred Espen; Lord, Gabriel J., Nunno, Giulia Di & Petersson, Andreas Erik (2024)
Stochastics: An International Journal of Probability and Stochastic Processes, Doi: https://doi.org/10.1080/17442508.2024.2424867 - Fulltekst i vitenarkiv
Vorobeva, Ekaterina; Eggen, Mari Dahl, Midtfjord, Alise Danielle, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan Joseph Georges Emile G. & Näsholm, Sven Peter (2024)
Quarterly Journal of the Royal Meteorological Society, 150, s. 2712-2726. Doi: https://doi.org/10.1002/qj.4731 - Fulltekst i vitenarkiv
There are sparse opportunities for direct measurement of upper stratospheric winds, yet improving their representation in subseasonal-to-seasonal prediction models can have significant benefits. There is solid evidence from previous research that global atmospheric infrasound waves are sensitive to stratospheric dynamics. However, there is a lack of results providing a direct mapping between infrasound recordings and polar-cap upper stratospheric winds. The global International Monitoring System (IMS), which monitors compliance with the Comprehensive Nuclear-Test-Ban Treaty, includes ground-based stations that can be used to characterize the infrasound soundscape continuously. In this study, multi-station IMS infrasound data were utilized along with a machine-learning supported stochastic model, Delay-SDE-net, to demonstrate how a near-real-time estimate of the polar-cap averaged zonal wind at 1-hPa pressure level can be found from infrasound data. The infrasound was filtered to a temporal low-frequency regime dominated by microbaroms, which are ambient-noise infrasonic waves continuously radiated into the atmosphere from nonlinear interaction between counter-propagating ocean surface waves. Delay-SDE-net was trained on 5 years (2014–2018) of infrasound data from three stations and the ERA5 reanalysis 1-hPa polar-cap averaged zonal wind. Using infrasound in 2019–2020 for validation, we demonstrate a prediction of the polar-cap averaged zonal wind, with an error standard deviation of around 12 m·s compared with ERA5. These findings highlight the potential of using infrasound data for near-real-time measurements of upper stratospheric dynamics. A long-term goal is to improve high-top atmospheric model accuracy, which can have significant implications for weather and climate prediction.
Benth, Jurate Saltyte; Benth, Fred Espen & Nakstad, Espen Rostrup (2024)
Journal of Computational Biology, 31(8) , s. 727-741. Doi: https://doi.org/10.1089/cmb.2023.0414
Benth, Fred Espen; Eggen, Mari Dahl & Eisenberg, Paul (2024)
Stochastics: An International Journal of Probability and Stochastic Processes, 97(1) , s. 55-80. Doi: https://doi.org/10.1080/17442508.2024.2422122 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2024)
Electronic Journal of Probability (EJP), 29, s. 1-41. Doi: https://doi.org/10.1214/24-EJP1182 - Fulltekst i vitenarkiv
Benth, Fred Espen & Eyjolfsson, Heidar (2024)
Finance and Stochastics, 28, s. 1117-1146. Doi: https://doi.org/10.1007/s00780-024-00542-4 - Fulltekst i vitenarkiv
Benth, Fred Espen & Sgarra, Carlo (2024)
Finance and Stochastics, 28(4) , s. 1035-1076. Doi: https://doi.org/10.1007/s00780-024-00546-0 - Fulltekst i vitenarkiv
Grochowicz, Aleksander; Benth, Fred Espen & Zeyringer, Marianne (2024)
Applied Energy, 356 Doi: https://doi.org/10.1016/j.apenergy.2023.122338 - Fulltekst i vitenarkiv
In this article, we investigate the mismatch of renewable electricity production to demand and how flexibility options enabling spatial and temporal smoothing can reduce risks of variability. As a case study we pick a simplified (partial) 2-region representation of the Norwegian electricity system and focus on wind power. We represent regional electricity production and demand through two stochastic processes: the wind capacity factors are modelled as a two-dimensional Ornstein–Uhlenbeck process and electricity demand consists of realistic base load and temperature-induced load coming from a deseasonalised autoregressive process. We validate these processes, that we have trained on historical data, through Monte Carlo simulations allowing us to generate many statistically representative weather years. For the investigated realisations (weather years) we study deviations of production from demand under different wind capacities, and introduce different scenarios where flexibility options like storage and transmission are available. Our analysis shows that simulated loss values are reduced significantly by cooperation between regions and either mode of flexibility. Combining storage and transmission leads to even more synergies and helps to stabilise production levels and thus reduces likelihoods of inadequacy of renewable power systems.
Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E.D. (2024)
The Annals of Applied Probability, 34(2) , s. 2208-2242. Doi: https://doi.org/10.1214/23-AAP2019
Benth, Fred Espen; Lord, Gabriel J., Nunno, Giulia Di & Petersson, Andreas Erik (2024)
Stochastics: An International Journal of Probability and Stochastic Processes, Doi: https://doi.org/10.1080/17442508.2024.2424867 - Fulltekst i vitenarkiv
Vorobeva, Ekaterina; Eggen, Mari Dahl, Midtfjord, Alise Danielle, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan Joseph Georges Emile G. & Näsholm, Sven Peter (2024)
Quarterly Journal of the Royal Meteorological Society, 150, s. 2712-2726. Doi: https://doi.org/10.1002/qj.4731 - Fulltekst i vitenarkiv
There are sparse opportunities for direct measurement of upper stratospheric winds, yet improving their representation in subseasonal-to-seasonal prediction models can have significant benefits. There is solid evidence from previous research that global atmospheric infrasound waves are sensitive to stratospheric dynamics. However, there is a lack of results providing a direct mapping between infrasound recordings and polar-cap upper stratospheric winds. The global International Monitoring System (IMS), which monitors compliance with the Comprehensive Nuclear-Test-Ban Treaty, includes ground-based stations that can be used to characterize the infrasound soundscape continuously. In this study, multi-station IMS infrasound data were utilized along with a machine-learning supported stochastic model, Delay-SDE-net, to demonstrate how a near-real-time estimate of the polar-cap averaged zonal wind at 1-hPa pressure level can be found from infrasound data. The infrasound was filtered to a temporal low-frequency regime dominated by microbaroms, which are ambient-noise infrasonic waves continuously radiated into the atmosphere from nonlinear interaction between counter-propagating ocean surface waves. Delay-SDE-net was trained on 5 years (2014–2018) of infrasound data from three stations and the ERA5 reanalysis 1-hPa polar-cap averaged zonal wind. Using infrasound in 2019–2020 for validation, we demonstrate a prediction of the polar-cap averaged zonal wind, with an error standard deviation of around 12 m·s compared with ERA5. These findings highlight the potential of using infrasound data for near-real-time measurements of upper stratospheric dynamics. A long-term goal is to improve high-top atmospheric model accuracy, which can have significant implications for weather and climate prediction.
Benth, Jurate Saltyte; Benth, Fred Espen & Nakstad, Espen Rostrup (2024)
Journal of Computational Biology, 31(8) , s. 727-741. Doi: https://doi.org/10.1089/cmb.2023.0414
Benth, Fred Espen; Eggen, Mari Dahl & Eisenberg, Paul (2024)
Stochastics: An International Journal of Probability and Stochastic Processes, 97(1) , s. 55-80. Doi: https://doi.org/10.1080/17442508.2024.2422122 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2024)
Electronic Journal of Probability (EJP), 29, s. 1-41. Doi: https://doi.org/10.1214/24-EJP1182 - Fulltekst i vitenarkiv
Benth, Fred Espen & Eyjolfsson, Heidar (2024)
Finance and Stochastics, 28, s. 1117-1146. Doi: https://doi.org/10.1007/s00780-024-00542-4 - Fulltekst i vitenarkiv
Benth, Fred Espen & Sgarra, Carlo (2024)
Finance and Stochastics, 28(4) , s. 1035-1076. Doi: https://doi.org/10.1007/s00780-024-00546-0 - Fulltekst i vitenarkiv
Grochowicz, Aleksander; Benth, Fred Espen & Zeyringer, Marianne (2024)
Applied Energy, 356 Doi: https://doi.org/10.1016/j.apenergy.2023.122338 - Fulltekst i vitenarkiv
In this article, we investigate the mismatch of renewable electricity production to demand and how flexibility options enabling spatial and temporal smoothing can reduce risks of variability. As a case study we pick a simplified (partial) 2-region representation of the Norwegian electricity system and focus on wind power. We represent regional electricity production and demand through two stochastic processes: the wind capacity factors are modelled as a two-dimensional Ornstein–Uhlenbeck process and electricity demand consists of realistic base load and temperature-induced load coming from a deseasonalised autoregressive process. We validate these processes, that we have trained on historical data, through Monte Carlo simulations allowing us to generate many statistically representative weather years. For the investigated realisations (weather years) we study deviations of production from demand under different wind capacities, and introduce different scenarios where flexibility options like storage and transmission are available. Our analysis shows that simulated loss values are reduced significantly by cooperation between regions and either mode of flexibility. Combining storage and transmission leads to even more synergies and helps to stabilise production levels and thus reduces likelihoods of inadequacy of renewable power systems.
Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E.D. (2024)
The Annals of Applied Probability, 34(2) , s. 2208-2242. Doi: https://doi.org/10.1214/23-AAP2019
Benth, Fred Espen; Lord, Gabriel J., Nunno, Giulia Di & Petersson, Andreas Erik (2024)
Stochastics: An International Journal of Probability and Stochastic Processes, Doi: https://doi.org/10.1080/17442508.2024.2424867 - Fulltekst i vitenarkiv
Vorobeva, Ekaterina; Eggen, Mari Dahl, Midtfjord, Alise Danielle, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan Joseph Georges Emile G. & Näsholm, Sven Peter (2024)
Quarterly Journal of the Royal Meteorological Society, 150, s. 2712-2726. Doi: https://doi.org/10.1002/qj.4731 - Fulltekst i vitenarkiv
There are sparse opportunities for direct measurement of upper stratospheric winds, yet improving their representation in subseasonal-to-seasonal prediction models can have significant benefits. There is solid evidence from previous research that global atmospheric infrasound waves are sensitive to stratospheric dynamics. However, there is a lack of results providing a direct mapping between infrasound recordings and polar-cap upper stratospheric winds. The global International Monitoring System (IMS), which monitors compliance with the Comprehensive Nuclear-Test-Ban Treaty, includes ground-based stations that can be used to characterize the infrasound soundscape continuously. In this study, multi-station IMS infrasound data were utilized along with a machine-learning supported stochastic model, Delay-SDE-net, to demonstrate how a near-real-time estimate of the polar-cap averaged zonal wind at 1-hPa pressure level can be found from infrasound data. The infrasound was filtered to a temporal low-frequency regime dominated by microbaroms, which are ambient-noise infrasonic waves continuously radiated into the atmosphere from nonlinear interaction between counter-propagating ocean surface waves. Delay-SDE-net was trained on 5 years (2014–2018) of infrasound data from three stations and the ERA5 reanalysis 1-hPa polar-cap averaged zonal wind. Using infrasound in 2019–2020 for validation, we demonstrate a prediction of the polar-cap averaged zonal wind, with an error standard deviation of around 12 m·s compared with ERA5. These findings highlight the potential of using infrasound data for near-real-time measurements of upper stratospheric dynamics. A long-term goal is to improve high-top atmospheric model accuracy, which can have significant implications for weather and climate prediction.
Benth, Jurate Saltyte; Benth, Fred Espen & Nakstad, Espen Rostrup (2024)
Journal of Computational Biology, 31(8) , s. 727-741. Doi: https://doi.org/10.1089/cmb.2023.0414
Benth, Fred Espen; Eggen, Mari Dahl & Eisenberg, Paul (2024)
Stochastics: An International Journal of Probability and Stochastic Processes, 97(1) , s. 55-80. Doi: https://doi.org/10.1080/17442508.2024.2422122 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2024)
Electronic Journal of Probability (EJP), 29, s. 1-41. Doi: https://doi.org/10.1214/24-EJP1182 - Fulltekst i vitenarkiv
Grochowicz, Aleksander; Benth, Fred Espen & Zeyringer, Marianne (2024)
Applied Energy, 356 Doi: https://doi.org/10.1016/j.apenergy.2023.122338 - Fulltekst i vitenarkiv
In this article, we investigate the mismatch of renewable electricity production to demand and how flexibility options enabling spatial and temporal smoothing can reduce risks of variability. As a case study we pick a simplified (partial) 2-region representation of the Norwegian electricity system and focus on wind power. We represent regional electricity production and demand through two stochastic processes: the wind capacity factors are modelled as a two-dimensional Ornstein–Uhlenbeck process and electricity demand consists of realistic base load and temperature-induced load coming from a deseasonalised autoregressive process. We validate these processes, that we have trained on historical data, through Monte Carlo simulations allowing us to generate many statistically representative weather years. For the investigated realisations (weather years) we study deviations of production from demand under different wind capacities, and introduce different scenarios where flexibility options like storage and transmission are available. Our analysis shows that simulated loss values are reduced significantly by cooperation between regions and either mode of flexibility. Combining storage and transmission leads to even more synergies and helps to stabilise production levels and thus reduces likelihoods of inadequacy of renewable power systems.
Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E.D. (2024)
The Annals of Applied Probability, 34(2) , s. 2208-2242. Doi: https://doi.org/10.1214/23-AAP2019
Benth, Fred Espen; Lord, Gabriel J., Nunno, Giulia Di & Petersson, Andreas Erik (2024)
Stochastics: An International Journal of Probability and Stochastic Processes, Doi: https://doi.org/10.1080/17442508.2024.2424867 - Fulltekst i vitenarkiv
Benth, Fred Espen & Eyjolfsson, Heidar (2024)
Finance and Stochastics, 28, s. 1117-1146. Doi: https://doi.org/10.1007/s00780-024-00542-4 - Fulltekst i vitenarkiv
Benth, Fred Espen & Sgarra, Carlo (2024)
Finance and Stochastics, 28(4) , s. 1035-1076. Doi: https://doi.org/10.1007/s00780-024-00546-0 - Fulltekst i vitenarkiv
Vorobeva, Ekaterina; Eggen, Mari Dahl, Midtfjord, Alise Danielle, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan Joseph Georges Emile G. & Näsholm, Sven Peter (2024)
Quarterly Journal of the Royal Meteorological Society, 150, s. 2712-2726. Doi: https://doi.org/10.1002/qj.4731 - Fulltekst i vitenarkiv
There are sparse opportunities for direct measurement of upper stratospheric winds, yet improving their representation in subseasonal-to-seasonal prediction models can have significant benefits. There is solid evidence from previous research that global atmospheric infrasound waves are sensitive to stratospheric dynamics. However, there is a lack of results providing a direct mapping between infrasound recordings and polar-cap upper stratospheric winds. The global International Monitoring System (IMS), which monitors compliance with the Comprehensive Nuclear-Test-Ban Treaty, includes ground-based stations that can be used to characterize the infrasound soundscape continuously. In this study, multi-station IMS infrasound data were utilized along with a machine-learning supported stochastic model, Delay-SDE-net, to demonstrate how a near-real-time estimate of the polar-cap averaged zonal wind at 1-hPa pressure level can be found from infrasound data. The infrasound was filtered to a temporal low-frequency regime dominated by microbaroms, which are ambient-noise infrasonic waves continuously radiated into the atmosphere from nonlinear interaction between counter-propagating ocean surface waves. Delay-SDE-net was trained on 5 years (2014–2018) of infrasound data from three stations and the ERA5 reanalysis 1-hPa polar-cap averaged zonal wind. Using infrasound in 2019–2020 for validation, we demonstrate a prediction of the polar-cap averaged zonal wind, with an error standard deviation of around 12 m·s compared with ERA5. These findings highlight the potential of using infrasound data for near-real-time measurements of upper stratospheric dynamics. A long-term goal is to improve high-top atmospheric model accuracy, which can have significant implications for weather and climate prediction.
Benth, Jurate Saltyte; Benth, Fred Espen & Nakstad, Espen Rostrup (2024)
Journal of Computational Biology, 31(8) , s. 727-741. Doi: https://doi.org/10.1089/cmb.2023.0414
Benth, Fred Espen; Eggen, Mari Dahl & Eisenberg, Paul (2024)
Stochastics: An International Journal of Probability and Stochastic Processes, 97(1) , s. 55-80. Doi: https://doi.org/10.1080/17442508.2024.2422122 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2024)
Electronic Journal of Probability (EJP), 29, s. 1-41. Doi: https://doi.org/10.1214/24-EJP1182 - Fulltekst i vitenarkiv
Grochowicz, Aleksander; Benth, Fred Espen & Zeyringer, Marianne (2024)
Applied Energy, 356 Doi: https://doi.org/10.1016/j.apenergy.2023.122338 - Fulltekst i vitenarkiv
In this article, we investigate the mismatch of renewable electricity production to demand and how flexibility options enabling spatial and temporal smoothing can reduce risks of variability. As a case study we pick a simplified (partial) 2-region representation of the Norwegian electricity system and focus on wind power. We represent regional electricity production and demand through two stochastic processes: the wind capacity factors are modelled as a two-dimensional Ornstein–Uhlenbeck process and electricity demand consists of realistic base load and temperature-induced load coming from a deseasonalised autoregressive process. We validate these processes, that we have trained on historical data, through Monte Carlo simulations allowing us to generate many statistically representative weather years. For the investigated realisations (weather years) we study deviations of production from demand under different wind capacities, and introduce different scenarios where flexibility options like storage and transmission are available. Our analysis shows that simulated loss values are reduced significantly by cooperation between regions and either mode of flexibility. Combining storage and transmission leads to even more synergies and helps to stabilise production levels and thus reduces likelihoods of inadequacy of renewable power systems.
Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E.D. (2024)
The Annals of Applied Probability, 34(2) , s. 2208-2242. Doi: https://doi.org/10.1214/23-AAP2019
Benth, Fred Espen; Lord, Gabriel J., Nunno, Giulia Di & Petersson, Andreas Erik (2024)
Stochastics: An International Journal of Probability and Stochastic Processes, Doi: https://doi.org/10.1080/17442508.2024.2424867 - Fulltekst i vitenarkiv
Benth, Fred Espen & Eyjolfsson, Heidar (2024)
Finance and Stochastics, 28, s. 1117-1146. Doi: https://doi.org/10.1007/s00780-024-00542-4 - Fulltekst i vitenarkiv
Benth, Fred Espen & Sgarra, Carlo (2024)
Finance and Stochastics, 28(4) , s. 1035-1076. Doi: https://doi.org/10.1007/s00780-024-00546-0 - Fulltekst i vitenarkiv
Benth, Fred Espen & Karbach, Sven (2023)
Stochastic Processes and their Applications, 162, s. 299-337. Doi: https://doi.org/10.1016/j.spa.2023.05.003
Larsson, Karl; Green, Rikard & Benth, Fred Espen (2023)
Energy Economics, 117 Doi: https://doi.org/10.1016/j.eneco.2022.106421 - Fulltekst i vitenarkiv
Benth, Fred Espen; Deelstra, Griselda & Kozplnar, And Sinem (2023)
IMA Journal of Management Mathematics, 34(1) , s. 187-220. Doi: https://doi.org/10.1093/imaman/dpab032
Benth, Fred Espen & Krühner, Paul (2023)
Springer
Benth, Fred Espen & Lempa, Jukka (2023)
Applied Stochastic Models in Business and Industry, Doi: https://doi.org/10.1002/asmb.2815 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2023)
Finance and Stochastics, 28, s. 81-121. Doi: https://doi.org/10.1007/s00780-023-00520-2
Bordin, Chiara; Mishra, Sambeet & Benth, Fred Espen (2023)
Energies, 16(15) Doi: https://doi.org/10.3390/en16155757 - Fulltekst i vitenarkiv
The purpose of this paper is to present and discuss pedagogical frameworks and approaches to developing, delivering, and evaluating a new interdisciplinary course within the domain of energy informatics at both Master’s and PhD levels. This study is needed because many papers on sustainable energy engineering education concentrate on course content but provide very little information on the pedagogical methods employed to deliver that content. The proposed new course is called “smart energy and power systems modelling” and is aimed at discussing how mathematical optimization, in the context of computer science, can contribute to more effectively managing smart energy and power systems. Different pedagogical frameworks are discussed and adapted for the specific domain of energy informatics. An ASSURE model coupled with Bloom’s taxonomy is presented for the design of the course and identification of learning objectives; self-regulated learning strategies are discussed to enhance the learning process; a novel model called GPD (Gaussian Progression of Difficulty) for lecture planning was proposed; a teaching-research nexus is discussed for the course planning and enhancement. Adopting qualitative analyses and an inductive approach, this paper offers a thorough reflection on the strengths and weaknesses of the new course, together with improvement possibilities based on fieldwork and direct experience with the students and colleagues. Opportunities and challenges of interdisciplinary teaching are presented in light of real-world experience, with a particular focus on the interaction between mathematics and computer science to study the specific application of energy and power systems.
Puica, Mihaela-Alexandra & Benth, Fred Espen (2023)
Communications in statistics. Case studies, data analysis and applications., 9(3) , s. 321-349. Doi: https://doi.org/10.1080/23737484.2023.2217137
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2023)
Energy Economics, 118 Doi: https://doi.org/10.1016/j.eneco.2022.106496 - Fulltekst i vitenarkiv
We suggest a new methodology for designing robust energy systems. For this, we investigate so-called near-optimal solutions to energy system optimisation models; solutions whose objective values deviate only marginally from the optimum. Using a refined method for obtaining explicit geometric descriptions of these near-optimal feasible spaces, we find designs that are as robust as possible to perturbations. This contributes to the ongoing debate on how to define and work with robustness in energy systems modelling. We apply our methods in an investigation using multiple decades of weather data. For the first time, we run a capacity expansion model of the European power system (one node per country) with a three-hourly temporal resolution and 41 years of weather data. While an optimisation with 41 weather years is at the limits of computational feasibility, we use the near-optimal feasible spaces of single years to gain an understanding of the design space over the full time period. Specifically, we intersect all near-optimal feasible spaces for the individual years in order to get designs that are likely to be feasible over the entire time period. We find significant potential for investment flexibility, and verify the feasibility of these designs by simulating the resulting dispatch problem with four decades of weather data. They are characterised by a shift towards more onshore wind and solar power, while emitting more than 50% less CO2 than a cost-optimal solution over that period. Our work builds on recent developments in the field, including techniques such as Modelling to Generate Alternatives (MGA) and Modelling All Alternatives (MAA), and provides new insights into the geometry of near-optimal feasible spaces and the importance of multi-decade weather variability for energy systems design. We also provide an effective way of working with a multi-decade time frame in a highly parallelised manner. Our implementation is open-sourced, adaptable and is based on PyPSA-Eur.
Benth, Fred Espen & Karbach, Sven (2023)
Stochastic Processes and their Applications, 162, s. 299-337. Doi: https://doi.org/10.1016/j.spa.2023.05.003
Larsson, Karl; Green, Rikard & Benth, Fred Espen (2023)
Energy Economics, 117 Doi: https://doi.org/10.1016/j.eneco.2022.106421 - Fulltekst i vitenarkiv
Benth, Fred Espen; Deelstra, Griselda & Kozplnar, And Sinem (2023)
IMA Journal of Management Mathematics, 34(1) , s. 187-220. Doi: https://doi.org/10.1093/imaman/dpab032
Benth, Fred Espen & Krühner, Paul (2023)
Springer
Benth, Fred Espen & Lempa, Jukka (2023)
Applied Stochastic Models in Business and Industry, Doi: https://doi.org/10.1002/asmb.2815 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2023)
Finance and Stochastics, 28, s. 81-121. Doi: https://doi.org/10.1007/s00780-023-00520-2
Bordin, Chiara; Mishra, Sambeet & Benth, Fred Espen (2023)
Energies, 16(15) Doi: https://doi.org/10.3390/en16155757 - Fulltekst i vitenarkiv
The purpose of this paper is to present and discuss pedagogical frameworks and approaches to developing, delivering, and evaluating a new interdisciplinary course within the domain of energy informatics at both Master’s and PhD levels. This study is needed because many papers on sustainable energy engineering education concentrate on course content but provide very little information on the pedagogical methods employed to deliver that content. The proposed new course is called “smart energy and power systems modelling” and is aimed at discussing how mathematical optimization, in the context of computer science, can contribute to more effectively managing smart energy and power systems. Different pedagogical frameworks are discussed and adapted for the specific domain of energy informatics. An ASSURE model coupled with Bloom’s taxonomy is presented for the design of the course and identification of learning objectives; self-regulated learning strategies are discussed to enhance the learning process; a novel model called GPD (Gaussian Progression of Difficulty) for lecture planning was proposed; a teaching-research nexus is discussed for the course planning and enhancement. Adopting qualitative analyses and an inductive approach, this paper offers a thorough reflection on the strengths and weaknesses of the new course, together with improvement possibilities based on fieldwork and direct experience with the students and colleagues. Opportunities and challenges of interdisciplinary teaching are presented in light of real-world experience, with a particular focus on the interaction between mathematics and computer science to study the specific application of energy and power systems.
Puica, Mihaela-Alexandra & Benth, Fred Espen (2023)
Communications in statistics. Case studies, data analysis and applications., 9(3) , s. 321-349. Doi: https://doi.org/10.1080/23737484.2023.2217137
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2023)
Energy Economics, 118 Doi: https://doi.org/10.1016/j.eneco.2022.106496 - Fulltekst i vitenarkiv
We suggest a new methodology for designing robust energy systems. For this, we investigate so-called near-optimal solutions to energy system optimisation models; solutions whose objective values deviate only marginally from the optimum. Using a refined method for obtaining explicit geometric descriptions of these near-optimal feasible spaces, we find designs that are as robust as possible to perturbations. This contributes to the ongoing debate on how to define and work with robustness in energy systems modelling. We apply our methods in an investigation using multiple decades of weather data. For the first time, we run a capacity expansion model of the European power system (one node per country) with a three-hourly temporal resolution and 41 years of weather data. While an optimisation with 41 weather years is at the limits of computational feasibility, we use the near-optimal feasible spaces of single years to gain an understanding of the design space over the full time period. Specifically, we intersect all near-optimal feasible spaces for the individual years in order to get designs that are likely to be feasible over the entire time period. We find significant potential for investment flexibility, and verify the feasibility of these designs by simulating the resulting dispatch problem with four decades of weather data. They are characterised by a shift towards more onshore wind and solar power, while emitting more than 50% less CO2 than a cost-optimal solution over that period. Our work builds on recent developments in the field, including techniques such as Modelling to Generate Alternatives (MGA) and Modelling All Alternatives (MAA), and provides new insights into the geometry of near-optimal feasible spaces and the importance of multi-decade weather variability for energy systems design. We also provide an effective way of working with a multi-decade time frame in a highly parallelised manner. Our implementation is open-sourced, adaptable and is based on PyPSA-Eur.
Benth, Fred Espen & Karbach, Sven (2023)
Stochastic Processes and their Applications, 162, s. 299-337. Doi: https://doi.org/10.1016/j.spa.2023.05.003
Larsson, Karl; Green, Rikard & Benth, Fred Espen (2023)
Energy Economics, 117 Doi: https://doi.org/10.1016/j.eneco.2022.106421 - Fulltekst i vitenarkiv
Benth, Fred Espen; Deelstra, Griselda & Kozplnar, And Sinem (2023)
IMA Journal of Management Mathematics, 34(1) , s. 187-220. Doi: https://doi.org/10.1093/imaman/dpab032
Benth, Fred Espen & Krühner, Paul (2023)
Springer
Benth, Fred Espen & Lempa, Jukka (2023)
Applied Stochastic Models in Business and Industry, Doi: https://doi.org/10.1002/asmb.2815 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2023)
Finance and Stochastics, 28, s. 81-121. Doi: https://doi.org/10.1007/s00780-023-00520-2
Bordin, Chiara; Mishra, Sambeet & Benth, Fred Espen (2023)
Energies, 16(15) Doi: https://doi.org/10.3390/en16155757 - Fulltekst i vitenarkiv
The purpose of this paper is to present and discuss pedagogical frameworks and approaches to developing, delivering, and evaluating a new interdisciplinary course within the domain of energy informatics at both Master’s and PhD levels. This study is needed because many papers on sustainable energy engineering education concentrate on course content but provide very little information on the pedagogical methods employed to deliver that content. The proposed new course is called “smart energy and power systems modelling” and is aimed at discussing how mathematical optimization, in the context of computer science, can contribute to more effectively managing smart energy and power systems. Different pedagogical frameworks are discussed and adapted for the specific domain of energy informatics. An ASSURE model coupled with Bloom’s taxonomy is presented for the design of the course and identification of learning objectives; self-regulated learning strategies are discussed to enhance the learning process; a novel model called GPD (Gaussian Progression of Difficulty) for lecture planning was proposed; a teaching-research nexus is discussed for the course planning and enhancement. Adopting qualitative analyses and an inductive approach, this paper offers a thorough reflection on the strengths and weaknesses of the new course, together with improvement possibilities based on fieldwork and direct experience with the students and colleagues. Opportunities and challenges of interdisciplinary teaching are presented in light of real-world experience, with a particular focus on the interaction between mathematics and computer science to study the specific application of energy and power systems.
Puica, Mihaela-Alexandra & Benth, Fred Espen (2023)
Communications in statistics. Case studies, data analysis and applications., 9(3) , s. 321-349. Doi: https://doi.org/10.1080/23737484.2023.2217137
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2023)
Energy Economics, 118 Doi: https://doi.org/10.1016/j.eneco.2022.106496 - Fulltekst i vitenarkiv
We suggest a new methodology for designing robust energy systems. For this, we investigate so-called near-optimal solutions to energy system optimisation models; solutions whose objective values deviate only marginally from the optimum. Using a refined method for obtaining explicit geometric descriptions of these near-optimal feasible spaces, we find designs that are as robust as possible to perturbations. This contributes to the ongoing debate on how to define and work with robustness in energy systems modelling. We apply our methods in an investigation using multiple decades of weather data. For the first time, we run a capacity expansion model of the European power system (one node per country) with a three-hourly temporal resolution and 41 years of weather data. While an optimisation with 41 weather years is at the limits of computational feasibility, we use the near-optimal feasible spaces of single years to gain an understanding of the design space over the full time period. Specifically, we intersect all near-optimal feasible spaces for the individual years in order to get designs that are likely to be feasible over the entire time period. We find significant potential for investment flexibility, and verify the feasibility of these designs by simulating the resulting dispatch problem with four decades of weather data. They are characterised by a shift towards more onshore wind and solar power, while emitting more than 50% less CO2 than a cost-optimal solution over that period. Our work builds on recent developments in the field, including techniques such as Modelling to Generate Alternatives (MGA) and Modelling All Alternatives (MAA), and provides new insights into the geometry of near-optimal feasible spaces and the importance of multi-decade weather variability for energy systems design. We also provide an effective way of working with a multi-decade time frame in a highly parallelised manner. Our implementation is open-sourced, adaptable and is based on PyPSA-Eur.
Benth, Fred Espen & Karbach, Sven (2023)
Stochastic Processes and their Applications, 162, s. 299-337. Doi: https://doi.org/10.1016/j.spa.2023.05.003
Larsson, Karl; Green, Rikard & Benth, Fred Espen (2023)
Energy Economics, 117 Doi: https://doi.org/10.1016/j.eneco.2022.106421 - Fulltekst i vitenarkiv
Benth, Fred Espen; Deelstra, Griselda & Kozplnar, And Sinem (2023)
IMA Journal of Management Mathematics, 34(1) , s. 187-220. Doi: https://doi.org/10.1093/imaman/dpab032
Puica, Mihaela-Alexandra & Benth, Fred Espen (2023)
Communications in statistics. Case studies, data analysis and applications., 9(3) , s. 321-349. Doi: https://doi.org/10.1080/23737484.2023.2217137
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2023)
Energy Economics, 118 Doi: https://doi.org/10.1016/j.eneco.2022.106496 - Fulltekst i vitenarkiv
We suggest a new methodology for designing robust energy systems. For this, we investigate so-called near-optimal solutions to energy system optimisation models; solutions whose objective values deviate only marginally from the optimum. Using a refined method for obtaining explicit geometric descriptions of these near-optimal feasible spaces, we find designs that are as robust as possible to perturbations. This contributes to the ongoing debate on how to define and work with robustness in energy systems modelling. We apply our methods in an investigation using multiple decades of weather data. For the first time, we run a capacity expansion model of the European power system (one node per country) with a three-hourly temporal resolution and 41 years of weather data. While an optimisation with 41 weather years is at the limits of computational feasibility, we use the near-optimal feasible spaces of single years to gain an understanding of the design space over the full time period. Specifically, we intersect all near-optimal feasible spaces for the individual years in order to get designs that are likely to be feasible over the entire time period. We find significant potential for investment flexibility, and verify the feasibility of these designs by simulating the resulting dispatch problem with four decades of weather data. They are characterised by a shift towards more onshore wind and solar power, while emitting more than 50% less CO2 than a cost-optimal solution over that period. Our work builds on recent developments in the field, including techniques such as Modelling to Generate Alternatives (MGA) and Modelling All Alternatives (MAA), and provides new insights into the geometry of near-optimal feasible spaces and the importance of multi-decade weather variability for energy systems design. We also provide an effective way of working with a multi-decade time frame in a highly parallelised manner. Our implementation is open-sourced, adaptable and is based on PyPSA-Eur.
Benth, Fred Espen & Krühner, Paul (2023)
Springer
Benth, Fred Espen & Lempa, Jukka (2023)
Applied Stochastic Models in Business and Industry, Doi: https://doi.org/10.1002/asmb.2815 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2023)
Finance and Stochastics, 28, s. 81-121. Doi: https://doi.org/10.1007/s00780-023-00520-2
Bordin, Chiara; Mishra, Sambeet & Benth, Fred Espen (2023)
Energies, 16(15) Doi: https://doi.org/10.3390/en16155757 - Fulltekst i vitenarkiv
The purpose of this paper is to present and discuss pedagogical frameworks and approaches to developing, delivering, and evaluating a new interdisciplinary course within the domain of energy informatics at both Master’s and PhD levels. This study is needed because many papers on sustainable energy engineering education concentrate on course content but provide very little information on the pedagogical methods employed to deliver that content. The proposed new course is called “smart energy and power systems modelling” and is aimed at discussing how mathematical optimization, in the context of computer science, can contribute to more effectively managing smart energy and power systems. Different pedagogical frameworks are discussed and adapted for the specific domain of energy informatics. An ASSURE model coupled with Bloom’s taxonomy is presented for the design of the course and identification of learning objectives; self-regulated learning strategies are discussed to enhance the learning process; a novel model called GPD (Gaussian Progression of Difficulty) for lecture planning was proposed; a teaching-research nexus is discussed for the course planning and enhancement. Adopting qualitative analyses and an inductive approach, this paper offers a thorough reflection on the strengths and weaknesses of the new course, together with improvement possibilities based on fieldwork and direct experience with the students and colleagues. Opportunities and challenges of interdisciplinary teaching are presented in light of real-world experience, with a particular focus on the interaction between mathematics and computer science to study the specific application of energy and power systems.
Benth, Fred Espen & Karbach, Sven (2023)
Stochastic Processes and their Applications, 162, s. 299-337. Doi: https://doi.org/10.1016/j.spa.2023.05.003
Larsson, Karl; Green, Rikard & Benth, Fred Espen (2023)
Energy Economics, 117 Doi: https://doi.org/10.1016/j.eneco.2022.106421 - Fulltekst i vitenarkiv
Benth, Fred Espen; Deelstra, Griselda & Kozplnar, And Sinem (2023)
IMA Journal of Management Mathematics, 34(1) , s. 187-220. Doi: https://doi.org/10.1093/imaman/dpab032
Puica, Mihaela-Alexandra & Benth, Fred Espen (2023)
Communications in statistics. Case studies, data analysis and applications., 9(3) , s. 321-349. Doi: https://doi.org/10.1080/23737484.2023.2217137
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2023)
Energy Economics, 118 Doi: https://doi.org/10.1016/j.eneco.2022.106496 - Fulltekst i vitenarkiv
We suggest a new methodology for designing robust energy systems. For this, we investigate so-called near-optimal solutions to energy system optimisation models; solutions whose objective values deviate only marginally from the optimum. Using a refined method for obtaining explicit geometric descriptions of these near-optimal feasible spaces, we find designs that are as robust as possible to perturbations. This contributes to the ongoing debate on how to define and work with robustness in energy systems modelling. We apply our methods in an investigation using multiple decades of weather data. For the first time, we run a capacity expansion model of the European power system (one node per country) with a three-hourly temporal resolution and 41 years of weather data. While an optimisation with 41 weather years is at the limits of computational feasibility, we use the near-optimal feasible spaces of single years to gain an understanding of the design space over the full time period. Specifically, we intersect all near-optimal feasible spaces for the individual years in order to get designs that are likely to be feasible over the entire time period. We find significant potential for investment flexibility, and verify the feasibility of these designs by simulating the resulting dispatch problem with four decades of weather data. They are characterised by a shift towards more onshore wind and solar power, while emitting more than 50% less CO2 than a cost-optimal solution over that period. Our work builds on recent developments in the field, including techniques such as Modelling to Generate Alternatives (MGA) and Modelling All Alternatives (MAA), and provides new insights into the geometry of near-optimal feasible spaces and the importance of multi-decade weather variability for energy systems design. We also provide an effective way of working with a multi-decade time frame in a highly parallelised manner. Our implementation is open-sourced, adaptable and is based on PyPSA-Eur.
Benth, Fred Espen & Krühner, Paul (2023)
Springer
Benth, Fred Espen & Lempa, Jukka (2023)
Applied Stochastic Models in Business and Industry, Doi: https://doi.org/10.1002/asmb.2815 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2023)
Finance and Stochastics, 28, s. 81-121. Doi: https://doi.org/10.1007/s00780-023-00520-2
Bordin, Chiara; Mishra, Sambeet & Benth, Fred Espen (2023)
Energies, 16(15) Doi: https://doi.org/10.3390/en16155757 - Fulltekst i vitenarkiv
The purpose of this paper is to present and discuss pedagogical frameworks and approaches to developing, delivering, and evaluating a new interdisciplinary course within the domain of energy informatics at both Master’s and PhD levels. This study is needed because many papers on sustainable energy engineering education concentrate on course content but provide very little information on the pedagogical methods employed to deliver that content. The proposed new course is called “smart energy and power systems modelling” and is aimed at discussing how mathematical optimization, in the context of computer science, can contribute to more effectively managing smart energy and power systems. Different pedagogical frameworks are discussed and adapted for the specific domain of energy informatics. An ASSURE model coupled with Bloom’s taxonomy is presented for the design of the course and identification of learning objectives; self-regulated learning strategies are discussed to enhance the learning process; a novel model called GPD (Gaussian Progression of Difficulty) for lecture planning was proposed; a teaching-research nexus is discussed for the course planning and enhancement. Adopting qualitative analyses and an inductive approach, this paper offers a thorough reflection on the strengths and weaknesses of the new course, together with improvement possibilities based on fieldwork and direct experience with the students and colleagues. Opportunities and challenges of interdisciplinary teaching are presented in light of real-world experience, with a particular focus on the interaction between mathematics and computer science to study the specific application of energy and power systems.
Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2022)
Annals of Mathematics and Artificial Intelligence, 91, s. 75-103. Doi: https://doi.org/10.1007/s10472-022-09824-z - Fulltekst i vitenarkiv
We propose a neural network architecture in infinite dimensional spaces for which we can show the universal approximation property. Indeed, we derive approximation results for continuous functions from a Fréchet space X into a Banach space Y. The approximation results are generalising the well known universal approximation theorem for continuous functions from Rn to R, where approximation is done with (multilayer) neural networks Cybenko (1989) Math. Cont. Signals Syst. 2, 303–314 and Hornik et al. (1989) Neural Netw., 2, 359–366 and Funahashi (1989) Neural Netw., 2, 183–192 and Leshno (1993) Neural Netw., 6, 861–867. Our infinite dimensional networks are constructed using activation functions being nonlinear operators and affine transforms. Several examples are given of such activation functions. We show furthermore that our neural networks on infinite dimensional spaces can be projected down to finite dimensional subspaces with any desirable accuracy, thus obtaining approximating networks that are easy to implement and allow for fast computation and fitting. The resulting neural network architecture is therefore applicable for prediction tasks based on functional data.
Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E. D. (2022)
Stochastic Processes and their Applications, 145, s. 241-268. Doi: https://doi.org/10.1016/j.spa.2021.12.011 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2022)
Stochastics: An International Journal of Probability and Stochastic Processes, , s. 1-23. Doi: https://doi.org/10.1080/17442508.2021.2019738 - Fulltekst i vitenarkiv
Schrader, Simon Elias & Benth, Fred Espen (2022)
Energy Economics, 114 Doi: https://doi.org/10.1016/j.eneco.2022.106300 - Fulltekst i vitenarkiv
Benth, Fred Espen & Galimberti, Luca (2022)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 25(2) , s. 1-35. Doi: https://doi.org/10.1142/S0219025722500072 - Fulltekst i vitenarkiv
We provide a detailed analysis of the Gelfand integral on Fréchet spaces, showing among other things a Vitali theorem, dominated convergence and a Fubini result. Furthermore, the Gelfand integral commutes with linear operators. The Skorohod integral is conveniently expressed in terms of a Gelfand integral on Hida distribution space, which forms our prime motivation and example. We extend several results of Skorohod integrals to a general class of pathwise Gelfand integrals. For example, we provide generalizations of the Hida–Malliavin derivative and extend the integration-by-parts formula in Malliavin Calculus. A Fubini-result is also shown, based on the commutative property of Gelfand integrals with linear operators. Finally, our studies give the motivation for two existing definitions of stochastic Volterra integration in Hida space.
Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2022)
Dependence Modeling, 10(1) , s. 22-28. Doi: https://doi.org/10.1515/demo-2022-0103 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2022)
Annals of Mathematics and Artificial Intelligence, 91, s. 75-103. Doi: https://doi.org/10.1007/s10472-022-09824-z - Fulltekst i vitenarkiv
We propose a neural network architecture in infinite dimensional spaces for which we can show the universal approximation property. Indeed, we derive approximation results for continuous functions from a Fréchet space X into a Banach space Y. The approximation results are generalising the well known universal approximation theorem for continuous functions from Rn to R, where approximation is done with (multilayer) neural networks Cybenko (1989) Math. Cont. Signals Syst. 2, 303–314 and Hornik et al. (1989) Neural Netw., 2, 359–366 and Funahashi (1989) Neural Netw., 2, 183–192 and Leshno (1993) Neural Netw., 6, 861–867. Our infinite dimensional networks are constructed using activation functions being nonlinear operators and affine transforms. Several examples are given of such activation functions. We show furthermore that our neural networks on infinite dimensional spaces can be projected down to finite dimensional subspaces with any desirable accuracy, thus obtaining approximating networks that are easy to implement and allow for fast computation and fitting. The resulting neural network architecture is therefore applicable for prediction tasks based on functional data.
Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E. D. (2022)
Stochastic Processes and their Applications, 145, s. 241-268. Doi: https://doi.org/10.1016/j.spa.2021.12.011 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2022)
Stochastics: An International Journal of Probability and Stochastic Processes, , s. 1-23. Doi: https://doi.org/10.1080/17442508.2021.2019738 - Fulltekst i vitenarkiv
Schrader, Simon Elias & Benth, Fred Espen (2022)
Energy Economics, 114 Doi: https://doi.org/10.1016/j.eneco.2022.106300 - Fulltekst i vitenarkiv
Benth, Fred Espen & Galimberti, Luca (2022)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 25(2) , s. 1-35. Doi: https://doi.org/10.1142/S0219025722500072 - Fulltekst i vitenarkiv
We provide a detailed analysis of the Gelfand integral on Fréchet spaces, showing among other things a Vitali theorem, dominated convergence and a Fubini result. Furthermore, the Gelfand integral commutes with linear operators. The Skorohod integral is conveniently expressed in terms of a Gelfand integral on Hida distribution space, which forms our prime motivation and example. We extend several results of Skorohod integrals to a general class of pathwise Gelfand integrals. For example, we provide generalizations of the Hida–Malliavin derivative and extend the integration-by-parts formula in Malliavin Calculus. A Fubini-result is also shown, based on the commutative property of Gelfand integrals with linear operators. Finally, our studies give the motivation for two existing definitions of stochastic Volterra integration in Hida space.
Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2022)
Dependence Modeling, 10(1) , s. 22-28. Doi: https://doi.org/10.1515/demo-2022-0103 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2022)
Annals of Mathematics and Artificial Intelligence, 91, s. 75-103. Doi: https://doi.org/10.1007/s10472-022-09824-z - Fulltekst i vitenarkiv
We propose a neural network architecture in infinite dimensional spaces for which we can show the universal approximation property. Indeed, we derive approximation results for continuous functions from a Fréchet space X into a Banach space Y. The approximation results are generalising the well known universal approximation theorem for continuous functions from Rn to R, where approximation is done with (multilayer) neural networks Cybenko (1989) Math. Cont. Signals Syst. 2, 303–314 and Hornik et al. (1989) Neural Netw., 2, 359–366 and Funahashi (1989) Neural Netw., 2, 183–192 and Leshno (1993) Neural Netw., 6, 861–867. Our infinite dimensional networks are constructed using activation functions being nonlinear operators and affine transforms. Several examples are given of such activation functions. We show furthermore that our neural networks on infinite dimensional spaces can be projected down to finite dimensional subspaces with any desirable accuracy, thus obtaining approximating networks that are easy to implement and allow for fast computation and fitting. The resulting neural network architecture is therefore applicable for prediction tasks based on functional data.
Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E. D. (2022)
Stochastic Processes and their Applications, 145, s. 241-268. Doi: https://doi.org/10.1016/j.spa.2021.12.011 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2022)
Stochastics: An International Journal of Probability and Stochastic Processes, , s. 1-23. Doi: https://doi.org/10.1080/17442508.2021.2019738 - Fulltekst i vitenarkiv
Schrader, Simon Elias & Benth, Fred Espen (2022)
Energy Economics, 114 Doi: https://doi.org/10.1016/j.eneco.2022.106300 - Fulltekst i vitenarkiv
Benth, Fred Espen & Galimberti, Luca (2022)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 25(2) , s. 1-35. Doi: https://doi.org/10.1142/S0219025722500072 - Fulltekst i vitenarkiv
We provide a detailed analysis of the Gelfand integral on Fréchet spaces, showing among other things a Vitali theorem, dominated convergence and a Fubini result. Furthermore, the Gelfand integral commutes with linear operators. The Skorohod integral is conveniently expressed in terms of a Gelfand integral on Hida distribution space, which forms our prime motivation and example. We extend several results of Skorohod integrals to a general class of pathwise Gelfand integrals. For example, we provide generalizations of the Hida–Malliavin derivative and extend the integration-by-parts formula in Malliavin Calculus. A Fubini-result is also shown, based on the commutative property of Gelfand integrals with linear operators. Finally, our studies give the motivation for two existing definitions of stochastic Volterra integration in Hida space.
Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2022)
Dependence Modeling, 10(1) , s. 22-28. Doi: https://doi.org/10.1515/demo-2022-0103 - Fulltekst i vitenarkiv
Schrader, Simon Elias & Benth, Fred Espen (2022)
Energy Economics, 114 Doi: https://doi.org/10.1016/j.eneco.2022.106300 - Fulltekst i vitenarkiv
Benth, Fred Espen & Galimberti, Luca (2022)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 25(2) , s. 1-35. Doi: https://doi.org/10.1142/S0219025722500072 - Fulltekst i vitenarkiv
We provide a detailed analysis of the Gelfand integral on Fréchet spaces, showing among other things a Vitali theorem, dominated convergence and a Fubini result. Furthermore, the Gelfand integral commutes with linear operators. The Skorohod integral is conveniently expressed in terms of a Gelfand integral on Hida distribution space, which forms our prime motivation and example. We extend several results of Skorohod integrals to a general class of pathwise Gelfand integrals. For example, we provide generalizations of the Hida–Malliavin derivative and extend the integration-by-parts formula in Malliavin Calculus. A Fubini-result is also shown, based on the commutative property of Gelfand integrals with linear operators. Finally, our studies give the motivation for two existing definitions of stochastic Volterra integration in Hida space.
Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2022)
Dependence Modeling, 10(1) , s. 22-28. Doi: https://doi.org/10.1515/demo-2022-0103 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2022)
Annals of Mathematics and Artificial Intelligence, 91, s. 75-103. Doi: https://doi.org/10.1007/s10472-022-09824-z - Fulltekst i vitenarkiv
We propose a neural network architecture in infinite dimensional spaces for which we can show the universal approximation property. Indeed, we derive approximation results for continuous functions from a Fréchet space X into a Banach space Y. The approximation results are generalising the well known universal approximation theorem for continuous functions from Rn to R, where approximation is done with (multilayer) neural networks Cybenko (1989) Math. Cont. Signals Syst. 2, 303–314 and Hornik et al. (1989) Neural Netw., 2, 359–366 and Funahashi (1989) Neural Netw., 2, 183–192 and Leshno (1993) Neural Netw., 6, 861–867. Our infinite dimensional networks are constructed using activation functions being nonlinear operators and affine transforms. Several examples are given of such activation functions. We show furthermore that our neural networks on infinite dimensional spaces can be projected down to finite dimensional subspaces with any desirable accuracy, thus obtaining approximating networks that are easy to implement and allow for fast computation and fitting. The resulting neural network architecture is therefore applicable for prediction tasks based on functional data.
Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E. D. (2022)
Stochastic Processes and their Applications, 145, s. 241-268. Doi: https://doi.org/10.1016/j.spa.2021.12.011 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2022)
Stochastics: An International Journal of Probability and Stochastic Processes, , s. 1-23. Doi: https://doi.org/10.1080/17442508.2021.2019738 - Fulltekst i vitenarkiv
Schrader, Simon Elias & Benth, Fred Espen (2022)
Energy Economics, 114 Doi: https://doi.org/10.1016/j.eneco.2022.106300 - Fulltekst i vitenarkiv
Benth, Fred Espen & Galimberti, Luca (2022)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 25(2) , s. 1-35. Doi: https://doi.org/10.1142/S0219025722500072 - Fulltekst i vitenarkiv
We provide a detailed analysis of the Gelfand integral on Fréchet spaces, showing among other things a Vitali theorem, dominated convergence and a Fubini result. Furthermore, the Gelfand integral commutes with linear operators. The Skorohod integral is conveniently expressed in terms of a Gelfand integral on Hida distribution space, which forms our prime motivation and example. We extend several results of Skorohod integrals to a general class of pathwise Gelfand integrals. For example, we provide generalizations of the Hida–Malliavin derivative and extend the integration-by-parts formula in Malliavin Calculus. A Fubini-result is also shown, based on the commutative property of Gelfand integrals with linear operators. Finally, our studies give the motivation for two existing definitions of stochastic Volterra integration in Hida space.
Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2022)
Dependence Modeling, 10(1) , s. 22-28. Doi: https://doi.org/10.1515/demo-2022-0103 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2022)
Annals of Mathematics and Artificial Intelligence, 91, s. 75-103. Doi: https://doi.org/10.1007/s10472-022-09824-z - Fulltekst i vitenarkiv
We propose a neural network architecture in infinite dimensional spaces for which we can show the universal approximation property. Indeed, we derive approximation results for continuous functions from a Fréchet space X into a Banach space Y. The approximation results are generalising the well known universal approximation theorem for continuous functions from Rn to R, where approximation is done with (multilayer) neural networks Cybenko (1989) Math. Cont. Signals Syst. 2, 303–314 and Hornik et al. (1989) Neural Netw., 2, 359–366 and Funahashi (1989) Neural Netw., 2, 183–192 and Leshno (1993) Neural Netw., 6, 861–867. Our infinite dimensional networks are constructed using activation functions being nonlinear operators and affine transforms. Several examples are given of such activation functions. We show furthermore that our neural networks on infinite dimensional spaces can be projected down to finite dimensional subspaces with any desirable accuracy, thus obtaining approximating networks that are easy to implement and allow for fast computation and fitting. The resulting neural network architecture is therefore applicable for prediction tasks based on functional data.
Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E. D. (2022)
Stochastic Processes and their Applications, 145, s. 241-268. Doi: https://doi.org/10.1016/j.spa.2021.12.011 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2022)
Stochastics: An International Journal of Probability and Stochastic Processes, , s. 1-23. Doi: https://doi.org/10.1080/17442508.2021.2019738 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2021)
Scandinavian Journal of Statistics, Doi: https://doi.org/10.1111/sjos.12559
Benth, Fred Espen & Lavagnini, Silvia (2021)
SIAM Journal on Financial Mathematics, 12(4) , s. 1374-1415. Doi: https://doi.org/10.1137/21M141556X - Fulltekst i vitenarkiv
Benth, Fred Espen & Simonsen, Iben Cathrine (2021)
Modern Stochastics: Theory and Applications (MSTA), 8(3) , s. 349-371. Doi: https://doi.org/10.15559/21-VMSTA178 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Lavagnini, Silvia (2021)
Digital Finance, 3, s. 209-248. Doi: https://doi.org/10.1007/s42521-021-00030-w - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Simonsen, Iben Cathrine (2021)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 24(2) Doi: https://doi.org/10.1142/S0219025721500144
Benth, Fred Espen; Kutrolli, Gleda & Stefani, Silvana (2021)
International Journal of Theoretical and Applied Finance, 24(6 & 7) Doi: https://doi.org/10.1142/S0219024921500345 - Fulltekst i vitenarkiv
Benth, Fred Espen; Christensen, Troels Sønderby & Rohde, Victor (2021)
Quantitative finance (Print), 21(1) , s. 165-183. Doi: https://doi.org/10.1080/14697688.2020.1804606 - Fulltekst i vitenarkiv
Harang, Fabian Andsem & Benth, Fred Espen (2021)
Electronic Journal of Probability (EJP), 26 Doi: https://doi.org/10.1214/21-EJP683 - Fulltekst i vitenarkiv
Benth, Fred Espen (2021)
Mathematics, 9(2) Doi: https://doi.org/10.3390/math9020124 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2021)
Scandinavian Journal of Statistics, Doi: https://doi.org/10.1111/sjos.12559
Benth, Fred Espen & Lavagnini, Silvia (2021)
SIAM Journal on Financial Mathematics, 12(4) , s. 1374-1415. Doi: https://doi.org/10.1137/21M141556X - Fulltekst i vitenarkiv
Benth, Fred Espen & Simonsen, Iben Cathrine (2021)
Modern Stochastics: Theory and Applications (MSTA), 8(3) , s. 349-371. Doi: https://doi.org/10.15559/21-VMSTA178 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Lavagnini, Silvia (2021)
Digital Finance, 3, s. 209-248. Doi: https://doi.org/10.1007/s42521-021-00030-w - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Simonsen, Iben Cathrine (2021)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 24(2) Doi: https://doi.org/10.1142/S0219025721500144
Benth, Fred Espen; Kutrolli, Gleda & Stefani, Silvana (2021)
International Journal of Theoretical and Applied Finance, 24(6 & 7) Doi: https://doi.org/10.1142/S0219024921500345 - Fulltekst i vitenarkiv
Benth, Fred Espen; Christensen, Troels Sønderby & Rohde, Victor (2021)
Quantitative finance (Print), 21(1) , s. 165-183. Doi: https://doi.org/10.1080/14697688.2020.1804606 - Fulltekst i vitenarkiv
Harang, Fabian Andsem & Benth, Fred Espen (2021)
Electronic Journal of Probability (EJP), 26 Doi: https://doi.org/10.1214/21-EJP683 - Fulltekst i vitenarkiv
Benth, Fred Espen (2021)
Mathematics, 9(2) Doi: https://doi.org/10.3390/math9020124 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2021)
Scandinavian Journal of Statistics, Doi: https://doi.org/10.1111/sjos.12559
Benth, Fred Espen & Lavagnini, Silvia (2021)
SIAM Journal on Financial Mathematics, 12(4) , s. 1374-1415. Doi: https://doi.org/10.1137/21M141556X - Fulltekst i vitenarkiv
Benth, Fred Espen & Simonsen, Iben Cathrine (2021)
Modern Stochastics: Theory and Applications (MSTA), 8(3) , s. 349-371. Doi: https://doi.org/10.15559/21-VMSTA178 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Lavagnini, Silvia (2021)
Digital Finance, 3, s. 209-248. Doi: https://doi.org/10.1007/s42521-021-00030-w - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Simonsen, Iben Cathrine (2021)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 24(2) Doi: https://doi.org/10.1142/S0219025721500144
Benth, Fred Espen; Kutrolli, Gleda & Stefani, Silvana (2021)
International Journal of Theoretical and Applied Finance, 24(6 & 7) Doi: https://doi.org/10.1142/S0219024921500345 - Fulltekst i vitenarkiv
Benth, Fred Espen; Christensen, Troels Sønderby & Rohde, Victor (2021)
Quantitative finance (Print), 21(1) , s. 165-183. Doi: https://doi.org/10.1080/14697688.2020.1804606 - Fulltekst i vitenarkiv
Harang, Fabian Andsem & Benth, Fred Espen (2021)
Electronic Journal of Probability (EJP), 26 Doi: https://doi.org/10.1214/21-EJP683 - Fulltekst i vitenarkiv
Benth, Fred Espen (2021)
Mathematics, 9(2) Doi: https://doi.org/10.3390/math9020124 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2021)
Scandinavian Journal of Statistics, Doi: https://doi.org/10.1111/sjos.12559
Benth, Fred Espen & Lavagnini, Silvia (2021)
SIAM Journal on Financial Mathematics, 12(4) , s. 1374-1415. Doi: https://doi.org/10.1137/21M141556X - Fulltekst i vitenarkiv
Benth, Fred Espen & Simonsen, Iben Cathrine (2021)
Modern Stochastics: Theory and Applications (MSTA), 8(3) , s. 349-371. Doi: https://doi.org/10.15559/21-VMSTA178 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Lavagnini, Silvia (2021)
Digital Finance, 3, s. 209-248. Doi: https://doi.org/10.1007/s42521-021-00030-w - Fulltekst i vitenarkiv
Harang, Fabian Andsem & Benth, Fred Espen (2021)
Electronic Journal of Probability (EJP), 26 Doi: https://doi.org/10.1214/21-EJP683 - Fulltekst i vitenarkiv
Benth, Fred Espen (2021)
Mathematics, 9(2) Doi: https://doi.org/10.3390/math9020124 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Simonsen, Iben Cathrine (2021)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 24(2) Doi: https://doi.org/10.1142/S0219025721500144
Benth, Fred Espen; Kutrolli, Gleda & Stefani, Silvana (2021)
International Journal of Theoretical and Applied Finance, 24(6 & 7) Doi: https://doi.org/10.1142/S0219024921500345 - Fulltekst i vitenarkiv
Benth, Fred Espen; Christensen, Troels Sønderby & Rohde, Victor (2021)
Quantitative finance (Print), 21(1) , s. 165-183. Doi: https://doi.org/10.1080/14697688.2020.1804606 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2021)
Scandinavian Journal of Statistics, Doi: https://doi.org/10.1111/sjos.12559
Benth, Fred Espen & Lavagnini, Silvia (2021)
SIAM Journal on Financial Mathematics, 12(4) , s. 1374-1415. Doi: https://doi.org/10.1137/21M141556X - Fulltekst i vitenarkiv
Benth, Fred Espen & Simonsen, Iben Cathrine (2021)
Modern Stochastics: Theory and Applications (MSTA), 8(3) , s. 349-371. Doi: https://doi.org/10.15559/21-VMSTA178 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Lavagnini, Silvia (2021)
Digital Finance, 3, s. 209-248. Doi: https://doi.org/10.1007/s42521-021-00030-w - Fulltekst i vitenarkiv
Harang, Fabian Andsem & Benth, Fred Espen (2021)
Electronic Journal of Probability (EJP), 26 Doi: https://doi.org/10.1214/21-EJP683 - Fulltekst i vitenarkiv
Benth, Fred Espen (2021)
Mathematics, 9(2) Doi: https://doi.org/10.3390/math9020124 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Simonsen, Iben Cathrine (2021)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 24(2) Doi: https://doi.org/10.1142/S0219025721500144
Benth, Fred Espen; Kutrolli, Gleda & Stefani, Silvana (2021)
International Journal of Theoretical and Applied Finance, 24(6 & 7) Doi: https://doi.org/10.1142/S0219024921500345 - Fulltekst i vitenarkiv
Benth, Fred Espen; Christensen, Troels Sønderby & Rohde, Victor (2021)
Quantitative finance (Print), 21(1) , s. 165-183. Doi: https://doi.org/10.1080/14697688.2020.1804606 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2020)
Stochastics: An International Journal of Probability and Stochastic Processes, Doi: https://doi.org/10.1080/17442508.2020.1802458 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eikeset, Anne Maria, Levin, Simon A. & Ren, Wanjuan (2020)
Journal of Commodity Markets, , s. 1-13. Doi: https://doi.org/10.1016/j.jcomm.2019.100122 - Fulltekst i vitenarkiv
Kremer, Marcel; Benth, Fred Espen, Felten, Björn & Kiesel, Rüdiger (2020)
International Journal of Theoretical and Applied Finance, 23(4) Doi: https://doi.org/10.1142/S0219024920500272
Christensen, Troels Sønderby & Benth, Fred Espen (2020)
Quantitative finance (Print), 20(9) , s. 1441-1456. Doi: https://doi.org/10.1080/14697688.2020.1733059 - Fulltekst i vitenarkiv
Krecar, Nikola; Benth, Fred Espen & Gubina, Andrej (2020)
IEEE Transactions on Power Systems, 35(2) , s. 1085-1098. Doi: https://doi.org/10.1109/TPWRS.2019.2938423 - Fulltekst i vitenarkiv
Benth, Fred Espen; Khedher, Asma & Vanmaele, Michèle (2020)
Risks, 8(1) Doi: https://doi.org/10.3390/risks8010008 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2020)
Stochastics: An International Journal of Probability and Stochastic Processes, Doi: https://doi.org/10.1080/17442508.2020.1802458 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eikeset, Anne Maria, Levin, Simon A. & Ren, Wanjuan (2020)
Journal of Commodity Markets, , s. 1-13. Doi: https://doi.org/10.1016/j.jcomm.2019.100122 - Fulltekst i vitenarkiv
Kremer, Marcel; Benth, Fred Espen, Felten, Björn & Kiesel, Rüdiger (2020)
International Journal of Theoretical and Applied Finance, 23(4) Doi: https://doi.org/10.1142/S0219024920500272
Christensen, Troels Sønderby & Benth, Fred Espen (2020)
Quantitative finance (Print), 20(9) , s. 1441-1456. Doi: https://doi.org/10.1080/14697688.2020.1733059 - Fulltekst i vitenarkiv
Krecar, Nikola; Benth, Fred Espen & Gubina, Andrej (2020)
IEEE Transactions on Power Systems, 35(2) , s. 1085-1098. Doi: https://doi.org/10.1109/TPWRS.2019.2938423 - Fulltekst i vitenarkiv
Benth, Fred Espen; Khedher, Asma & Vanmaele, Michèle (2020)
Risks, 8(1) Doi: https://doi.org/10.3390/risks8010008 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2020)
Stochastics: An International Journal of Probability and Stochastic Processes, Doi: https://doi.org/10.1080/17442508.2020.1802458 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eikeset, Anne Maria, Levin, Simon A. & Ren, Wanjuan (2020)
Journal of Commodity Markets, , s. 1-13. Doi: https://doi.org/10.1016/j.jcomm.2019.100122 - Fulltekst i vitenarkiv
Kremer, Marcel; Benth, Fred Espen, Felten, Björn & Kiesel, Rüdiger (2020)
International Journal of Theoretical and Applied Finance, 23(4) Doi: https://doi.org/10.1142/S0219024920500272
Christensen, Troels Sønderby & Benth, Fred Espen (2020)
Quantitative finance (Print), 20(9) , s. 1441-1456. Doi: https://doi.org/10.1080/14697688.2020.1733059 - Fulltekst i vitenarkiv
Krecar, Nikola; Benth, Fred Espen & Gubina, Andrej (2020)
IEEE Transactions on Power Systems, 35(2) , s. 1085-1098. Doi: https://doi.org/10.1109/TPWRS.2019.2938423 - Fulltekst i vitenarkiv
Benth, Fred Espen; Khedher, Asma & Vanmaele, Michèle (2020)
Risks, 8(1) Doi: https://doi.org/10.3390/risks8010008 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2020)
Stochastics: An International Journal of Probability and Stochastic Processes, Doi: https://doi.org/10.1080/17442508.2020.1802458 - Fulltekst i vitenarkiv
Benth, Fred Espen; Khedher, Asma & Vanmaele, Michèle (2020)
Risks, 8(1) Doi: https://doi.org/10.3390/risks8010008 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eikeset, Anne Maria, Levin, Simon A. & Ren, Wanjuan (2020)
Journal of Commodity Markets, , s. 1-13. Doi: https://doi.org/10.1016/j.jcomm.2019.100122 - Fulltekst i vitenarkiv
Kremer, Marcel; Benth, Fred Espen, Felten, Björn & Kiesel, Rüdiger (2020)
International Journal of Theoretical and Applied Finance, 23(4) Doi: https://doi.org/10.1142/S0219024920500272
Christensen, Troels Sønderby & Benth, Fred Espen (2020)
Quantitative finance (Print), 20(9) , s. 1441-1456. Doi: https://doi.org/10.1080/14697688.2020.1733059 - Fulltekst i vitenarkiv
Krecar, Nikola; Benth, Fred Espen & Gubina, Andrej (2020)
IEEE Transactions on Power Systems, 35(2) , s. 1085-1098. Doi: https://doi.org/10.1109/TPWRS.2019.2938423 - Fulltekst i vitenarkiv
Benth, Fred Espen; Detering, Nils & Krühner, Paul (2020)
Stochastics: An International Journal of Probability and Stochastic Processes, Doi: https://doi.org/10.1080/17442508.2020.1802458 - Fulltekst i vitenarkiv
Benth, Fred Espen; Khedher, Asma & Vanmaele, Michèle (2020)
Risks, 8(1) Doi: https://doi.org/10.3390/risks8010008 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eikeset, Anne Maria, Levin, Simon A. & Ren, Wanjuan (2020)
Journal of Commodity Markets, , s. 1-13. Doi: https://doi.org/10.1016/j.jcomm.2019.100122 - Fulltekst i vitenarkiv
Kremer, Marcel; Benth, Fred Espen, Felten, Björn & Kiesel, Rüdiger (2020)
International Journal of Theoretical and Applied Finance, 23(4) Doi: https://doi.org/10.1142/S0219024920500272
Christensen, Troels Sønderby & Benth, Fred Espen (2020)
Quantitative finance (Print), 20(9) , s. 1441-1456. Doi: https://doi.org/10.1080/14697688.2020.1733059 - Fulltekst i vitenarkiv
Krecar, Nikola; Benth, Fred Espen & Gubina, Andrej (2020)
IEEE Transactions on Power Systems, 35(2) , s. 1085-1098. Doi: https://doi.org/10.1109/TPWRS.2019.2938423 - Fulltekst i vitenarkiv
Benth, Fred Espen; Piccirilli, Marco & Vargiolu, Tiziano (2019)
Mathematics and Financial Economics, 13(4) , s. 543-577. Doi: https://doi.org/10.1007/s11579-019-00237-x - Fulltekst i vitenarkiv
Benth, Fred Espen & Rohde, Victor (2019)
Journal of Mathematical Analysis and Applications, 476(1) , s. 196-214. Doi: https://doi.org/10.1016/j.jmaa.2018.12.055 - Fulltekst i vitenarkiv
Benth, Fred Espen; Piccirilli, Marco & Vargiolu, Tiziano (2019)
Mathematics and Financial Economics, 13(4) , s. 543-577. Doi: https://doi.org/10.1007/s11579-019-00237-x - Fulltekst i vitenarkiv
Benth, Fred Espen & Rohde, Victor (2019)
Journal of Mathematical Analysis and Applications, 476(1) , s. 196-214. Doi: https://doi.org/10.1016/j.jmaa.2018.12.055 - Fulltekst i vitenarkiv
Benth, Fred Espen; Piccirilli, Marco & Vargiolu, Tiziano (2019)
Mathematics and Financial Economics, 13(4) , s. 543-577. Doi: https://doi.org/10.1007/s11579-019-00237-x - Fulltekst i vitenarkiv
Benth, Fred Espen & Rohde, Victor (2019)
Journal of Mathematical Analysis and Applications, 476(1) , s. 196-214. Doi: https://doi.org/10.1016/j.jmaa.2018.12.055 - Fulltekst i vitenarkiv
Benth, Fred Espen; Piccirilli, Marco & Vargiolu, Tiziano (2019)
Mathematics and Financial Economics, 13(4) , s. 543-577. Doi: https://doi.org/10.1007/s11579-019-00237-x - Fulltekst i vitenarkiv
Benth, Fred Espen & Rohde, Victor (2019)
Journal of Mathematical Analysis and Applications, 476(1) , s. 196-214. Doi: https://doi.org/10.1016/j.jmaa.2018.12.055 - Fulltekst i vitenarkiv
Benth, Fred Espen; Piccirilli, Marco & Vargiolu, Tiziano (2019)
Mathematics and Financial Economics, 13(4) , s. 543-577. Doi: https://doi.org/10.1007/s11579-019-00237-x - Fulltekst i vitenarkiv
Benth, Fred Espen & Rohde, Victor (2019)
Journal of Mathematical Analysis and Applications, 476(1) , s. 196-214. Doi: https://doi.org/10.1016/j.jmaa.2018.12.055 - Fulltekst i vitenarkiv
Benth, Fred Espen & Pircalabu, Anca (2018)
Applied Mathematical Finance, 25(1) , s. 36-65. Doi: https://doi.org/10.1080/1350486X.2018.1438904 - Fulltekst i vitenarkiv
Benth, Fred Espen & Simonsen, Iben Cathrine (2018)
Stochastic Analysis and Applications, 36(4) , s. 733-750. Doi: https://doi.org/10.1080/07362994.2018.1461566 - Fulltekst i vitenarkiv
Benth, Fred Espen; Ruediger, Barbara & Suess, Andre (2018)
Stochastic Processes and their Applications, 128(2) , s. 461-486. Doi: https://doi.org/10.1016/j.spa.2017.05.005 - Fulltekst i vitenarkiv
Benth, Fred Espen & Suss, Andre (2018)
Mathematics and Financial Economics, 13(1) , s. 87-114. Doi: https://doi.org/10.1007/s11579-018-0221-8
Ådland, Roar Os; Benth, Fred Espen & Koekebakker, Steen (2018)
Transportation Research Part E: Logistics and Transportation Review, 113, s. 194-221. Doi: https://doi.org/10.1016/j.tre.2017.10.014 - Fulltekst i vitenarkiv
In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market factor and stationary regional deviations. The resulting integrated CAR process is new to the literature. By interpreting the common market factor as the global arithmetic average of the regional rates, both the market factor and the regional deviations are observable which simplifies the calibration of the model. Moreover, forward contracts on the market factor can be traded in the Forward Freight Agreement (FFA) market. We calibrate the model to historical spot rate processes and illustrate the term structures of volatility and correlation between the regional prices and the market factor. Our model is an important contribution towards improved modelling and hedging of regional price risk when derivative market liquidity is concentrated in a single global benchmark.
Benth, Fred Espen & Suss, Andre (2018)
Computation and Combinatorics in Dynamics, Stochastics and Control, , s. 297-320. Doi: https://doi.org/10.1007/978-3-030-01593-0_11
Benth, Fred Espen & Krühner, Paul (2018)
Finance and Stochastics, 22(2) , s. 327-366. Doi: https://doi.org/10.1007/s00780-018-0355-9 - Fulltekst i vitenarkiv
Benth, Fred Espen; Persio, Luca Di & Lavagnini, Silvia (2018)
Risks, 6(2) Doi: https://doi.org/10.3390/risks6020056 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2018)
Springer Nature
Benth, Fred Espen & Pircalabu, Anca (2018)
Applied Mathematical Finance, 25(1) , s. 36-65. Doi: https://doi.org/10.1080/1350486X.2018.1438904 - Fulltekst i vitenarkiv
Benth, Fred Espen & Simonsen, Iben Cathrine (2018)
Stochastic Analysis and Applications, 36(4) , s. 733-750. Doi: https://doi.org/10.1080/07362994.2018.1461566 - Fulltekst i vitenarkiv
Benth, Fred Espen; Ruediger, Barbara & Suess, Andre (2018)
Stochastic Processes and their Applications, 128(2) , s. 461-486. Doi: https://doi.org/10.1016/j.spa.2017.05.005 - Fulltekst i vitenarkiv
Benth, Fred Espen & Suss, Andre (2018)
Mathematics and Financial Economics, 13(1) , s. 87-114. Doi: https://doi.org/10.1007/s11579-018-0221-8
Ådland, Roar Os; Benth, Fred Espen & Koekebakker, Steen (2018)
Transportation Research Part E: Logistics and Transportation Review, 113, s. 194-221. Doi: https://doi.org/10.1016/j.tre.2017.10.014 - Fulltekst i vitenarkiv
In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market factor and stationary regional deviations. The resulting integrated CAR process is new to the literature. By interpreting the common market factor as the global arithmetic average of the regional rates, both the market factor and the regional deviations are observable which simplifies the calibration of the model. Moreover, forward contracts on the market factor can be traded in the Forward Freight Agreement (FFA) market. We calibrate the model to historical spot rate processes and illustrate the term structures of volatility and correlation between the regional prices and the market factor. Our model is an important contribution towards improved modelling and hedging of regional price risk when derivative market liquidity is concentrated in a single global benchmark.
Benth, Fred Espen & Suss, Andre (2018)
Computation and Combinatorics in Dynamics, Stochastics and Control, , s. 297-320. Doi: https://doi.org/10.1007/978-3-030-01593-0_11
Benth, Fred Espen & Krühner, Paul (2018)
Finance and Stochastics, 22(2) , s. 327-366. Doi: https://doi.org/10.1007/s00780-018-0355-9 - Fulltekst i vitenarkiv
Benth, Fred Espen; Persio, Luca Di & Lavagnini, Silvia (2018)
Risks, 6(2) Doi: https://doi.org/10.3390/risks6020056 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2018)
Springer Nature
Benth, Fred Espen & Pircalabu, Anca (2018)
Applied Mathematical Finance, 25(1) , s. 36-65. Doi: https://doi.org/10.1080/1350486X.2018.1438904 - Fulltekst i vitenarkiv
Benth, Fred Espen & Simonsen, Iben Cathrine (2018)
Stochastic Analysis and Applications, 36(4) , s. 733-750. Doi: https://doi.org/10.1080/07362994.2018.1461566 - Fulltekst i vitenarkiv
Benth, Fred Espen; Ruediger, Barbara & Suess, Andre (2018)
Stochastic Processes and their Applications, 128(2) , s. 461-486. Doi: https://doi.org/10.1016/j.spa.2017.05.005 - Fulltekst i vitenarkiv
Benth, Fred Espen & Suss, Andre (2018)
Mathematics and Financial Economics, 13(1) , s. 87-114. Doi: https://doi.org/10.1007/s11579-018-0221-8
Ådland, Roar Os; Benth, Fred Espen & Koekebakker, Steen (2018)
Transportation Research Part E: Logistics and Transportation Review, 113, s. 194-221. Doi: https://doi.org/10.1016/j.tre.2017.10.014 - Fulltekst i vitenarkiv
In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market factor and stationary regional deviations. The resulting integrated CAR process is new to the literature. By interpreting the common market factor as the global arithmetic average of the regional rates, both the market factor and the regional deviations are observable which simplifies the calibration of the model. Moreover, forward contracts on the market factor can be traded in the Forward Freight Agreement (FFA) market. We calibrate the model to historical spot rate processes and illustrate the term structures of volatility and correlation between the regional prices and the market factor. Our model is an important contribution towards improved modelling and hedging of regional price risk when derivative market liquidity is concentrated in a single global benchmark.
Benth, Fred Espen & Suss, Andre (2018)
Computation and Combinatorics in Dynamics, Stochastics and Control, , s. 297-320. Doi: https://doi.org/10.1007/978-3-030-01593-0_11
Benth, Fred Espen & Krühner, Paul (2018)
Finance and Stochastics, 22(2) , s. 327-366. Doi: https://doi.org/10.1007/s00780-018-0355-9 - Fulltekst i vitenarkiv
Benth, Fred Espen; Persio, Luca Di & Lavagnini, Silvia (2018)
Risks, 6(2) Doi: https://doi.org/10.3390/risks6020056 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2018)
Springer Nature
Benth, Fred Espen & Pircalabu, Anca (2018)
Applied Mathematical Finance, 25(1) , s. 36-65. Doi: https://doi.org/10.1080/1350486X.2018.1438904 - Fulltekst i vitenarkiv
Benth, Fred Espen & Simonsen, Iben Cathrine (2018)
Stochastic Analysis and Applications, 36(4) , s. 733-750. Doi: https://doi.org/10.1080/07362994.2018.1461566 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2018)
Springer Nature
Benth, Fred Espen; Ruediger, Barbara & Suess, Andre (2018)
Stochastic Processes and their Applications, 128(2) , s. 461-486. Doi: https://doi.org/10.1016/j.spa.2017.05.005 - Fulltekst i vitenarkiv
Benth, Fred Espen & Suss, Andre (2018)
Mathematics and Financial Economics, 13(1) , s. 87-114. Doi: https://doi.org/10.1007/s11579-018-0221-8
Ådland, Roar Os; Benth, Fred Espen & Koekebakker, Steen (2018)
Transportation Research Part E: Logistics and Transportation Review, 113, s. 194-221. Doi: https://doi.org/10.1016/j.tre.2017.10.014 - Fulltekst i vitenarkiv
In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market factor and stationary regional deviations. The resulting integrated CAR process is new to the literature. By interpreting the common market factor as the global arithmetic average of the regional rates, both the market factor and the regional deviations are observable which simplifies the calibration of the model. Moreover, forward contracts on the market factor can be traded in the Forward Freight Agreement (FFA) market. We calibrate the model to historical spot rate processes and illustrate the term structures of volatility and correlation between the regional prices and the market factor. Our model is an important contribution towards improved modelling and hedging of regional price risk when derivative market liquidity is concentrated in a single global benchmark.
Benth, Fred Espen & Suss, Andre (2018)
Computation and Combinatorics in Dynamics, Stochastics and Control, , s. 297-320. Doi: https://doi.org/10.1007/978-3-030-01593-0_11
Benth, Fred Espen & Krühner, Paul (2018)
Finance and Stochastics, 22(2) , s. 327-366. Doi: https://doi.org/10.1007/s00780-018-0355-9 - Fulltekst i vitenarkiv
Benth, Fred Espen; Persio, Luca Di & Lavagnini, Silvia (2018)
Risks, 6(2) Doi: https://doi.org/10.3390/risks6020056 - Fulltekst i vitenarkiv
Benth, Fred Espen & Pircalabu, Anca (2018)
Applied Mathematical Finance, 25(1) , s. 36-65. Doi: https://doi.org/10.1080/1350486X.2018.1438904 - Fulltekst i vitenarkiv
Benth, Fred Espen & Simonsen, Iben Cathrine (2018)
Stochastic Analysis and Applications, 36(4) , s. 733-750. Doi: https://doi.org/10.1080/07362994.2018.1461566 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2018)
Springer Nature
Benth, Fred Espen; Ruediger, Barbara & Suess, Andre (2018)
Stochastic Processes and their Applications, 128(2) , s. 461-486. Doi: https://doi.org/10.1016/j.spa.2017.05.005 - Fulltekst i vitenarkiv
Benth, Fred Espen & Suss, Andre (2018)
Mathematics and Financial Economics, 13(1) , s. 87-114. Doi: https://doi.org/10.1007/s11579-018-0221-8
Ådland, Roar Os; Benth, Fred Espen & Koekebakker, Steen (2018)
Transportation Research Part E: Logistics and Transportation Review, 113, s. 194-221. Doi: https://doi.org/10.1016/j.tre.2017.10.014 - Fulltekst i vitenarkiv
In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market factor and stationary regional deviations. The resulting integrated CAR process is new to the literature. By interpreting the common market factor as the global arithmetic average of the regional rates, both the market factor and the regional deviations are observable which simplifies the calibration of the model. Moreover, forward contracts on the market factor can be traded in the Forward Freight Agreement (FFA) market. We calibrate the model to historical spot rate processes and illustrate the term structures of volatility and correlation between the regional prices and the market factor. Our model is an important contribution towards improved modelling and hedging of regional price risk when derivative market liquidity is concentrated in a single global benchmark.
Benth, Fred Espen & Suss, Andre (2018)
Computation and Combinatorics in Dynamics, Stochastics and Control, , s. 297-320. Doi: https://doi.org/10.1007/978-3-030-01593-0_11
Benth, Fred Espen & Krühner, Paul (2018)
Finance and Stochastics, 22(2) , s. 327-366. Doi: https://doi.org/10.1007/s00780-018-0355-9 - Fulltekst i vitenarkiv
Benth, Fred Espen; Persio, Luca Di & Lavagnini, Silvia (2018)
Risks, 6(2) Doi: https://doi.org/10.3390/risks6020056 - Fulltekst i vitenarkiv
Benth, Fred Espen & Ortiz-Latorre, Salvador (2017)
Journal of Energy Markets, 10(1) , s. 1-25. Doi: https://doi.org/10.21314/jem.2017.157
Benth, Fred Espen & Eyjolfsson, Heidar (2017)
Stochastics: An International Journal of Probability and Stochastic Processes, 89(1) , s. 311-347. Doi: https://doi.org/10.1080/17442508.2016.1177057 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017)
Real Options in Energy and Commodity Markets, , s. 63-115. Doi: https://doi.org/10.1142/9789813149410_0003 - Fulltekst i vitenarkiv
We conduct an empirical investigation of the logreturns of the futures prices of the European Union Emission Trading System emission certificates traded in the Nord Pool market between 2005 and 2013. We observe heaviness, skewness, and high kurtosis of these logreturns. We thus propose modeling the futures logprices using the Barndorff-Nielsen and Shephard (BNS) or the Heston stochastic volatility models.We carry out an empirical comparison between the performances of these models and investigate their stationary autocorrelation structure. In particular, as a consequence of allowing for skewness in the Heston model, we find analytical expressions for the autocorrelation function of the logreturns and their squares. Our analysis indicates the presence of short-range dependence in the observed futures logprice returns. We conclude that the BNS model better describes the empirical features of the observed futures prices than the Heston model. Our findings have relevance for the real option modeling of fossil-fueled power plants when considering emission costs.
Pircalabu, Anca & Benth, Fred Espen (2017)
Energy Economics, 68, s. 283-302. Doi: https://doi.org/10.1016/j.eneco.2017.10.008 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017)
Journal of Energy Markets, 10(2) , s. 1-39. Doi: https://doi.org/10.21314/JEM.2017.159 - Fulltekst i vitenarkiv
We propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account the production rate of renewable energy from a “typical” plant, the price of TGCs and the cumulative amount of certificates sold.We assume that the production rate has a dynamics given by an exponential Ornstein–Uhlenbeck process, and the logarithmic TGC price has a dynamics given by a Lévy process. For this class of dynamics, we find optimal decision rules for the state variables and a closed-form solution to the control problem. A case study of ICAP prices and wind production data from Denmark backs up our model choice and shows the relevance of this pricing approach.
Benth, Fred Espen & Ibrahim, Noor Adilah (2017)
Journal of Energy Markets, 10(3) , s. 1-33. Doi: https://doi.org/10.21314/JEM.2017.164 - Fulltekst i vitenarkiv
Benth, Fred Espen & Paraschiv, Florentina (2017)
Journal of Banking & Finance, 95, s. 203-216. Doi: https://doi.org/10.1016/j.jbankfin.2017.03.018 - Fulltekst i vitenarkiv
Stochastic models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we derive a spatio-temporal dynamical model based on the Heath-Jarrow-Morton (HJM) approach under the Musiela parametrization, which ensures an arbitrage-free model for electricity forward prices. The model is fitted to a unique data set of historical price forward curves. As a particular feature of the model, we disentangle the temporal from spatial (maturity) effects on the dynamics of forward prices, and shed light on the statistical properties of risk premia, of the noise volatility term structure and of the spatio-temporal noise correlation structures. We find that the short-term risk premia oscillates around zero, but becomes negative in the long run. We identify the Samuelson effect in the volatility term structure and volatility bumps, explained by market fundamentals. Furthermore we find evidence for coloured noise and correlated residuals, which we model by a Hilbert space-valued normal inverse Gaussian Lévy process with a suitable covariance functional. (Best Energy Paper Award, ECOMFIN 2016, Paris)
Benth, Fred Espen & Ortiz-Latorre, Salvador (2017)
Journal of Energy Markets, 10(1) , s. 1-25. Doi: https://doi.org/10.21314/jem.2017.157
Benth, Fred Espen & Eyjolfsson, Heidar (2017)
Stochastics: An International Journal of Probability and Stochastic Processes, 89(1) , s. 311-347. Doi: https://doi.org/10.1080/17442508.2016.1177057 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017)
Real Options in Energy and Commodity Markets, , s. 63-115. Doi: https://doi.org/10.1142/9789813149410_0003 - Fulltekst i vitenarkiv
We conduct an empirical investigation of the logreturns of the futures prices of the European Union Emission Trading System emission certificates traded in the Nord Pool market between 2005 and 2013. We observe heaviness, skewness, and high kurtosis of these logreturns. We thus propose modeling the futures logprices using the Barndorff-Nielsen and Shephard (BNS) or the Heston stochastic volatility models.We carry out an empirical comparison between the performances of these models and investigate their stationary autocorrelation structure. In particular, as a consequence of allowing for skewness in the Heston model, we find analytical expressions for the autocorrelation function of the logreturns and their squares. Our analysis indicates the presence of short-range dependence in the observed futures logprice returns. We conclude that the BNS model better describes the empirical features of the observed futures prices than the Heston model. Our findings have relevance for the real option modeling of fossil-fueled power plants when considering emission costs.
Pircalabu, Anca & Benth, Fred Espen (2017)
Energy Economics, 68, s. 283-302. Doi: https://doi.org/10.1016/j.eneco.2017.10.008 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017)
Journal of Energy Markets, 10(2) , s. 1-39. Doi: https://doi.org/10.21314/JEM.2017.159 - Fulltekst i vitenarkiv
We propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account the production rate of renewable energy from a “typical” plant, the price of TGCs and the cumulative amount of certificates sold.We assume that the production rate has a dynamics given by an exponential Ornstein–Uhlenbeck process, and the logarithmic TGC price has a dynamics given by a Lévy process. For this class of dynamics, we find optimal decision rules for the state variables and a closed-form solution to the control problem. A case study of ICAP prices and wind production data from Denmark backs up our model choice and shows the relevance of this pricing approach.
Benth, Fred Espen & Ibrahim, Noor Adilah (2017)
Journal of Energy Markets, 10(3) , s. 1-33. Doi: https://doi.org/10.21314/JEM.2017.164 - Fulltekst i vitenarkiv
Benth, Fred Espen & Paraschiv, Florentina (2017)
Journal of Banking & Finance, 95, s. 203-216. Doi: https://doi.org/10.1016/j.jbankfin.2017.03.018 - Fulltekst i vitenarkiv
Stochastic models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we derive a spatio-temporal dynamical model based on the Heath-Jarrow-Morton (HJM) approach under the Musiela parametrization, which ensures an arbitrage-free model for electricity forward prices. The model is fitted to a unique data set of historical price forward curves. As a particular feature of the model, we disentangle the temporal from spatial (maturity) effects on the dynamics of forward prices, and shed light on the statistical properties of risk premia, of the noise volatility term structure and of the spatio-temporal noise correlation structures. We find that the short-term risk premia oscillates around zero, but becomes negative in the long run. We identify the Samuelson effect in the volatility term structure and volatility bumps, explained by market fundamentals. Furthermore we find evidence for coloured noise and correlated residuals, which we model by a Hilbert space-valued normal inverse Gaussian Lévy process with a suitable covariance functional. (Best Energy Paper Award, ECOMFIN 2016, Paris)
Benth, Fred Espen & Ortiz-Latorre, Salvador (2017)
Journal of Energy Markets, 10(1) , s. 1-25. Doi: https://doi.org/10.21314/jem.2017.157
Benth, Fred Espen & Eyjolfsson, Heidar (2017)
Stochastics: An International Journal of Probability and Stochastic Processes, 89(1) , s. 311-347. Doi: https://doi.org/10.1080/17442508.2016.1177057 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017)
Real Options in Energy and Commodity Markets, , s. 63-115. Doi: https://doi.org/10.1142/9789813149410_0003 - Fulltekst i vitenarkiv
We conduct an empirical investigation of the logreturns of the futures prices of the European Union Emission Trading System emission certificates traded in the Nord Pool market between 2005 and 2013. We observe heaviness, skewness, and high kurtosis of these logreturns. We thus propose modeling the futures logprices using the Barndorff-Nielsen and Shephard (BNS) or the Heston stochastic volatility models.We carry out an empirical comparison between the performances of these models and investigate their stationary autocorrelation structure. In particular, as a consequence of allowing for skewness in the Heston model, we find analytical expressions for the autocorrelation function of the logreturns and their squares. Our analysis indicates the presence of short-range dependence in the observed futures logprice returns. We conclude that the BNS model better describes the empirical features of the observed futures prices than the Heston model. Our findings have relevance for the real option modeling of fossil-fueled power plants when considering emission costs.
Pircalabu, Anca & Benth, Fred Espen (2017)
Energy Economics, 68, s. 283-302. Doi: https://doi.org/10.1016/j.eneco.2017.10.008 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017)
Journal of Energy Markets, 10(2) , s. 1-39. Doi: https://doi.org/10.21314/JEM.2017.159 - Fulltekst i vitenarkiv
We propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account the production rate of renewable energy from a “typical” plant, the price of TGCs and the cumulative amount of certificates sold.We assume that the production rate has a dynamics given by an exponential Ornstein–Uhlenbeck process, and the logarithmic TGC price has a dynamics given by a Lévy process. For this class of dynamics, we find optimal decision rules for the state variables and a closed-form solution to the control problem. A case study of ICAP prices and wind production data from Denmark backs up our model choice and shows the relevance of this pricing approach.
Benth, Fred Espen & Ibrahim, Noor Adilah (2017)
Journal of Energy Markets, 10(3) , s. 1-33. Doi: https://doi.org/10.21314/JEM.2017.164 - Fulltekst i vitenarkiv
Benth, Fred Espen & Paraschiv, Florentina (2017)
Journal of Banking & Finance, 95, s. 203-216. Doi: https://doi.org/10.1016/j.jbankfin.2017.03.018 - Fulltekst i vitenarkiv
Stochastic models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we derive a spatio-temporal dynamical model based on the Heath-Jarrow-Morton (HJM) approach under the Musiela parametrization, which ensures an arbitrage-free model for electricity forward prices. The model is fitted to a unique data set of historical price forward curves. As a particular feature of the model, we disentangle the temporal from spatial (maturity) effects on the dynamics of forward prices, and shed light on the statistical properties of risk premia, of the noise volatility term structure and of the spatio-temporal noise correlation structures. We find that the short-term risk premia oscillates around zero, but becomes negative in the long run. We identify the Samuelson effect in the volatility term structure and volatility bumps, explained by market fundamentals. Furthermore we find evidence for coloured noise and correlated residuals, which we model by a Hilbert space-valued normal inverse Gaussian Lévy process with a suitable covariance functional. (Best Energy Paper Award, ECOMFIN 2016, Paris)
Benth, Fred Espen & Ortiz-Latorre, Salvador (2017)
Journal of Energy Markets, 10(1) , s. 1-25. Doi: https://doi.org/10.21314/jem.2017.157
Benth, Fred Espen & Eyjolfsson, Heidar (2017)
Stochastics: An International Journal of Probability and Stochastic Processes, 89(1) , s. 311-347. Doi: https://doi.org/10.1080/17442508.2016.1177057 - Fulltekst i vitenarkiv
Benth, Fred Espen & Paraschiv, Florentina (2017)
Journal of Banking & Finance, 95, s. 203-216. Doi: https://doi.org/10.1016/j.jbankfin.2017.03.018 - Fulltekst i vitenarkiv
Stochastic models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we derive a spatio-temporal dynamical model based on the Heath-Jarrow-Morton (HJM) approach under the Musiela parametrization, which ensures an arbitrage-free model for electricity forward prices. The model is fitted to a unique data set of historical price forward curves. As a particular feature of the model, we disentangle the temporal from spatial (maturity) effects on the dynamics of forward prices, and shed light on the statistical properties of risk premia, of the noise volatility term structure and of the spatio-temporal noise correlation structures. We find that the short-term risk premia oscillates around zero, but becomes negative in the long run. We identify the Samuelson effect in the volatility term structure and volatility bumps, explained by market fundamentals. Furthermore we find evidence for coloured noise and correlated residuals, which we model by a Hilbert space-valued normal inverse Gaussian Lévy process with a suitable covariance functional. (Best Energy Paper Award, ECOMFIN 2016, Paris)
Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017)
Real Options in Energy and Commodity Markets, , s. 63-115. Doi: https://doi.org/10.1142/9789813149410_0003 - Fulltekst i vitenarkiv
We conduct an empirical investigation of the logreturns of the futures prices of the European Union Emission Trading System emission certificates traded in the Nord Pool market between 2005 and 2013. We observe heaviness, skewness, and high kurtosis of these logreturns. We thus propose modeling the futures logprices using the Barndorff-Nielsen and Shephard (BNS) or the Heston stochastic volatility models.We carry out an empirical comparison between the performances of these models and investigate their stationary autocorrelation structure. In particular, as a consequence of allowing for skewness in the Heston model, we find analytical expressions for the autocorrelation function of the logreturns and their squares. Our analysis indicates the presence of short-range dependence in the observed futures logprice returns. We conclude that the BNS model better describes the empirical features of the observed futures prices than the Heston model. Our findings have relevance for the real option modeling of fossil-fueled power plants when considering emission costs.
Pircalabu, Anca & Benth, Fred Espen (2017)
Energy Economics, 68, s. 283-302. Doi: https://doi.org/10.1016/j.eneco.2017.10.008 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017)
Journal of Energy Markets, 10(2) , s. 1-39. Doi: https://doi.org/10.21314/JEM.2017.159 - Fulltekst i vitenarkiv
We propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account the production rate of renewable energy from a “typical” plant, the price of TGCs and the cumulative amount of certificates sold.We assume that the production rate has a dynamics given by an exponential Ornstein–Uhlenbeck process, and the logarithmic TGC price has a dynamics given by a Lévy process. For this class of dynamics, we find optimal decision rules for the state variables and a closed-form solution to the control problem. A case study of ICAP prices and wind production data from Denmark backs up our model choice and shows the relevance of this pricing approach.
Benth, Fred Espen & Ibrahim, Noor Adilah (2017)
Journal of Energy Markets, 10(3) , s. 1-33. Doi: https://doi.org/10.21314/JEM.2017.164 - Fulltekst i vitenarkiv
Benth, Fred Espen & Ortiz-Latorre, Salvador (2017)
Journal of Energy Markets, 10(1) , s. 1-25. Doi: https://doi.org/10.21314/jem.2017.157
Benth, Fred Espen & Eyjolfsson, Heidar (2017)
Stochastics: An International Journal of Probability and Stochastic Processes, 89(1) , s. 311-347. Doi: https://doi.org/10.1080/17442508.2016.1177057 - Fulltekst i vitenarkiv
Benth, Fred Espen & Paraschiv, Florentina (2017)
Journal of Banking & Finance, 95, s. 203-216. Doi: https://doi.org/10.1016/j.jbankfin.2017.03.018 - Fulltekst i vitenarkiv
Stochastic models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we derive a spatio-temporal dynamical model based on the Heath-Jarrow-Morton (HJM) approach under the Musiela parametrization, which ensures an arbitrage-free model for electricity forward prices. The model is fitted to a unique data set of historical price forward curves. As a particular feature of the model, we disentangle the temporal from spatial (maturity) effects on the dynamics of forward prices, and shed light on the statistical properties of risk premia, of the noise volatility term structure and of the spatio-temporal noise correlation structures. We find that the short-term risk premia oscillates around zero, but becomes negative in the long run. We identify the Samuelson effect in the volatility term structure and volatility bumps, explained by market fundamentals. Furthermore we find evidence for coloured noise and correlated residuals, which we model by a Hilbert space-valued normal inverse Gaussian Lévy process with a suitable covariance functional. (Best Energy Paper Award, ECOMFIN 2016, Paris)
Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017)
Real Options in Energy and Commodity Markets, , s. 63-115. Doi: https://doi.org/10.1142/9789813149410_0003 - Fulltekst i vitenarkiv
We conduct an empirical investigation of the logreturns of the futures prices of the European Union Emission Trading System emission certificates traded in the Nord Pool market between 2005 and 2013. We observe heaviness, skewness, and high kurtosis of these logreturns. We thus propose modeling the futures logprices using the Barndorff-Nielsen and Shephard (BNS) or the Heston stochastic volatility models.We carry out an empirical comparison between the performances of these models and investigate their stationary autocorrelation structure. In particular, as a consequence of allowing for skewness in the Heston model, we find analytical expressions for the autocorrelation function of the logreturns and their squares. Our analysis indicates the presence of short-range dependence in the observed futures logprice returns. We conclude that the BNS model better describes the empirical features of the observed futures prices than the Heston model. Our findings have relevance for the real option modeling of fossil-fueled power plants when considering emission costs.
Pircalabu, Anca & Benth, Fred Espen (2017)
Energy Economics, 68, s. 283-302. Doi: https://doi.org/10.1016/j.eneco.2017.10.008 - Fulltekst i vitenarkiv
Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017)
Journal of Energy Markets, 10(2) , s. 1-39. Doi: https://doi.org/10.21314/JEM.2017.159 - Fulltekst i vitenarkiv
We propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account the production rate of renewable energy from a “typical” plant, the price of TGCs and the cumulative amount of certificates sold.We assume that the production rate has a dynamics given by an exponential Ornstein–Uhlenbeck process, and the logarithmic TGC price has a dynamics given by a Lévy process. For this class of dynamics, we find optimal decision rules for the state variables and a closed-form solution to the control problem. A case study of ICAP prices and wind production data from Denmark backs up our model choice and shows the relevance of this pricing approach.
Benth, Fred Espen & Ibrahim, Noor Adilah (2017)
Journal of Energy Markets, 10(3) , s. 1-33. Doi: https://doi.org/10.21314/JEM.2017.164 - Fulltekst i vitenarkiv
Benth, Fred Espen (2016)
Advanced Modelling in Mathematical Finance, , s. 477-496. Doi: https://doi.org/10.1007/978-3-319-45875-5_20
Benth, Fred Espen & Nunno, Giulia Di (2016)
Springer Science+Business Media B.V.
Benth, Fred Espen & Khedher, Asma (2016)
The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen, , s. 153-189. Doi: https://doi.org/10.1007/978-3-319-25826-3_8
Benth, Fred Espen & Zdanowicz, Hanna Marta (2016)
International Journal of Theoretical and Applied Finance, 19(1) Doi: https://doi.org/10.1142/S0219024916500023
Benth, Fred Espen & Suess, Andre (2016)
Bernoulli, 22(3) , s. 1383-1430. Doi: https://doi.org/10.3150/15-BEJ696 - Fulltekst i vitenarkiv
Benth, Fred Espen & Koekebakker, Steen (2016)
Maritime Economics & Logistics, 18(4) , s. 391-413. Doi: https://doi.org/10.1057/mel.2015.22
Benth, Fred Espen & Eyjolfsson, Heidar (2016)
Bernoulli, 22(2) , s. 774-793. Doi: https://doi.org/10.3150/14-BEJ675
Benth, Fred Espen (2016)
Advanced Modelling in Mathematical Finance, , s. 477-496. Doi: https://doi.org/10.1007/978-3-319-45875-5_20
Benth, Fred Espen & Nunno, Giulia Di (2016)
Springer Science+Business Media B.V.
Benth, Fred Espen & Khedher, Asma (2016)
The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen, , s. 153-189. Doi: https://doi.org/10.1007/978-3-319-25826-3_8
Benth, Fred Espen & Zdanowicz, Hanna Marta (2016)
International Journal of Theoretical and Applied Finance, 19(1) Doi: https://doi.org/10.1142/S0219024916500023
Benth, Fred Espen & Suess, Andre (2016)
Bernoulli, 22(3) , s. 1383-1430. Doi: https://doi.org/10.3150/15-BEJ696 - Fulltekst i vitenarkiv
Benth, Fred Espen & Koekebakker, Steen (2016)
Maritime Economics & Logistics, 18(4) , s. 391-413. Doi: https://doi.org/10.1057/mel.2015.22
Benth, Fred Espen & Eyjolfsson, Heidar (2016)
Bernoulli, 22(2) , s. 774-793. Doi: https://doi.org/10.3150/14-BEJ675
Benth, Fred Espen (2016)
Advanced Modelling in Mathematical Finance, , s. 477-496. Doi: https://doi.org/10.1007/978-3-319-45875-5_20
Benth, Fred Espen & Nunno, Giulia Di (2016)
Springer Science+Business Media B.V.
Benth, Fred Espen & Khedher, Asma (2016)
The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen, , s. 153-189. Doi: https://doi.org/10.1007/978-3-319-25826-3_8
Benth, Fred Espen & Zdanowicz, Hanna Marta (2016)
International Journal of Theoretical and Applied Finance, 19(1) Doi: https://doi.org/10.1142/S0219024916500023
Benth, Fred Espen & Suess, Andre (2016)
Bernoulli, 22(3) , s. 1383-1430. Doi: https://doi.org/10.3150/15-BEJ696 - Fulltekst i vitenarkiv
Benth, Fred Espen & Koekebakker, Steen (2016)
Maritime Economics & Logistics, 18(4) , s. 391-413. Doi: https://doi.org/10.1057/mel.2015.22
Benth, Fred Espen & Eyjolfsson, Heidar (2016)
Bernoulli, 22(2) , s. 774-793. Doi: https://doi.org/10.3150/14-BEJ675
Benth, Fred Espen (2016)
Advanced Modelling in Mathematical Finance, , s. 477-496. Doi: https://doi.org/10.1007/978-3-319-45875-5_20
Benth, Fred Espen & Koekebakker, Steen (2016)
Maritime Economics & Logistics, 18(4) , s. 391-413. Doi: https://doi.org/10.1057/mel.2015.22
Benth, Fred Espen & Eyjolfsson, Heidar (2016)
Bernoulli, 22(2) , s. 774-793. Doi: https://doi.org/10.3150/14-BEJ675
Benth, Fred Espen & Nunno, Giulia Di (2016)
Springer Science+Business Media B.V.
Benth, Fred Espen & Khedher, Asma (2016)
The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen, , s. 153-189. Doi: https://doi.org/10.1007/978-3-319-25826-3_8
Benth, Fred Espen & Zdanowicz, Hanna Marta (2016)
International Journal of Theoretical and Applied Finance, 19(1) Doi: https://doi.org/10.1142/S0219024916500023
Benth, Fred Espen & Suess, Andre (2016)
Bernoulli, 22(3) , s. 1383-1430. Doi: https://doi.org/10.3150/15-BEJ696 - Fulltekst i vitenarkiv
Benth, Fred Espen (2016)
Advanced Modelling in Mathematical Finance, , s. 477-496. Doi: https://doi.org/10.1007/978-3-319-45875-5_20
Benth, Fred Espen & Koekebakker, Steen (2016)
Maritime Economics & Logistics, 18(4) , s. 391-413. Doi: https://doi.org/10.1057/mel.2015.22
Benth, Fred Espen & Eyjolfsson, Heidar (2016)
Bernoulli, 22(2) , s. 774-793. Doi: https://doi.org/10.3150/14-BEJ675
Benth, Fred Espen & Nunno, Giulia Di (2016)
Springer Science+Business Media B.V.
Benth, Fred Espen & Khedher, Asma (2016)
The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen, , s. 153-189. Doi: https://doi.org/10.1007/978-3-319-25826-3_8
Benth, Fred Espen & Zdanowicz, Hanna Marta (2016)
International Journal of Theoretical and Applied Finance, 19(1) Doi: https://doi.org/10.1142/S0219024916500023
Benth, Fred Espen & Suess, Andre (2016)
Bernoulli, 22(3) , s. 1383-1430. Doi: https://doi.org/10.3150/15-BEJ696 - Fulltekst i vitenarkiv
Benth, Fred Espen & Zdanowicz, Hanna Marta (2015)
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, , s. 801-825. Doi: https://doi.org/10.1002/9781119011590.ch17
Benth, Fred Espen & Ortiz-Latorre, Salvador (2015)
International Journal of Theoretical and Applied Finance, 18(6) Doi: https://doi.org/10.1142/S0219024915500387 - Fulltekst i vitenarkiv
Benth, Fred Espen & Blanco, Sara Anna Solanilla (2015)
International Journal of Theoretical and Applied Finance, 18(2) Doi: https://doi.org/10.1142/S0219024915500107
Benth, Fred Espen & Detering, Nils (2015)
Finance and Stochastics, 19(4) , s. 849-889. Doi: https://doi.org/10.1007/s00780-015-0270-2 - Fulltekst i vitenarkiv
Benth, Fred Espen; Koekebakker, Steen & Taib, Che Mohd Imran Che (2015)
IMA Journal of Management Mathematics, 26(3) , s. 273-297. Doi: https://doi.org/10.1093/imaman/dpu001
Benth, Fred Espen & Krühner, Paul (2015)
SIAM Journal on Financial Mathematics, 6(1) , s. 825-869. Doi: https://doi.org/10.1137/15100268X - Fulltekst i vitenarkiv
Benth, Fred Espen & Blanco, Sara Ana Solanilla (2015)
Journal of Energy Markets, 18(4) , s. 69-92. Doi: https://doi.org/10.21314/jem.2015.133
Benth, Fred Espen & Krühner, Paul (2015)
Stochastics: An International Journal of Probability and Stochastic Processes, 87(3) , s. 458-476. Doi: https://doi.org/10.1080/17442508.2014.966826 - Fulltekst i vitenarkiv
Benth, Fred Espen & Koekebakker, Steen (2015)
Energy Economics, 52, s. 104-117. Doi: https://doi.org/10.1016/j.eneco.2015.09.009 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2015)
Fields Institute Communications, 74, s. 109-148. Doi: https://doi.org/10.1007/978-1-4939-2733-3_5
Benth, Fred Espen; Lange, Nina & Myklebust, Tor Åge (2015)
Journal of Energy Markets, 8(1) , s. 1-35. Doi: https://doi.org/10.21314/jem.2015.130
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2015)
Applied Mathematical Finance, 22(1) , s. 28-62. Doi: https://doi.org/10.1080/1350486X.2014.948708
Benth, Fred Espen & Zdanowicz, Hanna Marta (2015)
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, , s. 801-825. Doi: https://doi.org/10.1002/9781119011590.ch17
Benth, Fred Espen & Ortiz-Latorre, Salvador (2015)
International Journal of Theoretical and Applied Finance, 18(6) Doi: https://doi.org/10.1142/S0219024915500387 - Fulltekst i vitenarkiv
Benth, Fred Espen & Blanco, Sara Anna Solanilla (2015)
International Journal of Theoretical and Applied Finance, 18(2) Doi: https://doi.org/10.1142/S0219024915500107
Benth, Fred Espen & Detering, Nils (2015)
Finance and Stochastics, 19(4) , s. 849-889. Doi: https://doi.org/10.1007/s00780-015-0270-2 - Fulltekst i vitenarkiv
Benth, Fred Espen; Koekebakker, Steen & Taib, Che Mohd Imran Che (2015)
IMA Journal of Management Mathematics, 26(3) , s. 273-297. Doi: https://doi.org/10.1093/imaman/dpu001
Benth, Fred Espen & Krühner, Paul (2015)
SIAM Journal on Financial Mathematics, 6(1) , s. 825-869. Doi: https://doi.org/10.1137/15100268X - Fulltekst i vitenarkiv
Benth, Fred Espen & Blanco, Sara Ana Solanilla (2015)
Journal of Energy Markets, 18(4) , s. 69-92. Doi: https://doi.org/10.21314/jem.2015.133
Benth, Fred Espen & Krühner, Paul (2015)
Stochastics: An International Journal of Probability and Stochastic Processes, 87(3) , s. 458-476. Doi: https://doi.org/10.1080/17442508.2014.966826 - Fulltekst i vitenarkiv
Benth, Fred Espen & Koekebakker, Steen (2015)
Energy Economics, 52, s. 104-117. Doi: https://doi.org/10.1016/j.eneco.2015.09.009 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2015)
Fields Institute Communications, 74, s. 109-148. Doi: https://doi.org/10.1007/978-1-4939-2733-3_5
Benth, Fred Espen; Lange, Nina & Myklebust, Tor Åge (2015)
Journal of Energy Markets, 8(1) , s. 1-35. Doi: https://doi.org/10.21314/jem.2015.130
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2015)
Applied Mathematical Finance, 22(1) , s. 28-62. Doi: https://doi.org/10.1080/1350486X.2014.948708
Benth, Fred Espen & Zdanowicz, Hanna Marta (2015)
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, , s. 801-825. Doi: https://doi.org/10.1002/9781119011590.ch17
Benth, Fred Espen & Ortiz-Latorre, Salvador (2015)
International Journal of Theoretical and Applied Finance, 18(6) Doi: https://doi.org/10.1142/S0219024915500387 - Fulltekst i vitenarkiv
Benth, Fred Espen & Blanco, Sara Anna Solanilla (2015)
International Journal of Theoretical and Applied Finance, 18(2) Doi: https://doi.org/10.1142/S0219024915500107
Benth, Fred Espen & Detering, Nils (2015)
Finance and Stochastics, 19(4) , s. 849-889. Doi: https://doi.org/10.1007/s00780-015-0270-2 - Fulltekst i vitenarkiv
Benth, Fred Espen; Koekebakker, Steen & Taib, Che Mohd Imran Che (2015)
IMA Journal of Management Mathematics, 26(3) , s. 273-297. Doi: https://doi.org/10.1093/imaman/dpu001
Benth, Fred Espen & Krühner, Paul (2015)
SIAM Journal on Financial Mathematics, 6(1) , s. 825-869. Doi: https://doi.org/10.1137/15100268X - Fulltekst i vitenarkiv
Benth, Fred Espen & Blanco, Sara Ana Solanilla (2015)
Journal of Energy Markets, 18(4) , s. 69-92. Doi: https://doi.org/10.21314/jem.2015.133
Benth, Fred Espen & Krühner, Paul (2015)
Stochastics: An International Journal of Probability and Stochastic Processes, 87(3) , s. 458-476. Doi: https://doi.org/10.1080/17442508.2014.966826 - Fulltekst i vitenarkiv
Benth, Fred Espen & Koekebakker, Steen (2015)
Energy Economics, 52, s. 104-117. Doi: https://doi.org/10.1016/j.eneco.2015.09.009 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2015)
Fields Institute Communications, 74, s. 109-148. Doi: https://doi.org/10.1007/978-1-4939-2733-3_5
Benth, Fred Espen; Lange, Nina & Myklebust, Tor Åge (2015)
Journal of Energy Markets, 8(1) , s. 1-35. Doi: https://doi.org/10.21314/jem.2015.130
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2015)
Applied Mathematical Finance, 22(1) , s. 28-62. Doi: https://doi.org/10.1080/1350486X.2014.948708
Benth, Fred Espen & Zdanowicz, Hanna Marta (2015)
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, , s. 801-825. Doi: https://doi.org/10.1002/9781119011590.ch17
Benth, Fred Espen & Ortiz-Latorre, Salvador (2015)
International Journal of Theoretical and Applied Finance, 18(6) Doi: https://doi.org/10.1142/S0219024915500387 - Fulltekst i vitenarkiv
Benth, Fred Espen & Koekebakker, Steen (2015)
Energy Economics, 52, s. 104-117. Doi: https://doi.org/10.1016/j.eneco.2015.09.009 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2015)
Fields Institute Communications, 74, s. 109-148. Doi: https://doi.org/10.1007/978-1-4939-2733-3_5
Benth, Fred Espen; Lange, Nina & Myklebust, Tor Åge (2015)
Journal of Energy Markets, 8(1) , s. 1-35. Doi: https://doi.org/10.21314/jem.2015.130
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2015)
Applied Mathematical Finance, 22(1) , s. 28-62. Doi: https://doi.org/10.1080/1350486X.2014.948708
Benth, Fred Espen & Blanco, Sara Anna Solanilla (2015)
International Journal of Theoretical and Applied Finance, 18(2) Doi: https://doi.org/10.1142/S0219024915500107
Benth, Fred Espen & Detering, Nils (2015)
Finance and Stochastics, 19(4) , s. 849-889. Doi: https://doi.org/10.1007/s00780-015-0270-2 - Fulltekst i vitenarkiv
Benth, Fred Espen; Koekebakker, Steen & Taib, Che Mohd Imran Che (2015)
IMA Journal of Management Mathematics, 26(3) , s. 273-297. Doi: https://doi.org/10.1093/imaman/dpu001
Benth, Fred Espen & Krühner, Paul (2015)
SIAM Journal on Financial Mathematics, 6(1) , s. 825-869. Doi: https://doi.org/10.1137/15100268X - Fulltekst i vitenarkiv
Benth, Fred Espen & Blanco, Sara Ana Solanilla (2015)
Journal of Energy Markets, 18(4) , s. 69-92. Doi: https://doi.org/10.21314/jem.2015.133
Benth, Fred Espen & Krühner, Paul (2015)
Stochastics: An International Journal of Probability and Stochastic Processes, 87(3) , s. 458-476. Doi: https://doi.org/10.1080/17442508.2014.966826 - Fulltekst i vitenarkiv
Benth, Fred Espen & Zdanowicz, Hanna Marta (2015)
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, , s. 801-825. Doi: https://doi.org/10.1002/9781119011590.ch17
Benth, Fred Espen & Ortiz-Latorre, Salvador (2015)
International Journal of Theoretical and Applied Finance, 18(6) Doi: https://doi.org/10.1142/S0219024915500387 - Fulltekst i vitenarkiv
Benth, Fred Espen & Koekebakker, Steen (2015)
Energy Economics, 52, s. 104-117. Doi: https://doi.org/10.1016/j.eneco.2015.09.009 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2015)
Fields Institute Communications, 74, s. 109-148. Doi: https://doi.org/10.1007/978-1-4939-2733-3_5
Benth, Fred Espen; Lange, Nina & Myklebust, Tor Åge (2015)
Journal of Energy Markets, 8(1) , s. 1-35. Doi: https://doi.org/10.21314/jem.2015.130
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2015)
Applied Mathematical Finance, 22(1) , s. 28-62. Doi: https://doi.org/10.1080/1350486X.2014.948708
Benth, Fred Espen & Blanco, Sara Anna Solanilla (2015)
International Journal of Theoretical and Applied Finance, 18(2) Doi: https://doi.org/10.1142/S0219024915500107
Benth, Fred Espen & Detering, Nils (2015)
Finance and Stochastics, 19(4) , s. 849-889. Doi: https://doi.org/10.1007/s00780-015-0270-2 - Fulltekst i vitenarkiv
Benth, Fred Espen; Koekebakker, Steen & Taib, Che Mohd Imran Che (2015)
IMA Journal of Management Mathematics, 26(3) , s. 273-297. Doi: https://doi.org/10.1093/imaman/dpu001
Benth, Fred Espen & Krühner, Paul (2015)
SIAM Journal on Financial Mathematics, 6(1) , s. 825-869. Doi: https://doi.org/10.1137/15100268X - Fulltekst i vitenarkiv
Benth, Fred Espen & Blanco, Sara Ana Solanilla (2015)
Journal of Energy Markets, 18(4) , s. 69-92. Doi: https://doi.org/10.21314/jem.2015.133
Benth, Fred Espen & Krühner, Paul (2015)
Stochastics: An International Journal of Probability and Stochastic Processes, 87(3) , s. 458-476. Doi: https://doi.org/10.1080/17442508.2014.966826 - Fulltekst i vitenarkiv
Benth, Fred Espen & Schmeck, Maren Diane (2014)
The Interrelationship Between Financial and Energy Markets, , s. 233-260. Doi: https://doi.org/10.1007/978-3-642-55382-0 - Fulltekst i vitenarkiv
Benth, Fred Espen; Ebbeler, Stephan & Kiesel, Rüdiger (2014)
Energy Pricing Models : Recent Advances, Methods, and Tools, , s. 223-268. Doi: https://doi.org/10.1007/978-1-137-37027-3_8 - Fulltekst i vitenarkiv
Benth, Fred Espen; Kholodnyi, Valery & Laurence, Peter (2014)
Springer Science+Business Media B.V.
Benth, Fred Espen; Biegler-Koenig, Richard & Kiesel, Rüdiger (2014)
Quantitative Energy Finance: Modeling, pricing and hedging in energy and commodity markets, , s. 285-305. Doi: https://doi.org/10.1007/978-1-4614-7248-3_11
Benth, Fred Espen & Ortiz-Latorre, Salvador (2014)
SIAM Journal on Financial Mathematics, 5, s. 685-728. Doi: https://doi.org/10.1137/13093604X - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Szozda, Benedykt (2014)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 17(2) Doi: https://doi.org/10.1142/S0219025714500118 - Fulltekst i vitenarkiv
Barth, Andrea & Benth, Fred Espen (2014)
Stochastics: An International Journal of Probability and Stochastic Processes, 86(6) , s. 932-966. Doi: https://doi.org/10.1080/17442508.2014.895359 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen, Pedersen, Jan & Veraart, Almut E.D. (2014)
Stochastic Processes and their Applications, 124(1) , s. 812-847. Doi: https://doi.org/10.1016/j.spa.2013.09.007 - Fulltekst i vitenarkiv
Benth, Fred Espen & Krühner, Paul (2014)
Communications in Mathematics and Statistics, 2(1) , s. 47-106. Doi: https://doi.org/10.1007/s40304-014-0030-1
Benth, Fred Espen & Blanco, Sara Ana Solanilla (2014)
Recent advances in financial engineering - Proceedings of the International Workshop on Fininance 2012, , s. 1-24. Doi: https://doi.org/10.1142/9789814571647_0001
Benth, Fred Espen; Eyjolfsson, Heidar & Veraart, Almut E. D. (2014)
SIAM Journal on Financial Mathematics, 5(1) , s. 71-98. Doi: https://doi.org/10.1137/130905320 - Fulltekst i vitenarkiv
Benth, Fred Espen & Schmeck, Maren Diane (2014)
Lecture notes in Energy, 54, s. 233-260. Doi: https://doi.org/10.1007/978-3-642-55382-0_10
Benth, Fred Espen & Lempa, Jukka (2014)
Finance and Stochastics, 18(2) , s. 407-430. Doi: https://doi.org/10.1007/s00780-013-0224-5 - Fulltekst i vitenarkiv
We develop a general approach to portfolio optimization in futures markets. Following the Heath–Jarrow–Morton (HJM) approach, we model the entire futures price curve at once as a solution of a stochastic partial differential equation. We also develop a general formalism to handle portfolios of futures contracts. In the portfolio optimization problem, the agent invests in futures contracts and a risk-free asset, and her objective is to maximize the utility from final wealth. In order to capture self-consistent futures price dynamics, we study a class of futures price curve models which admit a finite-dimensional realization. More precisely, we establish conditions under which the futures price dynamics can be realized in finite dimensions. Using the finite-dimensional realization, we derive a finite-dimensional form of the portfolio optimization problem and study its solution. We also give an economic interpretation of the coordinate process driving the finite-dimensional realization.
Benth, Fred Espen; Kluppelberg, Claudia, Muller, Gernot & Vos, Linda (2014)
Energy Economics, 44, s. 392-406. Doi: https://doi.org/10.1016/j.eneco.2014.03.020
Benth, Fred Espen & Schmeck, Maren Diane (2014)
Journal of Energy Markets, 7(2) , s. 35-69. Doi: https://doi.org/10.21314/jem.2014.114
Andresen, Arne; Benth, Fred Espen, Koekebakker, Steen & Zakamulin, Valeriy (2014)
International Journal of Theoretical and Applied Finance, 17(2) Doi: https://doi.org/10.1142/S0219024914500083
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2014)
Advances in Applied Probability, 46(3) , s. 719-745. Doi: https://doi.org/10.1239/aap/1409319557 - Fulltekst i vitenarkiv
Benth, Fred Espen & Schmeck, Maren Diane (2014)
The Interrelationship Between Financial and Energy Markets, , s. 233-260. Doi: https://doi.org/10.1007/978-3-642-55382-0 - Fulltekst i vitenarkiv
Benth, Fred Espen; Ebbeler, Stephan & Kiesel, Rüdiger (2014)
Energy Pricing Models : Recent Advances, Methods, and Tools, , s. 223-268. Doi: https://doi.org/10.1007/978-1-137-37027-3_8 - Fulltekst i vitenarkiv
Benth, Fred Espen; Kholodnyi, Valery & Laurence, Peter (2014)
Springer Science+Business Media B.V.
Benth, Fred Espen; Biegler-Koenig, Richard & Kiesel, Rüdiger (2014)
Quantitative Energy Finance: Modeling, pricing and hedging in energy and commodity markets, , s. 285-305. Doi: https://doi.org/10.1007/978-1-4614-7248-3_11
Benth, Fred Espen & Ortiz-Latorre, Salvador (2014)
SIAM Journal on Financial Mathematics, 5, s. 685-728. Doi: https://doi.org/10.1137/13093604X - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Szozda, Benedykt (2014)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 17(2) Doi: https://doi.org/10.1142/S0219025714500118 - Fulltekst i vitenarkiv
Barth, Andrea & Benth, Fred Espen (2014)
Stochastics: An International Journal of Probability and Stochastic Processes, 86(6) , s. 932-966. Doi: https://doi.org/10.1080/17442508.2014.895359 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen, Pedersen, Jan & Veraart, Almut E.D. (2014)
Stochastic Processes and their Applications, 124(1) , s. 812-847. Doi: https://doi.org/10.1016/j.spa.2013.09.007 - Fulltekst i vitenarkiv
Benth, Fred Espen & Krühner, Paul (2014)
Communications in Mathematics and Statistics, 2(1) , s. 47-106. Doi: https://doi.org/10.1007/s40304-014-0030-1
Benth, Fred Espen & Blanco, Sara Ana Solanilla (2014)
Recent advances in financial engineering - Proceedings of the International Workshop on Fininance 2012, , s. 1-24. Doi: https://doi.org/10.1142/9789814571647_0001
Benth, Fred Espen; Eyjolfsson, Heidar & Veraart, Almut E. D. (2014)
SIAM Journal on Financial Mathematics, 5(1) , s. 71-98. Doi: https://doi.org/10.1137/130905320 - Fulltekst i vitenarkiv
Benth, Fred Espen & Schmeck, Maren Diane (2014)
Lecture notes in Energy, 54, s. 233-260. Doi: https://doi.org/10.1007/978-3-642-55382-0_10
Benth, Fred Espen & Lempa, Jukka (2014)
Finance and Stochastics, 18(2) , s. 407-430. Doi: https://doi.org/10.1007/s00780-013-0224-5 - Fulltekst i vitenarkiv
We develop a general approach to portfolio optimization in futures markets. Following the Heath–Jarrow–Morton (HJM) approach, we model the entire futures price curve at once as a solution of a stochastic partial differential equation. We also develop a general formalism to handle portfolios of futures contracts. In the portfolio optimization problem, the agent invests in futures contracts and a risk-free asset, and her objective is to maximize the utility from final wealth. In order to capture self-consistent futures price dynamics, we study a class of futures price curve models which admit a finite-dimensional realization. More precisely, we establish conditions under which the futures price dynamics can be realized in finite dimensions. Using the finite-dimensional realization, we derive a finite-dimensional form of the portfolio optimization problem and study its solution. We also give an economic interpretation of the coordinate process driving the finite-dimensional realization.
Benth, Fred Espen; Kluppelberg, Claudia, Muller, Gernot & Vos, Linda (2014)
Energy Economics, 44, s. 392-406. Doi: https://doi.org/10.1016/j.eneco.2014.03.020
Benth, Fred Espen & Schmeck, Maren Diane (2014)
Journal of Energy Markets, 7(2) , s. 35-69. Doi: https://doi.org/10.21314/jem.2014.114
Andresen, Arne; Benth, Fred Espen, Koekebakker, Steen & Zakamulin, Valeriy (2014)
International Journal of Theoretical and Applied Finance, 17(2) Doi: https://doi.org/10.1142/S0219024914500083
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2014)
Advances in Applied Probability, 46(3) , s. 719-745. Doi: https://doi.org/10.1239/aap/1409319557 - Fulltekst i vitenarkiv
Benth, Fred Espen & Schmeck, Maren Diane (2014)
The Interrelationship Between Financial and Energy Markets, , s. 233-260. Doi: https://doi.org/10.1007/978-3-642-55382-0 - Fulltekst i vitenarkiv
Benth, Fred Espen; Ebbeler, Stephan & Kiesel, Rüdiger (2014)
Energy Pricing Models : Recent Advances, Methods, and Tools, , s. 223-268. Doi: https://doi.org/10.1007/978-1-137-37027-3_8 - Fulltekst i vitenarkiv
Benth, Fred Espen; Kholodnyi, Valery & Laurence, Peter (2014)
Springer Science+Business Media B.V.
Benth, Fred Espen; Biegler-Koenig, Richard & Kiesel, Rüdiger (2014)
Quantitative Energy Finance: Modeling, pricing and hedging in energy and commodity markets, , s. 285-305. Doi: https://doi.org/10.1007/978-1-4614-7248-3_11
Benth, Fred Espen & Ortiz-Latorre, Salvador (2014)
SIAM Journal on Financial Mathematics, 5, s. 685-728. Doi: https://doi.org/10.1137/13093604X - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Szozda, Benedykt (2014)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 17(2) Doi: https://doi.org/10.1142/S0219025714500118 - Fulltekst i vitenarkiv
Barth, Andrea & Benth, Fred Espen (2014)
Stochastics: An International Journal of Probability and Stochastic Processes, 86(6) , s. 932-966. Doi: https://doi.org/10.1080/17442508.2014.895359 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen, Pedersen, Jan & Veraart, Almut E.D. (2014)
Stochastic Processes and their Applications, 124(1) , s. 812-847. Doi: https://doi.org/10.1016/j.spa.2013.09.007 - Fulltekst i vitenarkiv
Benth, Fred Espen & Krühner, Paul (2014)
Communications in Mathematics and Statistics, 2(1) , s. 47-106. Doi: https://doi.org/10.1007/s40304-014-0030-1
Benth, Fred Espen & Blanco, Sara Ana Solanilla (2014)
Recent advances in financial engineering - Proceedings of the International Workshop on Fininance 2012, , s. 1-24. Doi: https://doi.org/10.1142/9789814571647_0001
Benth, Fred Espen; Eyjolfsson, Heidar & Veraart, Almut E. D. (2014)
SIAM Journal on Financial Mathematics, 5(1) , s. 71-98. Doi: https://doi.org/10.1137/130905320 - Fulltekst i vitenarkiv
Benth, Fred Espen & Schmeck, Maren Diane (2014)
Lecture notes in Energy, 54, s. 233-260. Doi: https://doi.org/10.1007/978-3-642-55382-0_10
Benth, Fred Espen & Lempa, Jukka (2014)
Finance and Stochastics, 18(2) , s. 407-430. Doi: https://doi.org/10.1007/s00780-013-0224-5 - Fulltekst i vitenarkiv
We develop a general approach to portfolio optimization in futures markets. Following the Heath–Jarrow–Morton (HJM) approach, we model the entire futures price curve at once as a solution of a stochastic partial differential equation. We also develop a general formalism to handle portfolios of futures contracts. In the portfolio optimization problem, the agent invests in futures contracts and a risk-free asset, and her objective is to maximize the utility from final wealth. In order to capture self-consistent futures price dynamics, we study a class of futures price curve models which admit a finite-dimensional realization. More precisely, we establish conditions under which the futures price dynamics can be realized in finite dimensions. Using the finite-dimensional realization, we derive a finite-dimensional form of the portfolio optimization problem and study its solution. We also give an economic interpretation of the coordinate process driving the finite-dimensional realization.
Benth, Fred Espen; Kluppelberg, Claudia, Muller, Gernot & Vos, Linda (2014)
Energy Economics, 44, s. 392-406. Doi: https://doi.org/10.1016/j.eneco.2014.03.020
Benth, Fred Espen & Schmeck, Maren Diane (2014)
Journal of Energy Markets, 7(2) , s. 35-69. Doi: https://doi.org/10.21314/jem.2014.114
Andresen, Arne; Benth, Fred Espen, Koekebakker, Steen & Zakamulin, Valeriy (2014)
International Journal of Theoretical and Applied Finance, 17(2) Doi: https://doi.org/10.1142/S0219024914500083
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2014)
Advances in Applied Probability, 46(3) , s. 719-745. Doi: https://doi.org/10.1239/aap/1409319557 - Fulltekst i vitenarkiv
Benth, Fred Espen & Schmeck, Maren Diane (2014)
The Interrelationship Between Financial and Energy Markets, , s. 233-260. Doi: https://doi.org/10.1007/978-3-642-55382-0 - Fulltekst i vitenarkiv
Benth, Fred Espen; Ebbeler, Stephan & Kiesel, Rüdiger (2014)
Energy Pricing Models : Recent Advances, Methods, and Tools, , s. 223-268. Doi: https://doi.org/10.1007/978-1-137-37027-3_8 - Fulltekst i vitenarkiv
Benth, Fred Espen; Kholodnyi, Valery & Laurence, Peter (2014)
Springer Science+Business Media B.V.
Benth, Fred Espen; Biegler-Koenig, Richard & Kiesel, Rüdiger (2014)
Quantitative Energy Finance: Modeling, pricing and hedging in energy and commodity markets, , s. 285-305. Doi: https://doi.org/10.1007/978-1-4614-7248-3_11
Benth, Fred Espen & Ortiz-Latorre, Salvador (2014)
SIAM Journal on Financial Mathematics, 5, s. 685-728. Doi: https://doi.org/10.1137/13093604X - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Szozda, Benedykt (2014)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 17(2) Doi: https://doi.org/10.1142/S0219025714500118 - Fulltekst i vitenarkiv
Barth, Andrea & Benth, Fred Espen (2014)
Stochastics: An International Journal of Probability and Stochastic Processes, 86(6) , s. 932-966. Doi: https://doi.org/10.1080/17442508.2014.895359 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen, Pedersen, Jan & Veraart, Almut E.D. (2014)
Stochastic Processes and their Applications, 124(1) , s. 812-847. Doi: https://doi.org/10.1016/j.spa.2013.09.007 - Fulltekst i vitenarkiv
Benth, Fred Espen & Krühner, Paul (2014)
Communications in Mathematics and Statistics, 2(1) , s. 47-106. Doi: https://doi.org/10.1007/s40304-014-0030-1
Benth, Fred Espen & Blanco, Sara Ana Solanilla (2014)
Recent advances in financial engineering - Proceedings of the International Workshop on Fininance 2012, , s. 1-24. Doi: https://doi.org/10.1142/9789814571647_0001
Benth, Fred Espen; Eyjolfsson, Heidar & Veraart, Almut E. D. (2014)
SIAM Journal on Financial Mathematics, 5(1) , s. 71-98. Doi: https://doi.org/10.1137/130905320 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2014)
Advances in Applied Probability, 46(3) , s. 719-745. Doi: https://doi.org/10.1239/aap/1409319557 - Fulltekst i vitenarkiv
Benth, Fred Espen & Schmeck, Maren Diane (2014)
Lecture notes in Energy, 54, s. 233-260. Doi: https://doi.org/10.1007/978-3-642-55382-0_10
Benth, Fred Espen & Lempa, Jukka (2014)
Finance and Stochastics, 18(2) , s. 407-430. Doi: https://doi.org/10.1007/s00780-013-0224-5 - Fulltekst i vitenarkiv
We develop a general approach to portfolio optimization in futures markets. Following the Heath–Jarrow–Morton (HJM) approach, we model the entire futures price curve at once as a solution of a stochastic partial differential equation. We also develop a general formalism to handle portfolios of futures contracts. In the portfolio optimization problem, the agent invests in futures contracts and a risk-free asset, and her objective is to maximize the utility from final wealth. In order to capture self-consistent futures price dynamics, we study a class of futures price curve models which admit a finite-dimensional realization. More precisely, we establish conditions under which the futures price dynamics can be realized in finite dimensions. Using the finite-dimensional realization, we derive a finite-dimensional form of the portfolio optimization problem and study its solution. We also give an economic interpretation of the coordinate process driving the finite-dimensional realization.
Benth, Fred Espen; Kluppelberg, Claudia, Muller, Gernot & Vos, Linda (2014)
Energy Economics, 44, s. 392-406. Doi: https://doi.org/10.1016/j.eneco.2014.03.020
Benth, Fred Espen & Schmeck, Maren Diane (2014)
Journal of Energy Markets, 7(2) , s. 35-69. Doi: https://doi.org/10.21314/jem.2014.114
Andresen, Arne; Benth, Fred Espen, Koekebakker, Steen & Zakamulin, Valeriy (2014)
International Journal of Theoretical and Applied Finance, 17(2) Doi: https://doi.org/10.1142/S0219024914500083
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.
Benth, Fred Espen & Schmeck, Maren Diane (2014)
The Interrelationship Between Financial and Energy Markets, , s. 233-260. Doi: https://doi.org/10.1007/978-3-642-55382-0 - Fulltekst i vitenarkiv
Benth, Fred Espen; Ebbeler, Stephan & Kiesel, Rüdiger (2014)
Energy Pricing Models : Recent Advances, Methods, and Tools, , s. 223-268. Doi: https://doi.org/10.1007/978-1-137-37027-3_8 - Fulltekst i vitenarkiv
Benth, Fred Espen; Kholodnyi, Valery & Laurence, Peter (2014)
Springer Science+Business Media B.V.
Benth, Fred Espen; Biegler-Koenig, Richard & Kiesel, Rüdiger (2014)
Quantitative Energy Finance: Modeling, pricing and hedging in energy and commodity markets, , s. 285-305. Doi: https://doi.org/10.1007/978-1-4614-7248-3_11
Benth, Fred Espen & Ortiz-Latorre, Salvador (2014)
SIAM Journal on Financial Mathematics, 5, s. 685-728. Doi: https://doi.org/10.1137/13093604X - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Szozda, Benedykt (2014)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 17(2) Doi: https://doi.org/10.1142/S0219025714500118 - Fulltekst i vitenarkiv
Barth, Andrea & Benth, Fred Espen (2014)
Stochastics: An International Journal of Probability and Stochastic Processes, 86(6) , s. 932-966. Doi: https://doi.org/10.1080/17442508.2014.895359 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen, Pedersen, Jan & Veraart, Almut E.D. (2014)
Stochastic Processes and their Applications, 124(1) , s. 812-847. Doi: https://doi.org/10.1016/j.spa.2013.09.007 - Fulltekst i vitenarkiv
Benth, Fred Espen & Krühner, Paul (2014)
Communications in Mathematics and Statistics, 2(1) , s. 47-106. Doi: https://doi.org/10.1007/s40304-014-0030-1
Benth, Fred Espen & Blanco, Sara Ana Solanilla (2014)
Recent advances in financial engineering - Proceedings of the International Workshop on Fininance 2012, , s. 1-24. Doi: https://doi.org/10.1142/9789814571647_0001
Benth, Fred Espen; Eyjolfsson, Heidar & Veraart, Almut E. D. (2014)
SIAM Journal on Financial Mathematics, 5(1) , s. 71-98. Doi: https://doi.org/10.1137/130905320 - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2014)
Advances in Applied Probability, 46(3) , s. 719-745. Doi: https://doi.org/10.1239/aap/1409319557 - Fulltekst i vitenarkiv
Benth, Fred Espen & Schmeck, Maren Diane (2014)
Lecture notes in Energy, 54, s. 233-260. Doi: https://doi.org/10.1007/978-3-642-55382-0_10
Benth, Fred Espen & Lempa, Jukka (2014)
Finance and Stochastics, 18(2) , s. 407-430. Doi: https://doi.org/10.1007/s00780-013-0224-5 - Fulltekst i vitenarkiv
We develop a general approach to portfolio optimization in futures markets. Following the Heath–Jarrow–Morton (HJM) approach, we model the entire futures price curve at once as a solution of a stochastic partial differential equation. We also develop a general formalism to handle portfolios of futures contracts. In the portfolio optimization problem, the agent invests in futures contracts and a risk-free asset, and her objective is to maximize the utility from final wealth. In order to capture self-consistent futures price dynamics, we study a class of futures price curve models which admit a finite-dimensional realization. More precisely, we establish conditions under which the futures price dynamics can be realized in finite dimensions. Using the finite-dimensional realization, we derive a finite-dimensional form of the portfolio optimization problem and study its solution. We also give an economic interpretation of the coordinate process driving the finite-dimensional realization.
Benth, Fred Espen; Kluppelberg, Claudia, Muller, Gernot & Vos, Linda (2014)
Energy Economics, 44, s. 392-406. Doi: https://doi.org/10.1016/j.eneco.2014.03.020
Benth, Fred Espen & Schmeck, Maren Diane (2014)
Journal of Energy Markets, 7(2) , s. 35-69. Doi: https://doi.org/10.21314/jem.2014.114
Andresen, Arne; Benth, Fred Espen, Koekebakker, Steen & Zakamulin, Valeriy (2014)
International Journal of Theoretical and Applied Finance, 17(2) Doi: https://doi.org/10.1142/S0219024914500083
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.
Sørensen, Torquil Macdonald & Benth, Fred Espen (2013)
SIAM Journal on Scientific Computing, 35(5) , s. A2207-A2224. Doi: https://doi.org/10.1137/110851080
Benth, Fred Espen & Vos, Linda (2013)
Advances in Applied Probability, 45(2) , s. 572-594. Doi: https://doi.org/10.1239/aap/1370870130
Benth, Fred Espen; Biegler-König, Richard & Kiesel, Rüdiger (2013)
Energy Economics, 36, s. 55-77. Doi: https://doi.org/10.1016/j.eneco.2012.12.001 - Fulltekst i vitenarkiv
Benth, Fred Espen & Vos, Linda (2013)
Advances in Applied Probability, 45(2) , s. 545-571. Doi: https://doi.org/10.1239/aap/1370870129
Benth, Fred Espen (2013)
Mathematical Modeling with Multidisciplinary Applications, , s. 257-284. Doi: https://doi.org/10.1002/9781118462706.ch11
Benth, Fred Espen & Schmeck, Maren Diane (2013)
Stochastics: An International Journal of Probability and Stochastic Processes, 85(5) , s. 833-858. Doi: https://doi.org/10.1080/17442508.2012.665056
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2013)
Stochastics: An International Journal of Probability and Stochastic Processes, 85(6) , s. 1015-1039. Doi: https://doi.org/10.1080/17442508.2012.736994
Benth, Fred Espen & Eyjolfsson, Heidar (2013)
Seminar on Stochastic Analysis, Random Fields and Applications VII - Centro Stefano Franscini, Ascona, May 2011, , s. 261-284. Doi: https://doi.org/10.1007/978-3-0348-0545-2_14
Benth, Fred Espen & Benth, Jurate Saltyte (2013)
World Scientific
Benth, Fred Espen (2013)
Lecture notes in mathematics, 2081, s. 109-167. Doi: https://doi.org/10.1007/978-3-319-00413-6_2 - Fulltekst i vitenarkiv
Benth, Fred Espen & Taib, Che Mohd Imran Che (2013)
Energy Economics, 40, s. 259-268. Doi: https://doi.org/10.1016/j.eneco.2013.07.007
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2013)
Bernoulli, 19(3) , s. 803-845. Doi: https://doi.org/10.3150/12-BEJ476 - Fulltekst i vitenarkiv
Sørensen, Torquil Macdonald & Benth, Fred Espen (2013)
SIAM Journal on Scientific Computing, 35(5) , s. A2207-A2224. Doi: https://doi.org/10.1137/110851080
Benth, Fred Espen & Vos, Linda (2013)
Advances in Applied Probability, 45(2) , s. 572-594. Doi: https://doi.org/10.1239/aap/1370870130
Benth, Fred Espen; Biegler-König, Richard & Kiesel, Rüdiger (2013)
Energy Economics, 36, s. 55-77. Doi: https://doi.org/10.1016/j.eneco.2012.12.001 - Fulltekst i vitenarkiv
Benth, Fred Espen & Vos, Linda (2013)
Advances in Applied Probability, 45(2) , s. 545-571. Doi: https://doi.org/10.1239/aap/1370870129
Benth, Fred Espen (2013)
Mathematical Modeling with Multidisciplinary Applications, , s. 257-284. Doi: https://doi.org/10.1002/9781118462706.ch11
Benth, Fred Espen & Schmeck, Maren Diane (2013)
Stochastics: An International Journal of Probability and Stochastic Processes, 85(5) , s. 833-858. Doi: https://doi.org/10.1080/17442508.2012.665056
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2013)
Stochastics: An International Journal of Probability and Stochastic Processes, 85(6) , s. 1015-1039. Doi: https://doi.org/10.1080/17442508.2012.736994
Benth, Fred Espen & Eyjolfsson, Heidar (2013)
Seminar on Stochastic Analysis, Random Fields and Applications VII - Centro Stefano Franscini, Ascona, May 2011, , s. 261-284. Doi: https://doi.org/10.1007/978-3-0348-0545-2_14
Benth, Fred Espen & Benth, Jurate Saltyte (2013)
World Scientific
Benth, Fred Espen (2013)
Lecture notes in mathematics, 2081, s. 109-167. Doi: https://doi.org/10.1007/978-3-319-00413-6_2 - Fulltekst i vitenarkiv
Benth, Fred Espen & Taib, Che Mohd Imran Che (2013)
Energy Economics, 40, s. 259-268. Doi: https://doi.org/10.1016/j.eneco.2013.07.007
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2013)
Bernoulli, 19(3) , s. 803-845. Doi: https://doi.org/10.3150/12-BEJ476 - Fulltekst i vitenarkiv
Sørensen, Torquil Macdonald & Benth, Fred Espen (2013)
SIAM Journal on Scientific Computing, 35(5) , s. A2207-A2224. Doi: https://doi.org/10.1137/110851080
Benth, Fred Espen & Vos, Linda (2013)
Advances in Applied Probability, 45(2) , s. 572-594. Doi: https://doi.org/10.1239/aap/1370870130
Benth, Fred Espen; Biegler-König, Richard & Kiesel, Rüdiger (2013)
Energy Economics, 36, s. 55-77. Doi: https://doi.org/10.1016/j.eneco.2012.12.001 - Fulltekst i vitenarkiv
Benth, Fred Espen & Vos, Linda (2013)
Advances in Applied Probability, 45(2) , s. 545-571. Doi: https://doi.org/10.1239/aap/1370870129
Benth, Fred Espen (2013)
Mathematical Modeling with Multidisciplinary Applications, , s. 257-284. Doi: https://doi.org/10.1002/9781118462706.ch11
Benth, Fred Espen & Schmeck, Maren Diane (2013)
Stochastics: An International Journal of Probability and Stochastic Processes, 85(5) , s. 833-858. Doi: https://doi.org/10.1080/17442508.2012.665056
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2013)
Stochastics: An International Journal of Probability and Stochastic Processes, 85(6) , s. 1015-1039. Doi: https://doi.org/10.1080/17442508.2012.736994
Benth, Fred Espen & Eyjolfsson, Heidar (2013)
Seminar on Stochastic Analysis, Random Fields and Applications VII - Centro Stefano Franscini, Ascona, May 2011, , s. 261-284. Doi: https://doi.org/10.1007/978-3-0348-0545-2_14
Benth, Fred Espen & Benth, Jurate Saltyte (2013)
World Scientific
Benth, Fred Espen (2013)
Lecture notes in mathematics, 2081, s. 109-167. Doi: https://doi.org/10.1007/978-3-319-00413-6_2 - Fulltekst i vitenarkiv
Benth, Fred Espen & Taib, Che Mohd Imran Che (2013)
Energy Economics, 40, s. 259-268. Doi: https://doi.org/10.1016/j.eneco.2013.07.007
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2013)
Bernoulli, 19(3) , s. 803-845. Doi: https://doi.org/10.3150/12-BEJ476 - Fulltekst i vitenarkiv
Sørensen, Torquil Macdonald & Benth, Fred Espen (2013)
SIAM Journal on Scientific Computing, 35(5) , s. A2207-A2224. Doi: https://doi.org/10.1137/110851080
Benth, Fred Espen (2013)
Lecture notes in mathematics, 2081, s. 109-167. Doi: https://doi.org/10.1007/978-3-319-00413-6_2 - Fulltekst i vitenarkiv
Benth, Fred Espen & Taib, Che Mohd Imran Che (2013)
Energy Economics, 40, s. 259-268. Doi: https://doi.org/10.1016/j.eneco.2013.07.007
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2013)
Bernoulli, 19(3) , s. 803-845. Doi: https://doi.org/10.3150/12-BEJ476 - Fulltekst i vitenarkiv
Benth, Fred Espen & Vos, Linda (2013)
Advances in Applied Probability, 45(2) , s. 572-594. Doi: https://doi.org/10.1239/aap/1370870130
Benth, Fred Espen; Biegler-König, Richard & Kiesel, Rüdiger (2013)
Energy Economics, 36, s. 55-77. Doi: https://doi.org/10.1016/j.eneco.2012.12.001 - Fulltekst i vitenarkiv
Benth, Fred Espen & Vos, Linda (2013)
Advances in Applied Probability, 45(2) , s. 545-571. Doi: https://doi.org/10.1239/aap/1370870129
Benth, Fred Espen (2013)
Mathematical Modeling with Multidisciplinary Applications, , s. 257-284. Doi: https://doi.org/10.1002/9781118462706.ch11
Benth, Fred Espen & Schmeck, Maren Diane (2013)
Stochastics: An International Journal of Probability and Stochastic Processes, 85(5) , s. 833-858. Doi: https://doi.org/10.1080/17442508.2012.665056
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2013)
Stochastics: An International Journal of Probability and Stochastic Processes, 85(6) , s. 1015-1039. Doi: https://doi.org/10.1080/17442508.2012.736994
Benth, Fred Espen & Eyjolfsson, Heidar (2013)
Seminar on Stochastic Analysis, Random Fields and Applications VII - Centro Stefano Franscini, Ascona, May 2011, , s. 261-284. Doi: https://doi.org/10.1007/978-3-0348-0545-2_14
Benth, Fred Espen & Benth, Jurate Saltyte (2013)
World Scientific
Sørensen, Torquil Macdonald & Benth, Fred Espen (2013)
SIAM Journal on Scientific Computing, 35(5) , s. A2207-A2224. Doi: https://doi.org/10.1137/110851080
Benth, Fred Espen (2013)
Lecture notes in mathematics, 2081, s. 109-167. Doi: https://doi.org/10.1007/978-3-319-00413-6_2 - Fulltekst i vitenarkiv
Benth, Fred Espen & Taib, Che Mohd Imran Che (2013)
Energy Economics, 40, s. 259-268. Doi: https://doi.org/10.1016/j.eneco.2013.07.007
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2013)
Bernoulli, 19(3) , s. 803-845. Doi: https://doi.org/10.3150/12-BEJ476 - Fulltekst i vitenarkiv
Benth, Fred Espen & Vos, Linda (2013)
Advances in Applied Probability, 45(2) , s. 572-594. Doi: https://doi.org/10.1239/aap/1370870130
Benth, Fred Espen; Biegler-König, Richard & Kiesel, Rüdiger (2013)
Energy Economics, 36, s. 55-77. Doi: https://doi.org/10.1016/j.eneco.2012.12.001 - Fulltekst i vitenarkiv
Benth, Fred Espen & Vos, Linda (2013)
Advances in Applied Probability, 45(2) , s. 545-571. Doi: https://doi.org/10.1239/aap/1370870129
Benth, Fred Espen (2013)
Mathematical Modeling with Multidisciplinary Applications, , s. 257-284. Doi: https://doi.org/10.1002/9781118462706.ch11
Benth, Fred Espen & Schmeck, Maren Diane (2013)
Stochastics: An International Journal of Probability and Stochastic Processes, 85(5) , s. 833-858. Doi: https://doi.org/10.1080/17442508.2012.665056
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2013)
Stochastics: An International Journal of Probability and Stochastic Processes, 85(6) , s. 1015-1039. Doi: https://doi.org/10.1080/17442508.2012.736994
Benth, Fred Espen & Eyjolfsson, Heidar (2013)
Seminar on Stochastic Analysis, Random Fields and Applications VII - Centro Stefano Franscini, Ascona, May 2011, , s. 261-284. Doi: https://doi.org/10.1007/978-3-0348-0545-2_14
Benth, Fred Espen & Benth, Jurate Saltyte (2013)
World Scientific
Taib, Che Mohd Imran Che & Benth, Fred Espen (2012)
Review of Development Finance, 2(1) , s. 22-31. Doi: https://doi.org/10.1016/j.rdf.2012.01.004 - Fulltekst i vitenarkiv
Bauer, Daniel; Benth, Fred Espen & Kiesel, Rüdiger (2012)
SIAM Journal on Financial Mathematics, 3, s. 639-666. Doi: https://doi.org/10.1137/100818261
Benth, Fred Espen; Dahl, Geir & Mannino, Carlo (2012)
Operations Research, 60(6) , s. 1373-1388. Doi: https://doi.org/10.1287/opre.1120.1112
Benth, Fred Espen; Kiesel, Rüdiger & Nazarova, Anna (2012)
Energy Economics, 34, s. 1589-1616. Doi: https://doi.org/10.1016/j.eneco.2011.11.012
Benth, Jurate Saltyte & Benth, Fred Espen (2012)
Energy Economics, 34(2) , s. 592-602. Doi: https://doi.org/10.1016/j.eneco.2011.09.012 - Fulltekst i vitenarkiv
Benth, Fred Espen & Sgarra, Carlo (2012)
Stochastic Analysis and Applications, 30(1) , s. 20-43. Doi: https://doi.org/10.1080/07362994.2012.628906 - Fulltekst i vitenarkiv
Benth, Fred Espen; Lempa, Jukka & Nilssen, Trygve Kastberg (2012)
Journal of Energy Markets, 4(4) , s. 3-28. Doi: https://doi.org/10.21314/jem.2011.065 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2012)
Journal of Energy Markets, 5(4) , s. 3-31. Doi: https://doi.org/10.21314/jem.2012.080
Taib, Che Mohd Imran Che & Benth, Fred Espen (2012)
Review of Development Finance, 2(1) , s. 22-31. Doi: https://doi.org/10.1016/j.rdf.2012.01.004 - Fulltekst i vitenarkiv
Bauer, Daniel; Benth, Fred Espen & Kiesel, Rüdiger (2012)
SIAM Journal on Financial Mathematics, 3, s. 639-666. Doi: https://doi.org/10.1137/100818261
Benth, Fred Espen; Dahl, Geir & Mannino, Carlo (2012)
Operations Research, 60(6) , s. 1373-1388. Doi: https://doi.org/10.1287/opre.1120.1112
Benth, Fred Espen; Kiesel, Rüdiger & Nazarova, Anna (2012)
Energy Economics, 34, s. 1589-1616. Doi: https://doi.org/10.1016/j.eneco.2011.11.012
Benth, Jurate Saltyte & Benth, Fred Espen (2012)
Energy Economics, 34(2) , s. 592-602. Doi: https://doi.org/10.1016/j.eneco.2011.09.012 - Fulltekst i vitenarkiv
Benth, Fred Espen & Sgarra, Carlo (2012)
Stochastic Analysis and Applications, 30(1) , s. 20-43. Doi: https://doi.org/10.1080/07362994.2012.628906 - Fulltekst i vitenarkiv
Benth, Fred Espen; Lempa, Jukka & Nilssen, Trygve Kastberg (2012)
Journal of Energy Markets, 4(4) , s. 3-28. Doi: https://doi.org/10.21314/jem.2011.065 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2012)
Journal of Energy Markets, 5(4) , s. 3-31. Doi: https://doi.org/10.21314/jem.2012.080
Taib, Che Mohd Imran Che & Benth, Fred Espen (2012)
Review of Development Finance, 2(1) , s. 22-31. Doi: https://doi.org/10.1016/j.rdf.2012.01.004 - Fulltekst i vitenarkiv
Bauer, Daniel; Benth, Fred Espen & Kiesel, Rüdiger (2012)
SIAM Journal on Financial Mathematics, 3, s. 639-666. Doi: https://doi.org/10.1137/100818261
Benth, Fred Espen; Dahl, Geir & Mannino, Carlo (2012)
Operations Research, 60(6) , s. 1373-1388. Doi: https://doi.org/10.1287/opre.1120.1112
Benth, Fred Espen; Kiesel, Rüdiger & Nazarova, Anna (2012)
Energy Economics, 34, s. 1589-1616. Doi: https://doi.org/10.1016/j.eneco.2011.11.012
Benth, Jurate Saltyte & Benth, Fred Espen (2012)
Energy Economics, 34(2) , s. 592-602. Doi: https://doi.org/10.1016/j.eneco.2011.09.012 - Fulltekst i vitenarkiv
Benth, Fred Espen & Sgarra, Carlo (2012)
Stochastic Analysis and Applications, 30(1) , s. 20-43. Doi: https://doi.org/10.1080/07362994.2012.628906 - Fulltekst i vitenarkiv
Benth, Fred Espen; Lempa, Jukka & Nilssen, Trygve Kastberg (2012)
Journal of Energy Markets, 4(4) , s. 3-28. Doi: https://doi.org/10.21314/jem.2011.065 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2012)
Journal of Energy Markets, 5(4) , s. 3-31. Doi: https://doi.org/10.21314/jem.2012.080
Taib, Che Mohd Imran Che & Benth, Fred Espen (2012)
Review of Development Finance, 2(1) , s. 22-31. Doi: https://doi.org/10.1016/j.rdf.2012.01.004 - Fulltekst i vitenarkiv
Bauer, Daniel; Benth, Fred Espen & Kiesel, Rüdiger (2012)
SIAM Journal on Financial Mathematics, 3, s. 639-666. Doi: https://doi.org/10.1137/100818261
Benth, Fred Espen; Dahl, Geir & Mannino, Carlo (2012)
Operations Research, 60(6) , s. 1373-1388. Doi: https://doi.org/10.1287/opre.1120.1112
Benth, Fred Espen & Sgarra, Carlo (2012)
Stochastic Analysis and Applications, 30(1) , s. 20-43. Doi: https://doi.org/10.1080/07362994.2012.628906 - Fulltekst i vitenarkiv
Benth, Fred Espen; Lempa, Jukka & Nilssen, Trygve Kastberg (2012)
Journal of Energy Markets, 4(4) , s. 3-28. Doi: https://doi.org/10.21314/jem.2011.065 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2012)
Journal of Energy Markets, 5(4) , s. 3-31. Doi: https://doi.org/10.21314/jem.2012.080
Benth, Fred Espen; Kiesel, Rüdiger & Nazarova, Anna (2012)
Energy Economics, 34, s. 1589-1616. Doi: https://doi.org/10.1016/j.eneco.2011.11.012
Benth, Jurate Saltyte & Benth, Fred Espen (2012)
Energy Economics, 34(2) , s. 592-602. Doi: https://doi.org/10.1016/j.eneco.2011.09.012 - Fulltekst i vitenarkiv
Taib, Che Mohd Imran Che & Benth, Fred Espen (2012)
Review of Development Finance, 2(1) , s. 22-31. Doi: https://doi.org/10.1016/j.rdf.2012.01.004 - Fulltekst i vitenarkiv
Bauer, Daniel; Benth, Fred Espen & Kiesel, Rüdiger (2012)
SIAM Journal on Financial Mathematics, 3, s. 639-666. Doi: https://doi.org/10.1137/100818261
Benth, Fred Espen; Dahl, Geir & Mannino, Carlo (2012)
Operations Research, 60(6) , s. 1373-1388. Doi: https://doi.org/10.1287/opre.1120.1112
Benth, Fred Espen & Sgarra, Carlo (2012)
Stochastic Analysis and Applications, 30(1) , s. 20-43. Doi: https://doi.org/10.1080/07362994.2012.628906 - Fulltekst i vitenarkiv
Benth, Fred Espen; Lempa, Jukka & Nilssen, Trygve Kastberg (2012)
Journal of Energy Markets, 4(4) , s. 3-28. Doi: https://doi.org/10.21314/jem.2011.065 - Fulltekst i vitenarkiv
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2012)
Journal of Energy Markets, 5(4) , s. 3-31. Doi: https://doi.org/10.21314/jem.2012.080
Benth, Fred Espen; Kiesel, Rüdiger & Nazarova, Anna (2012)
Energy Economics, 34, s. 1589-1616. Doi: https://doi.org/10.1016/j.eneco.2011.11.012
Benth, Jurate Saltyte & Benth, Fred Espen (2012)
Energy Economics, 34(2) , s. 592-602. Doi: https://doi.org/10.1016/j.eneco.2011.09.012 - Fulltekst i vitenarkiv
Taib, Che Mohd Imran Che & Benth, Fred Espen (2011)
Statistical research report (Universitetet i Oslo. Matematisk institut, - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2011)
Advanced Mathematical Methods for Finance, , s. 35-74. Doi: https://doi.org/10.2139/ssrn.1597697
Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection between ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Lévy noise analysis.
Benth, Fred Espen & Henriksen, Pål Nicolai (2011)
Journal of Forecasting, 30(3) , s. 355-376. Doi: https://doi.org/10.1002/for.1179
Benth, Fred Espen & Saltyte-Benth, Jurate (2011)
International Journal of Stochastic Analysis, Doi: https://doi.org/10.1155/2011/576791
We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.
Benth, Fred Espen & Kettler, Paul Carlisle (2011)
Quantitative finance (Print), 11(3) , s. 407-421. Doi: https://doi.org/10.1080/14697688.2010.481629
Benth, Fred Espen; Härdle, Wolfgang Karl & Cabrera, Brenda Lopez (2011)
Statistical Tools for Finance and Insurance, , s. 163-199. Doi: https://doi.org/10.1007/978-3-642-18062-0_5
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2011)
Communications on Stochastic Analysis, 5(2) , s. 285-307. Doi: https://doi.org/10.31390/cosa.5.2.03
Barth, Andrea; Benth, Fred Espen & Potthoff, Jurgen (2011)
Applied Mathematical Finance, 18(2) , s. 93-117. Doi: https://doi.org/10.1080/13504861003722385
Benth, Fred Espen (2011)
Mathematical Finance, 21(4) , s. 595-625. Doi: https://doi.org/10.1111/j.1467-9965.2010.00445.x
We consider the non-Gaussian stochastic volatility model of Barndorff-Nielsen and Shephard for the exponential mean-reversion model of Schwartz proposed for commodity spot prices. We analyze the properties of the stochastic dynamics, and show in particular that the log-spot prices possess a stationary distribution defined as a normal variance-mixture model. Furthermore, the stochastic volatility model allows for explicit forward prices, which may produce a hump structure inherited from the mean-reversion of the stochastic volatility. Although the spot price dynamics has continuous paths, the forward prices will have a jump dynamics, where jumps occur according to changes in the volatility process. We compare with the popular Heston stochastic volatility dynamics, and show that the Barndorff-Nielsen and Shephard model provides a more flexible framework in describing commodity spot prices. An empirical example on UK spot data is included.
Taib, Che Mohd Imran Che & Benth, Fred Espen (2011)
Statistical research report (Universitetet i Oslo. Matematisk institut, - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2011)
Advanced Mathematical Methods for Finance, , s. 35-74. Doi: https://doi.org/10.2139/ssrn.1597697
Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection between ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Lévy noise analysis.
Benth, Fred Espen & Henriksen, Pål Nicolai (2011)
Journal of Forecasting, 30(3) , s. 355-376. Doi: https://doi.org/10.1002/for.1179
Benth, Fred Espen & Saltyte-Benth, Jurate (2011)
International Journal of Stochastic Analysis, Doi: https://doi.org/10.1155/2011/576791
We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.
Benth, Fred Espen & Kettler, Paul Carlisle (2011)
Quantitative finance (Print), 11(3) , s. 407-421. Doi: https://doi.org/10.1080/14697688.2010.481629
Benth, Fred Espen; Härdle, Wolfgang Karl & Cabrera, Brenda Lopez (2011)
Statistical Tools for Finance and Insurance, , s. 163-199. Doi: https://doi.org/10.1007/978-3-642-18062-0_5
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2011)
Communications on Stochastic Analysis, 5(2) , s. 285-307. Doi: https://doi.org/10.31390/cosa.5.2.03
Barth, Andrea; Benth, Fred Espen & Potthoff, Jurgen (2011)
Applied Mathematical Finance, 18(2) , s. 93-117. Doi: https://doi.org/10.1080/13504861003722385
Benth, Fred Espen (2011)
Mathematical Finance, 21(4) , s. 595-625. Doi: https://doi.org/10.1111/j.1467-9965.2010.00445.x
We consider the non-Gaussian stochastic volatility model of Barndorff-Nielsen and Shephard for the exponential mean-reversion model of Schwartz proposed for commodity spot prices. We analyze the properties of the stochastic dynamics, and show in particular that the log-spot prices possess a stationary distribution defined as a normal variance-mixture model. Furthermore, the stochastic volatility model allows for explicit forward prices, which may produce a hump structure inherited from the mean-reversion of the stochastic volatility. Although the spot price dynamics has continuous paths, the forward prices will have a jump dynamics, where jumps occur according to changes in the volatility process. We compare with the popular Heston stochastic volatility dynamics, and show that the Barndorff-Nielsen and Shephard model provides a more flexible framework in describing commodity spot prices. An empirical example on UK spot data is included.
Taib, Che Mohd Imran Che & Benth, Fred Espen (2011)
Statistical research report (Universitetet i Oslo. Matematisk institut, - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2011)
Advanced Mathematical Methods for Finance, , s. 35-74. Doi: https://doi.org/10.2139/ssrn.1597697
Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection between ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Lévy noise analysis.
Benth, Fred Espen & Henriksen, Pål Nicolai (2011)
Journal of Forecasting, 30(3) , s. 355-376. Doi: https://doi.org/10.1002/for.1179
Benth, Fred Espen & Saltyte-Benth, Jurate (2011)
International Journal of Stochastic Analysis, Doi: https://doi.org/10.1155/2011/576791
We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.
Benth, Fred Espen & Kettler, Paul Carlisle (2011)
Quantitative finance (Print), 11(3) , s. 407-421. Doi: https://doi.org/10.1080/14697688.2010.481629
Benth, Fred Espen; Härdle, Wolfgang Karl & Cabrera, Brenda Lopez (2011)
Statistical Tools for Finance and Insurance, , s. 163-199. Doi: https://doi.org/10.1007/978-3-642-18062-0_5
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2011)
Communications on Stochastic Analysis, 5(2) , s. 285-307. Doi: https://doi.org/10.31390/cosa.5.2.03
Barth, Andrea; Benth, Fred Espen & Potthoff, Jurgen (2011)
Applied Mathematical Finance, 18(2) , s. 93-117. Doi: https://doi.org/10.1080/13504861003722385
Benth, Fred Espen (2011)
Mathematical Finance, 21(4) , s. 595-625. Doi: https://doi.org/10.1111/j.1467-9965.2010.00445.x
We consider the non-Gaussian stochastic volatility model of Barndorff-Nielsen and Shephard for the exponential mean-reversion model of Schwartz proposed for commodity spot prices. We analyze the properties of the stochastic dynamics, and show in particular that the log-spot prices possess a stationary distribution defined as a normal variance-mixture model. Furthermore, the stochastic volatility model allows for explicit forward prices, which may produce a hump structure inherited from the mean-reversion of the stochastic volatility. Although the spot price dynamics has continuous paths, the forward prices will have a jump dynamics, where jumps occur according to changes in the volatility process. We compare with the popular Heston stochastic volatility dynamics, and show that the Barndorff-Nielsen and Shephard model provides a more flexible framework in describing commodity spot prices. An empirical example on UK spot data is included.
Taib, Che Mohd Imran Che & Benth, Fred Espen (2011)
Statistical research report (Universitetet i Oslo. Matematisk institut, - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2011)
Advanced Mathematical Methods for Finance, , s. 35-74. Doi: https://doi.org/10.2139/ssrn.1597697
Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection between ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Lévy noise analysis.
Benth, Fred Espen & Henriksen, Pål Nicolai (2011)
Journal of Forecasting, 30(3) , s. 355-376. Doi: https://doi.org/10.1002/for.1179
Benth, Fred Espen & Saltyte-Benth, Jurate (2011)
International Journal of Stochastic Analysis, Doi: https://doi.org/10.1155/2011/576791
We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.
Benth, Fred Espen & Kettler, Paul Carlisle (2011)
Quantitative finance (Print), 11(3) , s. 407-421. Doi: https://doi.org/10.1080/14697688.2010.481629
Benth, Fred Espen (2011)
Mathematical Finance, 21(4) , s. 595-625. Doi: https://doi.org/10.1111/j.1467-9965.2010.00445.x
We consider the non-Gaussian stochastic volatility model of Barndorff-Nielsen and Shephard for the exponential mean-reversion model of Schwartz proposed for commodity spot prices. We analyze the properties of the stochastic dynamics, and show in particular that the log-spot prices possess a stationary distribution defined as a normal variance-mixture model. Furthermore, the stochastic volatility model allows for explicit forward prices, which may produce a hump structure inherited from the mean-reversion of the stochastic volatility. Although the spot price dynamics has continuous paths, the forward prices will have a jump dynamics, where jumps occur according to changes in the volatility process. We compare with the popular Heston stochastic volatility dynamics, and show that the Barndorff-Nielsen and Shephard model provides a more flexible framework in describing commodity spot prices. An empirical example on UK spot data is included.
Benth, Fred Espen; Härdle, Wolfgang Karl & Cabrera, Brenda Lopez (2011)
Statistical Tools for Finance and Insurance, , s. 163-199. Doi: https://doi.org/10.1007/978-3-642-18062-0_5
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2011)
Communications on Stochastic Analysis, 5(2) , s. 285-307. Doi: https://doi.org/10.31390/cosa.5.2.03
Barth, Andrea; Benth, Fred Espen & Potthoff, Jurgen (2011)
Applied Mathematical Finance, 18(2) , s. 93-117. Doi: https://doi.org/10.1080/13504861003722385
Taib, Che Mohd Imran Che & Benth, Fred Espen (2011)
Statistical research report (Universitetet i Oslo. Matematisk institut, - Fulltekst i vitenarkiv
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2011)
Advanced Mathematical Methods for Finance, , s. 35-74. Doi: https://doi.org/10.2139/ssrn.1597697
Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection between ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Lévy noise analysis.
Benth, Fred Espen & Henriksen, Pål Nicolai (2011)
Journal of Forecasting, 30(3) , s. 355-376. Doi: https://doi.org/10.1002/for.1179
Benth, Fred Espen & Saltyte-Benth, Jurate (2011)
International Journal of Stochastic Analysis, Doi: https://doi.org/10.1155/2011/576791
We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.
Benth, Fred Espen & Kettler, Paul Carlisle (2011)
Quantitative finance (Print), 11(3) , s. 407-421. Doi: https://doi.org/10.1080/14697688.2010.481629
Benth, Fred Espen (2011)
Mathematical Finance, 21(4) , s. 595-625. Doi: https://doi.org/10.1111/j.1467-9965.2010.00445.x
We consider the non-Gaussian stochastic volatility model of Barndorff-Nielsen and Shephard for the exponential mean-reversion model of Schwartz proposed for commodity spot prices. We analyze the properties of the stochastic dynamics, and show in particular that the log-spot prices possess a stationary distribution defined as a normal variance-mixture model. Furthermore, the stochastic volatility model allows for explicit forward prices, which may produce a hump structure inherited from the mean-reversion of the stochastic volatility. Although the spot price dynamics has continuous paths, the forward prices will have a jump dynamics, where jumps occur according to changes in the volatility process. We compare with the popular Heston stochastic volatility dynamics, and show that the Barndorff-Nielsen and Shephard model provides a more flexible framework in describing commodity spot prices. An empirical example on UK spot data is included.
Benth, Fred Espen; Härdle, Wolfgang Karl & Cabrera, Brenda Lopez (2011)
Statistical Tools for Finance and Insurance, , s. 163-199. Doi: https://doi.org/10.1007/978-3-642-18062-0_5
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2011)
Communications on Stochastic Analysis, 5(2) , s. 285-307. Doi: https://doi.org/10.31390/cosa.5.2.03
Barth, Andrea; Benth, Fred Espen & Potthoff, Jurgen (2011)
Applied Mathematical Finance, 18(2) , s. 93-117. Doi: https://doi.org/10.1080/13504861003722385
Benth, Fred Espen; Groth, Martin & Wallin, Olli Tapani (2010)
Stochastics: An International Journal of Probability and Stochastic Processes, 82(3) , s. 291-313. Doi: https://doi.org/10.1080/17442501003629554
Saltyte-Benth, Jurate & Benth, Fred Espen (2010)
Journal of Applied Statistics, 37(6) , s. 893-909. Doi: https://doi.org/10.1080/02664760902914490
Benth, Fred Espen; Groth, Martin Johan & Lindberg, Carl (2010)
International Journal of Applied Mathematics and Statistics, 16(M10) , s. 11-37.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
Preprint series (Universitetet i Oslo. Matematisk institutt), (2)
Benth, Fred Espen; Koekebakker, Steen & Zakamouline, Valeri (2010)
AIP Conference Proceedings, 1281, s. 531-534. Doi: https://doi.org/10.1063/1.3498530
Benth, Fred Espen (2010)
Alternative Investments and Strategies, , s. 93-122.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
QUANTUM PROBABILITY AND INFINITE DIMENSIONAL ANALYSIS - Proceedings of the 29th Conference, , s. 153-184.
Erlwein, Christina; Benth, Fred Espen & Mamon, Rogemar (2010)
Energy Economics, 32(5) , s. 1034-1043. Doi: https://doi.org/10.1016/j.eneco.2010.01.005
Benth, Fred Espen; Frestad, Dennis & Koekebakker, Steen (2010)
Energy Journal, 31(2) , s. 53-86.
We analyze the daily returns of Nordic electricity swaps and identify significant risk premia in the short end of the market. On average, long positions in this part of the swap market yield negative returns. The daily returns are distinctively non-normal in terms of tail-fatness, but we find little evidence of asymmetry. We investigate if the flexible four-parameter class of normal inverse Gaussian (NIG) distributions can capture the observed stylized facts and find that this class of distributions offers a remarkably improved fit relative to the normal distribution. We also compare the fit with that of the four-parameter class of stable distributions; the NIG law outperforms the stable law in the vast majority of cases. Thus, the NIG family of distributions, which allows for stochastic dynamics in terms of Levy processes that are suitable for pricing derivatives and Value-at-Risk measurements, is a serious candidate for modeling term structure dynamics in the Nordic electricity market.
Benth, Fred Espen; Groth, Martin & Wallin, Olli Tapani (2010)
Stochastics: An International Journal of Probability and Stochastic Processes, 82(3) , s. 291-313. Doi: https://doi.org/10.1080/17442501003629554
Saltyte-Benth, Jurate & Benth, Fred Espen (2010)
Journal of Applied Statistics, 37(6) , s. 893-909. Doi: https://doi.org/10.1080/02664760902914490
Benth, Fred Espen; Groth, Martin Johan & Lindberg, Carl (2010)
International Journal of Applied Mathematics and Statistics, 16(M10) , s. 11-37.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
Preprint series (Universitetet i Oslo. Matematisk institutt), (2)
Benth, Fred Espen; Koekebakker, Steen & Zakamouline, Valeri (2010)
AIP Conference Proceedings, 1281, s. 531-534. Doi: https://doi.org/10.1063/1.3498530
Benth, Fred Espen (2010)
Alternative Investments and Strategies, , s. 93-122.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
QUANTUM PROBABILITY AND INFINITE DIMENSIONAL ANALYSIS - Proceedings of the 29th Conference, , s. 153-184.
Erlwein, Christina; Benth, Fred Espen & Mamon, Rogemar (2010)
Energy Economics, 32(5) , s. 1034-1043. Doi: https://doi.org/10.1016/j.eneco.2010.01.005
Benth, Fred Espen; Frestad, Dennis & Koekebakker, Steen (2010)
Energy Journal, 31(2) , s. 53-86.
We analyze the daily returns of Nordic electricity swaps and identify significant risk premia in the short end of the market. On average, long positions in this part of the swap market yield negative returns. The daily returns are distinctively non-normal in terms of tail-fatness, but we find little evidence of asymmetry. We investigate if the flexible four-parameter class of normal inverse Gaussian (NIG) distributions can capture the observed stylized facts and find that this class of distributions offers a remarkably improved fit relative to the normal distribution. We also compare the fit with that of the four-parameter class of stable distributions; the NIG law outperforms the stable law in the vast majority of cases. Thus, the NIG family of distributions, which allows for stochastic dynamics in terms of Levy processes that are suitable for pricing derivatives and Value-at-Risk measurements, is a serious candidate for modeling term structure dynamics in the Nordic electricity market.
Benth, Fred Espen; Groth, Martin & Wallin, Olli Tapani (2010)
Stochastics: An International Journal of Probability and Stochastic Processes, 82(3) , s. 291-313. Doi: https://doi.org/10.1080/17442501003629554
Saltyte-Benth, Jurate & Benth, Fred Espen (2010)
Journal of Applied Statistics, 37(6) , s. 893-909. Doi: https://doi.org/10.1080/02664760902914490
Benth, Fred Espen; Groth, Martin Johan & Lindberg, Carl (2010)
International Journal of Applied Mathematics and Statistics, 16(M10) , s. 11-37.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
Preprint series (Universitetet i Oslo. Matematisk institutt), (2)
Benth, Fred Espen; Koekebakker, Steen & Zakamouline, Valeri (2010)
AIP Conference Proceedings, 1281, s. 531-534. Doi: https://doi.org/10.1063/1.3498530
Benth, Fred Espen (2010)
Alternative Investments and Strategies, , s. 93-122.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
QUANTUM PROBABILITY AND INFINITE DIMENSIONAL ANALYSIS - Proceedings of the 29th Conference, , s. 153-184.
Erlwein, Christina; Benth, Fred Espen & Mamon, Rogemar (2010)
Energy Economics, 32(5) , s. 1034-1043. Doi: https://doi.org/10.1016/j.eneco.2010.01.005
Benth, Fred Espen; Frestad, Dennis & Koekebakker, Steen (2010)
Energy Journal, 31(2) , s. 53-86.
We analyze the daily returns of Nordic electricity swaps and identify significant risk premia in the short end of the market. On average, long positions in this part of the swap market yield negative returns. The daily returns are distinctively non-normal in terms of tail-fatness, but we find little evidence of asymmetry. We investigate if the flexible four-parameter class of normal inverse Gaussian (NIG) distributions can capture the observed stylized facts and find that this class of distributions offers a remarkably improved fit relative to the normal distribution. We also compare the fit with that of the four-parameter class of stable distributions; the NIG law outperforms the stable law in the vast majority of cases. Thus, the NIG family of distributions, which allows for stochastic dynamics in terms of Levy processes that are suitable for pricing derivatives and Value-at-Risk measurements, is a serious candidate for modeling term structure dynamics in the Nordic electricity market.
Benth, Fred Espen; Groth, Martin & Wallin, Olli Tapani (2010)
Stochastics: An International Journal of Probability and Stochastic Processes, 82(3) , s. 291-313. Doi: https://doi.org/10.1080/17442501003629554
Saltyte-Benth, Jurate & Benth, Fred Espen (2010)
Journal of Applied Statistics, 37(6) , s. 893-909. Doi: https://doi.org/10.1080/02664760902914490
Benth, Fred Espen; Groth, Martin Johan & Lindberg, Carl (2010)
International Journal of Applied Mathematics and Statistics, 16(M10) , s. 11-37.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
QUANTUM PROBABILITY AND INFINITE DIMENSIONAL ANALYSIS - Proceedings of the 29th Conference, , s. 153-184.
Erlwein, Christina; Benth, Fred Espen & Mamon, Rogemar (2010)
Energy Economics, 32(5) , s. 1034-1043. Doi: https://doi.org/10.1016/j.eneco.2010.01.005
Benth, Fred Espen; Frestad, Dennis & Koekebakker, Steen (2010)
Energy Journal, 31(2) , s. 53-86.
We analyze the daily returns of Nordic electricity swaps and identify significant risk premia in the short end of the market. On average, long positions in this part of the swap market yield negative returns. The daily returns are distinctively non-normal in terms of tail-fatness, but we find little evidence of asymmetry. We investigate if the flexible four-parameter class of normal inverse Gaussian (NIG) distributions can capture the observed stylized facts and find that this class of distributions offers a remarkably improved fit relative to the normal distribution. We also compare the fit with that of the four-parameter class of stable distributions; the NIG law outperforms the stable law in the vast majority of cases. Thus, the NIG family of distributions, which allows for stochastic dynamics in terms of Levy processes that are suitable for pricing derivatives and Value-at-Risk measurements, is a serious candidate for modeling term structure dynamics in the Nordic electricity market.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
Preprint series (Universitetet i Oslo. Matematisk institutt), (2)
Benth, Fred Espen; Koekebakker, Steen & Zakamouline, Valeri (2010)
AIP Conference Proceedings, 1281, s. 531-534. Doi: https://doi.org/10.1063/1.3498530
Benth, Fred Espen (2010)
Alternative Investments and Strategies, , s. 93-122.
Benth, Fred Espen; Groth, Martin & Wallin, Olli Tapani (2010)
Stochastics: An International Journal of Probability and Stochastic Processes, 82(3) , s. 291-313. Doi: https://doi.org/10.1080/17442501003629554
Saltyte-Benth, Jurate & Benth, Fred Espen (2010)
Journal of Applied Statistics, 37(6) , s. 893-909. Doi: https://doi.org/10.1080/02664760902914490
Benth, Fred Espen; Groth, Martin Johan & Lindberg, Carl (2010)
International Journal of Applied Mathematics and Statistics, 16(M10) , s. 11-37.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
QUANTUM PROBABILITY AND INFINITE DIMENSIONAL ANALYSIS - Proceedings of the 29th Conference, , s. 153-184.
Erlwein, Christina; Benth, Fred Espen & Mamon, Rogemar (2010)
Energy Economics, 32(5) , s. 1034-1043. Doi: https://doi.org/10.1016/j.eneco.2010.01.005
Benth, Fred Espen; Frestad, Dennis & Koekebakker, Steen (2010)
Energy Journal, 31(2) , s. 53-86.
We analyze the daily returns of Nordic electricity swaps and identify significant risk premia in the short end of the market. On average, long positions in this part of the swap market yield negative returns. The daily returns are distinctively non-normal in terms of tail-fatness, but we find little evidence of asymmetry. We investigate if the flexible four-parameter class of normal inverse Gaussian (NIG) distributions can capture the observed stylized facts and find that this class of distributions offers a remarkably improved fit relative to the normal distribution. We also compare the fit with that of the four-parameter class of stable distributions; the NIG law outperforms the stable law in the vast majority of cases. Thus, the NIG family of distributions, which allows for stochastic dynamics in terms of Levy processes that are suitable for pricing derivatives and Value-at-Risk measurements, is a serious candidate for modeling term structure dynamics in the Nordic electricity market.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
Preprint series (Universitetet i Oslo. Matematisk institutt), (2)
Benth, Fred Espen; Koekebakker, Steen & Zakamouline, Valeri (2010)
AIP Conference Proceedings, 1281, s. 531-534. Doi: https://doi.org/10.1063/1.3498530
Benth, Fred Espen (2010)
Alternative Investments and Strategies, , s. 93-122.
Benth, Fred Espen & Benth, Jurate S (2009)
Energy Economics, 31(1) , s. 16-24.
Daily average wind speeds are dynamically modelled by a continuous-time autoregressive model with seasonal mean and volatility. Futures prices based on an index of aggregated wind speeds are derived, and it is shown that the Samuelson effect breaks down. The volatility of these futures will decrease when approaching maturity, an effect which is explained by the memory in higher-order autoregressive models. (C) 2008 Elsevier B.V. All rights reserved.
Benth, Fred Espen & Proske, Frank Norbert (2009)
International Journal of Theoretical and Applied Finance, 12(1) , s. 63-82. Doi: https://doi.org/10.1142/S0219024909005117
Benth, Fred Espen & Meyer-Brandis, Thilo (2009)
Journal of Energy Markets, 2(3) , s. 111-140.
Benth, Fred Espen & Groth, Martin Johan (2009)
Stochastic Analysis and Applications, 27(5) , s. 875-896. Doi: https://doi.org/10.1080/07362990903136413
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2009)
Preprint series (Universitetet i Oslo. Matematisk institutt), (17)
Benth, Fred Espen & Kufakunesu, Rodwell (2009)
International Journal of Theoretical and Applied Finance, 12(4) , s. 491-506.
Benth, Fred Espen & Saltyte-Benth, Jurate (2009)
Energy Economics, 31(1) , s. 16-24. Doi: https://doi.org/10.1016/j.eneco.2008.09.009
Benth, Fred Espen & Benth, Jurate S (2009)
Energy Economics, 31(1) , s. 16-24.
Daily average wind speeds are dynamically modelled by a continuous-time autoregressive model with seasonal mean and volatility. Futures prices based on an index of aggregated wind speeds are derived, and it is shown that the Samuelson effect breaks down. The volatility of these futures will decrease when approaching maturity, an effect which is explained by the memory in higher-order autoregressive models. (C) 2008 Elsevier B.V. All rights reserved.
Benth, Fred Espen & Proske, Frank Norbert (2009)
International Journal of Theoretical and Applied Finance, 12(1) , s. 63-82. Doi: https://doi.org/10.1142/S0219024909005117
Benth, Fred Espen & Meyer-Brandis, Thilo (2009)
Journal of Energy Markets, 2(3) , s. 111-140.
Benth, Fred Espen & Groth, Martin Johan (2009)
Stochastic Analysis and Applications, 27(5) , s. 875-896. Doi: https://doi.org/10.1080/07362990903136413
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2009)
Preprint series (Universitetet i Oslo. Matematisk institutt), (17)
Benth, Fred Espen & Kufakunesu, Rodwell (2009)
International Journal of Theoretical and Applied Finance, 12(4) , s. 491-506.
Benth, Fred Espen & Saltyte-Benth, Jurate (2009)
Energy Economics, 31(1) , s. 16-24. Doi: https://doi.org/10.1016/j.eneco.2008.09.009
Benth, Fred Espen & Benth, Jurate S (2009)
Energy Economics, 31(1) , s. 16-24.
Daily average wind speeds are dynamically modelled by a continuous-time autoregressive model with seasonal mean and volatility. Futures prices based on an index of aggregated wind speeds are derived, and it is shown that the Samuelson effect breaks down. The volatility of these futures will decrease when approaching maturity, an effect which is explained by the memory in higher-order autoregressive models. (C) 2008 Elsevier B.V. All rights reserved.
Benth, Fred Espen & Proske, Frank Norbert (2009)
International Journal of Theoretical and Applied Finance, 12(1) , s. 63-82. Doi: https://doi.org/10.1142/S0219024909005117
Benth, Fred Espen & Meyer-Brandis, Thilo (2009)
Journal of Energy Markets, 2(3) , s. 111-140.
Benth, Fred Espen & Groth, Martin Johan (2009)
Stochastic Analysis and Applications, 27(5) , s. 875-896. Doi: https://doi.org/10.1080/07362990903136413
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2009)
Preprint series (Universitetet i Oslo. Matematisk institutt), (17)
Benth, Fred Espen & Kufakunesu, Rodwell (2009)
International Journal of Theoretical and Applied Finance, 12(4) , s. 491-506.
Benth, Fred Espen & Saltyte-Benth, Jurate (2009)
Energy Economics, 31(1) , s. 16-24. Doi: https://doi.org/10.1016/j.eneco.2008.09.009
Benth, Fred Espen & Benth, Jurate S (2009)
Energy Economics, 31(1) , s. 16-24.
Daily average wind speeds are dynamically modelled by a continuous-time autoregressive model with seasonal mean and volatility. Futures prices based on an index of aggregated wind speeds are derived, and it is shown that the Samuelson effect breaks down. The volatility of these futures will decrease when approaching maturity, an effect which is explained by the memory in higher-order autoregressive models. (C) 2008 Elsevier B.V. All rights reserved.
Benth, Fred Espen & Proske, Frank Norbert (2009)
International Journal of Theoretical and Applied Finance, 12(1) , s. 63-82. Doi: https://doi.org/10.1142/S0219024909005117
Benth, Fred Espen & Meyer-Brandis, Thilo (2009)
Journal of Energy Markets, 2(3) , s. 111-140.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2009)
Preprint series (Universitetet i Oslo. Matematisk institutt), (17)
Benth, Fred Espen & Kufakunesu, Rodwell (2009)
International Journal of Theoretical and Applied Finance, 12(4) , s. 491-506.
Benth, Fred Espen & Saltyte-Benth, Jurate (2009)
Energy Economics, 31(1) , s. 16-24. Doi: https://doi.org/10.1016/j.eneco.2008.09.009
Benth, Fred Espen & Groth, Martin Johan (2009)
Stochastic Analysis and Applications, 27(5) , s. 875-896. Doi: https://doi.org/10.1080/07362990903136413
Benth, Fred Espen & Benth, Jurate S (2009)
Energy Economics, 31(1) , s. 16-24.
Daily average wind speeds are dynamically modelled by a continuous-time autoregressive model with seasonal mean and volatility. Futures prices based on an index of aggregated wind speeds are derived, and it is shown that the Samuelson effect breaks down. The volatility of these futures will decrease when approaching maturity, an effect which is explained by the memory in higher-order autoregressive models. (C) 2008 Elsevier B.V. All rights reserved.
Benth, Fred Espen & Proske, Frank Norbert (2009)
International Journal of Theoretical and Applied Finance, 12(1) , s. 63-82. Doi: https://doi.org/10.1142/S0219024909005117
Benth, Fred Espen & Meyer-Brandis, Thilo (2009)
Journal of Energy Markets, 2(3) , s. 111-140.
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2009)
Preprint series (Universitetet i Oslo. Matematisk institutt), (17)
Benth, Fred Espen & Kufakunesu, Rodwell (2009)
International Journal of Theoretical and Applied Finance, 12(4) , s. 491-506.
Benth, Fred Espen & Saltyte-Benth, Jurate (2009)
Energy Economics, 31(1) , s. 16-24. Doi: https://doi.org/10.1016/j.eneco.2008.09.009
Benth, Fred Espen & Groth, Martin Johan (2009)
Stochastic Analysis and Applications, 27(5) , s. 875-896. Doi: https://doi.org/10.1080/07362990903136413
Benth, Fred Espen; Cartea, Alvaro & Kiesel, Ruediger (2008)
Journal of Banking & Finance, 32(10) , s. 2006-2021. Doi: https://doi.org/10.1016/j.jbankfin.2007.12.022
Benth, Fred Espen & Proske, Frank (2008)
International Journal of Theoretical and Applied Finance,
Benth, Fred Espen; Cartea, Alvaro & Kiesel, Ruediger (2008)
Journal of Banking & Finance, Journal of Banking &(Volum 32 (10)) , s. 2006-2021.
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2008)
World Scientific
Benth, Fred Espen & Koekebakker, Steen (2008)
Energy Economics, 30(3) , s. 1116-1157. Doi: https://doi.org/10.1016/j.eneco.2007.06.005
Barth, Andrea; Benth, Fred Espen & Potthoff, Juergen (2008)
Preprint series (Universitetet i Oslo. Matematisk institutt),
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 dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.
Benth, Fred Espen; Benth, Jurate S & Koekebakker, Steen (2008)
World Scientific
Benth, Fred Espen & Koekebakker, Steen (2008)
Energy Economics, 30(3) , s. 1116-1157.
We discuss the modeling of electricity contracts traded in many deregulated power markets. These forward/futures type contracts deliver (either physically or financially) electricity over a specified time period, and is frequently referred to as swaps since they in effect represent an exchange of fixed for floating electricity price. We propose to use the Heath-Jarrow-Morton approach to model swap prices since the notion of a spot price is not easily defined in these markets. For general stochastic dynamical models, we connect the spot price, the instantaneous-delivery forward price and the swap price, and analyze two different ways to apply the Heath-Jarrow-Morton approach to swap pricing: Either one specifies a dynamics for the non-existing instantaneous-delivery forwards and derives the implied swap dynamics, or one models directly on the swaps. The former is shown to lead to quite complicated stochastic models for the swap price, even when the forward dynamics is simple. The latter has some theoretical problems due to a no-arbitrage condition that has to be satisfied for swaps with overlapping delivery periods. To overcome this problem, a practical modeling approach is analyzed. The market is supposed only to consist of non-overlapping swaps, and these are modelled directly. A thorough empirical study is performed using data collected from Nord Pool. Our investigations demonstrate that it is possible to state reasonable models for the swap price dynamics which is analytically tractable for risk management and option pricing purposes, however, this is an area of further research. (c) 2007 Elsevier B.V. All rights reserved.
Benth, Fred Espen; Cartea, Alvaro & Kiesel, Ruediger (2008)
Journal of Banking & Finance, 32(10) , s. 2006-2021. Doi: https://doi.org/10.1016/j.jbankfin.2007.12.022
Benth, Fred Espen & Proske, Frank (2008)
International Journal of Theoretical and Applied Finance,
Benth, Fred Espen; Cartea, Alvaro & Kiesel, Ruediger (2008)
Journal of Banking & Finance, Journal of Banking &(Volum 32 (10)) , s. 2006-2021.
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2008)
World Scientific
Benth, Fred Espen & Koekebakker, Steen (2008)
Energy Economics, 30(3) , s. 1116-1157. Doi: https://doi.org/10.1016/j.eneco.2007.06.005
Barth, Andrea; Benth, Fred Espen & Potthoff, Juergen (2008)
Preprint series (Universitetet i Oslo. Matematisk institutt),
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 dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.
Benth, Fred Espen; Benth, Jurate S & Koekebakker, Steen (2008)
World Scientific
Benth, Fred Espen & Koekebakker, Steen (2008)
Energy Economics, 30(3) , s. 1116-1157.
We discuss the modeling of electricity contracts traded in many deregulated power markets. These forward/futures type contracts deliver (either physically or financially) electricity over a specified time period, and is frequently referred to as swaps since they in effect represent an exchange of fixed for floating electricity price. We propose to use the Heath-Jarrow-Morton approach to model swap prices since the notion of a spot price is not easily defined in these markets. For general stochastic dynamical models, we connect the spot price, the instantaneous-delivery forward price and the swap price, and analyze two different ways to apply the Heath-Jarrow-Morton approach to swap pricing: Either one specifies a dynamics for the non-existing instantaneous-delivery forwards and derives the implied swap dynamics, or one models directly on the swaps. The former is shown to lead to quite complicated stochastic models for the swap price, even when the forward dynamics is simple. The latter has some theoretical problems due to a no-arbitrage condition that has to be satisfied for swaps with overlapping delivery periods. To overcome this problem, a practical modeling approach is analyzed. The market is supposed only to consist of non-overlapping swaps, and these are modelled directly. A thorough empirical study is performed using data collected from Nord Pool. Our investigations demonstrate that it is possible to state reasonable models for the swap price dynamics which is analytically tractable for risk management and option pricing purposes, however, this is an area of further research. (c) 2007 Elsevier B.V. All rights reserved.
Benth, Fred Espen; Cartea, Alvaro & Kiesel, Ruediger (2008)
Journal of Banking & Finance, 32(10) , s. 2006-2021. Doi: https://doi.org/10.1016/j.jbankfin.2007.12.022
Benth, Fred Espen & Proske, Frank (2008)
International Journal of Theoretical and Applied Finance,
Benth, Fred Espen; Cartea, Alvaro & Kiesel, Ruediger (2008)
Journal of Banking & Finance, Journal of Banking &(Volum 32 (10)) , s. 2006-2021.
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2008)
World Scientific
Benth, Fred Espen & Koekebakker, Steen (2008)
Energy Economics, 30(3) , s. 1116-1157. Doi: https://doi.org/10.1016/j.eneco.2007.06.005
Barth, Andrea; Benth, Fred Espen & Potthoff, Juergen (2008)
Preprint series (Universitetet i Oslo. Matematisk institutt),
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 dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.
Benth, Fred Espen; Benth, Jurate S & Koekebakker, Steen (2008)
World Scientific
Benth, Fred Espen & Koekebakker, Steen (2008)
Energy Economics, 30(3) , s. 1116-1157.
We discuss the modeling of electricity contracts traded in many deregulated power markets. These forward/futures type contracts deliver (either physically or financially) electricity over a specified time period, and is frequently referred to as swaps since they in effect represent an exchange of fixed for floating electricity price. We propose to use the Heath-Jarrow-Morton approach to model swap prices since the notion of a spot price is not easily defined in these markets. For general stochastic dynamical models, we connect the spot price, the instantaneous-delivery forward price and the swap price, and analyze two different ways to apply the Heath-Jarrow-Morton approach to swap pricing: Either one specifies a dynamics for the non-existing instantaneous-delivery forwards and derives the implied swap dynamics, or one models directly on the swaps. The former is shown to lead to quite complicated stochastic models for the swap price, even when the forward dynamics is simple. The latter has some theoretical problems due to a no-arbitrage condition that has to be satisfied for swaps with overlapping delivery periods. To overcome this problem, a practical modeling approach is analyzed. The market is supposed only to consist of non-overlapping swaps, and these are modelled directly. A thorough empirical study is performed using data collected from Nord Pool. Our investigations demonstrate that it is possible to state reasonable models for the swap price dynamics which is analytically tractable for risk management and option pricing purposes, however, this is an area of further research. (c) 2007 Elsevier B.V. All rights reserved.
Benth, Fred Espen & Koekebakker, Steen (2008)
Energy Economics, 30(3) , s. 1116-1157.
We discuss the modeling of electricity contracts traded in many deregulated power markets. These forward/futures type contracts deliver (either physically or financially) electricity over a specified time period, and is frequently referred to as swaps since they in effect represent an exchange of fixed for floating electricity price. We propose to use the Heath-Jarrow-Morton approach to model swap prices since the notion of a spot price is not easily defined in these markets. For general stochastic dynamical models, we connect the spot price, the instantaneous-delivery forward price and the swap price, and analyze two different ways to apply the Heath-Jarrow-Morton approach to swap pricing: Either one specifies a dynamics for the non-existing instantaneous-delivery forwards and derives the implied swap dynamics, or one models directly on the swaps. The former is shown to lead to quite complicated stochastic models for the swap price, even when the forward dynamics is simple. The latter has some theoretical problems due to a no-arbitrage condition that has to be satisfied for swaps with overlapping delivery periods. To overcome this problem, a practical modeling approach is analyzed. The market is supposed only to consist of non-overlapping swaps, and these are modelled directly. A thorough empirical study is performed using data collected from Nord Pool. Our investigations demonstrate that it is possible to state reasonable models for the swap price dynamics which is analytically tractable for risk management and option pricing purposes, however, this is an area of further research. (c) 2007 Elsevier B.V. All rights reserved.
Benth, Fred Espen; Cartea, Alvaro & Kiesel, Ruediger (2008)
Journal of Banking & Finance, 32(10) , s. 2006-2021. Doi: https://doi.org/10.1016/j.jbankfin.2007.12.022
Benth, Fred Espen & Proske, Frank (2008)
International Journal of Theoretical and Applied Finance,
Benth, Fred Espen; Cartea, Alvaro & Kiesel, Ruediger (2008)
Journal of Banking & Finance, Journal of Banking &(Volum 32 (10)) , s. 2006-2021.
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2008)
World Scientific
Benth, Fred Espen & Koekebakker, Steen (2008)
Energy Economics, 30(3) , s. 1116-1157. Doi: https://doi.org/10.1016/j.eneco.2007.06.005
Barth, Andrea; Benth, Fred Espen & Potthoff, Juergen (2008)
Preprint series (Universitetet i Oslo. Matematisk institutt),
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 dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.
Benth, Fred Espen; Benth, Jurate S & Koekebakker, Steen (2008)
World Scientific
Benth, Fred Espen & Koekebakker, Steen (2008)
Energy Economics, 30(3) , s. 1116-1157.
We discuss the modeling of electricity contracts traded in many deregulated power markets. These forward/futures type contracts deliver (either physically or financially) electricity over a specified time period, and is frequently referred to as swaps since they in effect represent an exchange of fixed for floating electricity price. We propose to use the Heath-Jarrow-Morton approach to model swap prices since the notion of a spot price is not easily defined in these markets. For general stochastic dynamical models, we connect the spot price, the instantaneous-delivery forward price and the swap price, and analyze two different ways to apply the Heath-Jarrow-Morton approach to swap pricing: Either one specifies a dynamics for the non-existing instantaneous-delivery forwards and derives the implied swap dynamics, or one models directly on the swaps. The former is shown to lead to quite complicated stochastic models for the swap price, even when the forward dynamics is simple. The latter has some theoretical problems due to a no-arbitrage condition that has to be satisfied for swaps with overlapping delivery periods. To overcome this problem, a practical modeling approach is analyzed. The market is supposed only to consist of non-overlapping swaps, and these are modelled directly. A thorough empirical study is performed using data collected from Nord Pool. Our investigations demonstrate that it is possible to state reasonable models for the swap price dynamics which is analytically tractable for risk management and option pricing purposes, however, this is an area of further research. (c) 2007 Elsevier B.V. All rights reserved.
Benth, Fred Espen; Cartea, Alvaro & Kiesel, Ruediger (2008)
Journal of Banking & Finance, 32(10) , s. 2006-2021. Doi: https://doi.org/10.1016/j.jbankfin.2007.12.022
Benth, Fred Espen & Proske, Frank (2008)
International Journal of Theoretical and Applied Finance,
Benth, Fred Espen; Cartea, Alvaro & Kiesel, Ruediger (2008)
Journal of Banking & Finance, Journal of Banking &(Volum 32 (10)) , s. 2006-2021.
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2008)
World Scientific
Benth, Fred Espen & Koekebakker, Steen (2008)
Energy Economics, 30(3) , s. 1116-1157. Doi: https://doi.org/10.1016/j.eneco.2007.06.005
Barth, Andrea; Benth, Fred Espen & Potthoff, Juergen (2008)
Preprint series (Universitetet i Oslo. Matematisk institutt),
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 dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.
Benth, Fred Espen; Benth, Jurate S & Koekebakker, Steen (2008)
World Scientific
Benth, Fred Espen; Groth, Martin & Kufakunesu, Rodwell (2007)
Applied Mathematical Finance, 14(4) , s. 347-363. Doi: https://doi.org/10.1080/13504860601170609
Lindstrøm, Tom Louis; Øksendal, Bernt, Nunno, Giulia Di, Benth, Fred Espen & Zhang, Tusheng (2007)
Springer
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007)
Scandinavian Journal of Statistics, 34, s. 746-767. Doi: https://doi.org/10.1111/j.1467-9469.2007.00564.x
Benth, Fred Espen & Saltyte-Benth, Jurate (2007)
Quantitative finance (Print), 7(5) , s. 553-561.
We propose an Ornstein-Uhlenbeck process with seasonal volatility to model the time dynamics of daily average temperatures. The model is fitted to approximately 45 years of daily observations recorded in Stockholm, one of the European cities for which there is a trade in weather futures and options on the Chicago Mercantile Exchange. Explicit pricing dynamics for futures contracts written on the number of heating/cooling degree-days (so-called HDD/CDD futures) and the cumulative average daily temperature (so-called CAT futures) are calculated, along with a discussion on how to evaluate call and put options with these futures as underlying.
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2007)
Applied Mathematical Finance, 14(2) , s. 153-169. Doi: https://doi.org/10.1080/13504860600725031
Benth, Fred Espen; Koekebakker, Steen & Ollmar, Fridthjof (2007)
Journal of Derivatives, 15(1) , s. 52-66.
Saltyte-Benth, Jurate; Benth, Fred Espen & Jalinskas, Paulius (2007)
Journal of Applied Statistics, 34(7) , s. 823-841. Doi: https://doi.org/10.1080/02664760701511398
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2007)
Applied Mathematical Finance, 14(2) , s. 153-169.
Benth, Fred Espen & Saltyte-Benth, Jurate (2007)
Quantitative finance (Print), 7(5) , s. 553-561. Doi: https://doi.org/10.1080/14697680601155334
Benth, Fred Espen; Nunno, Giulia Di, Lindstrøm, Tom, Øksendal, Bernt & Zhang, Tusheng (2007)
Springer
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007)
Scandinavian Journal of Statistics, 34(4) , s. 746-767.
Benth, Fred Espen; Ollmar, Fridthjof & Koekebakker, Steen (2007)
Journal of Derivatives, 15(1) , s. 52-66.
Benth, Fred Espen; Groth, Martin & Kufakunesu, Rodwell (2007)
Applied Mathematical Finance, 14(4) , s. 347-363.
Benth, Fred Espen; Groth, Martin & Kufakunesu, Rodwell (2007)
Applied Mathematical Finance, 14(4) , s. 347-363. Doi: https://doi.org/10.1080/13504860601170609
Lindstrøm, Tom Louis; Øksendal, Bernt, Nunno, Giulia Di, Benth, Fred Espen & Zhang, Tusheng (2007)
Springer
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007)
Scandinavian Journal of Statistics, 34, s. 746-767. Doi: https://doi.org/10.1111/j.1467-9469.2007.00564.x
Benth, Fred Espen & Saltyte-Benth, Jurate (2007)
Quantitative finance (Print), 7(5) , s. 553-561.
We propose an Ornstein-Uhlenbeck process with seasonal volatility to model the time dynamics of daily average temperatures. The model is fitted to approximately 45 years of daily observations recorded in Stockholm, one of the European cities for which there is a trade in weather futures and options on the Chicago Mercantile Exchange. Explicit pricing dynamics for futures contracts written on the number of heating/cooling degree-days (so-called HDD/CDD futures) and the cumulative average daily temperature (so-called CAT futures) are calculated, along with a discussion on how to evaluate call and put options with these futures as underlying.
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2007)
Applied Mathematical Finance, 14(2) , s. 153-169. Doi: https://doi.org/10.1080/13504860600725031
Benth, Fred Espen; Koekebakker, Steen & Ollmar, Fridthjof (2007)
Journal of Derivatives, 15(1) , s. 52-66.
Saltyte-Benth, Jurate; Benth, Fred Espen & Jalinskas, Paulius (2007)
Journal of Applied Statistics, 34(7) , s. 823-841. Doi: https://doi.org/10.1080/02664760701511398
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2007)
Applied Mathematical Finance, 14(2) , s. 153-169.
Benth, Fred Espen & Saltyte-Benth, Jurate (2007)
Quantitative finance (Print), 7(5) , s. 553-561. Doi: https://doi.org/10.1080/14697680601155334
Benth, Fred Espen; Nunno, Giulia Di, Lindstrøm, Tom, Øksendal, Bernt & Zhang, Tusheng (2007)
Springer
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007)
Scandinavian Journal of Statistics, 34(4) , s. 746-767.
Benth, Fred Espen; Ollmar, Fridthjof & Koekebakker, Steen (2007)
Journal of Derivatives, 15(1) , s. 52-66.
Benth, Fred Espen; Groth, Martin & Kufakunesu, Rodwell (2007)
Applied Mathematical Finance, 14(4) , s. 347-363.
Benth, Fred Espen; Groth, Martin & Kufakunesu, Rodwell (2007)
Applied Mathematical Finance, 14(4) , s. 347-363. Doi: https://doi.org/10.1080/13504860601170609
Lindstrøm, Tom Louis; Øksendal, Bernt, Nunno, Giulia Di, Benth, Fred Espen & Zhang, Tusheng (2007)
Springer
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007)
Scandinavian Journal of Statistics, 34, s. 746-767. Doi: https://doi.org/10.1111/j.1467-9469.2007.00564.x
Benth, Fred Espen & Saltyte-Benth, Jurate (2007)
Quantitative finance (Print), 7(5) , s. 553-561.
We propose an Ornstein-Uhlenbeck process with seasonal volatility to model the time dynamics of daily average temperatures. The model is fitted to approximately 45 years of daily observations recorded in Stockholm, one of the European cities for which there is a trade in weather futures and options on the Chicago Mercantile Exchange. Explicit pricing dynamics for futures contracts written on the number of heating/cooling degree-days (so-called HDD/CDD futures) and the cumulative average daily temperature (so-called CAT futures) are calculated, along with a discussion on how to evaluate call and put options with these futures as underlying.
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2007)
Applied Mathematical Finance, 14(2) , s. 153-169. Doi: https://doi.org/10.1080/13504860600725031
Benth, Fred Espen; Koekebakker, Steen & Ollmar, Fridthjof (2007)
Journal of Derivatives, 15(1) , s. 52-66.
Saltyte-Benth, Jurate; Benth, Fred Espen & Jalinskas, Paulius (2007)
Journal of Applied Statistics, 34(7) , s. 823-841. Doi: https://doi.org/10.1080/02664760701511398
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2007)
Applied Mathematical Finance, 14(2) , s. 153-169.
Benth, Fred Espen & Saltyte-Benth, Jurate (2007)
Quantitative finance (Print), 7(5) , s. 553-561. Doi: https://doi.org/10.1080/14697680601155334
Benth, Fred Espen; Nunno, Giulia Di, Lindstrøm, Tom, Øksendal, Bernt & Zhang, Tusheng (2007)
Springer
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007)
Scandinavian Journal of Statistics, 34(4) , s. 746-767.
Benth, Fred Espen; Ollmar, Fridthjof & Koekebakker, Steen (2007)
Journal of Derivatives, 15(1) , s. 52-66.
Benth, Fred Espen; Groth, Martin & Kufakunesu, Rodwell (2007)
Applied Mathematical Finance, 14(4) , s. 347-363.
Benth, Fred Espen; Groth, Martin & Kufakunesu, Rodwell (2007)
Applied Mathematical Finance, 14(4) , s. 347-363. Doi: https://doi.org/10.1080/13504860601170609
Lindstrøm, Tom Louis; Øksendal, Bernt, Nunno, Giulia Di, Benth, Fred Espen & Zhang, Tusheng (2007)
Springer
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007)
Scandinavian Journal of Statistics, 34, s. 746-767. Doi: https://doi.org/10.1111/j.1467-9469.2007.00564.x
Benth, Fred Espen & Saltyte-Benth, Jurate (2007)
Quantitative finance (Print), 7(5) , s. 553-561.
We propose an Ornstein-Uhlenbeck process with seasonal volatility to model the time dynamics of daily average temperatures. The model is fitted to approximately 45 years of daily observations recorded in Stockholm, one of the European cities for which there is a trade in weather futures and options on the Chicago Mercantile Exchange. Explicit pricing dynamics for futures contracts written on the number of heating/cooling degree-days (so-called HDD/CDD futures) and the cumulative average daily temperature (so-called CAT futures) are calculated, along with a discussion on how to evaluate call and put options with these futures as underlying.
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2007)
Applied Mathematical Finance, 14(2) , s. 153-169. Doi: https://doi.org/10.1080/13504860600725031
Benth, Fred Espen; Koekebakker, Steen & Ollmar, Fridthjof (2007)
Journal of Derivatives, 15(1) , s. 52-66.
Saltyte-Benth, Jurate; Benth, Fred Espen & Jalinskas, Paulius (2007)
Journal of Applied Statistics, 34(7) , s. 823-841. Doi: https://doi.org/10.1080/02664760701511398
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2007)
Applied Mathematical Finance, 14(2) , s. 153-169.
Benth, Fred Espen & Saltyte-Benth, Jurate (2007)
Quantitative finance (Print), 7(5) , s. 553-561. Doi: https://doi.org/10.1080/14697680601155334
Benth, Fred Espen; Groth, Martin & Kufakunesu, Rodwell (2007)
Applied Mathematical Finance, 14(4) , s. 347-363.
Benth, Fred Espen; Nunno, Giulia Di, Lindstrøm, Tom, Øksendal, Bernt & Zhang, Tusheng (2007)
Springer
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007)
Scandinavian Journal of Statistics, 34(4) , s. 746-767.
Benth, Fred Espen; Ollmar, Fridthjof & Koekebakker, Steen (2007)
Journal of Derivatives, 15(1) , s. 52-66.
Benth, Fred Espen; Groth, Martin & Kufakunesu, Rodwell (2007)
Applied Mathematical Finance, 14(4) , s. 347-363. Doi: https://doi.org/10.1080/13504860601170609
Lindstrøm, Tom Louis; Øksendal, Bernt, Nunno, Giulia Di, Benth, Fred Espen & Zhang, Tusheng (2007)
Springer
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007)
Scandinavian Journal of Statistics, 34, s. 746-767. Doi: https://doi.org/10.1111/j.1467-9469.2007.00564.x
Benth, Fred Espen & Saltyte-Benth, Jurate (2007)
Quantitative finance (Print), 7(5) , s. 553-561.
We propose an Ornstein-Uhlenbeck process with seasonal volatility to model the time dynamics of daily average temperatures. The model is fitted to approximately 45 years of daily observations recorded in Stockholm, one of the European cities for which there is a trade in weather futures and options on the Chicago Mercantile Exchange. Explicit pricing dynamics for futures contracts written on the number of heating/cooling degree-days (so-called HDD/CDD futures) and the cumulative average daily temperature (so-called CAT futures) are calculated, along with a discussion on how to evaluate call and put options with these futures as underlying.
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2007)
Applied Mathematical Finance, 14(2) , s. 153-169. Doi: https://doi.org/10.1080/13504860600725031
Benth, Fred Espen; Koekebakker, Steen & Ollmar, Fridthjof (2007)
Journal of Derivatives, 15(1) , s. 52-66.
Saltyte-Benth, Jurate; Benth, Fred Espen & Jalinskas, Paulius (2007)
Journal of Applied Statistics, 34(7) , s. 823-841. Doi: https://doi.org/10.1080/02664760701511398
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2007)
Applied Mathematical Finance, 14(2) , s. 153-169.
Benth, Fred Espen & Saltyte-Benth, Jurate (2007)
Quantitative finance (Print), 7(5) , s. 553-561. Doi: https://doi.org/10.1080/14697680601155334
Benth, Fred Espen; Groth, Martin & Kufakunesu, Rodwell (2007)
Applied Mathematical Finance, 14(4) , s. 347-363.
Benth, Fred Espen; Nunno, Giulia Di, Lindstrøm, Tom, Øksendal, Bernt & Zhang, Tusheng (2007)
Springer
Benth, Fred Espen; Saltyte-Benth, Jurate & Koekebakker, Steen (2007)
Scandinavian Journal of Statistics, 34(4) , s. 746-767.
Benth, Fred Espen; Ollmar, Fridthjof & Koekebakker, Steen (2007)
Journal of Derivatives, 15(1) , s. 52-66.
Benth, Fred Espen; Groth, Martin & Kettler, Paul Carlisle (2006)
International Journal of Theoretical and Applied Finance, 9(6) , s. 843-867.
Benth, Fred Espen & Saltyte-Benth, Jurate (2006)
Studies in Nonlinear Dynamics & Econometrics, 10(3)
Benth, Fred Espen; Groth, Martin & Kettler, Paul Carlisle (2006)
International Journal of Theoretical and Applied Finance, 9(6) , s. 843-867.
Benth, Fred Espen & Saltyte-Benth, Jurate (2006)
Studies in Nonlinear Dynamics & Econometrics, 10(3)
Benth, Fred Espen; Groth, Martin & Kettler, Paul Carlisle (2006)
International Journal of Theoretical and Applied Finance, 9(6) , s. 843-867.
Benth, Fred Espen & Saltyte-Benth, Jurate (2006)
Studies in Nonlinear Dynamics & Econometrics, 10(3)
Benth, Fred Espen; Groth, Martin & Kettler, Paul Carlisle (2006)
International Journal of Theoretical and Applied Finance, 9(6) , s. 843-867.
Benth, Fred Espen & Saltyte-Benth, Jurate (2006)
Studies in Nonlinear Dynamics & Econometrics, 10(3)
Benth, Fred Espen; Groth, Martin & Kettler, Paul Carlisle (2006)
International Journal of Theoretical and Applied Finance, 9(6) , s. 843-867.
Benth, Fred Espen & Saltyte-Benth, Jurate (2006)
Studies in Nonlinear Dynamics & Econometrics, 10(3)
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2005)
Stochastics and Stochastics Reports, 77(2) , s. 109-137.
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2005)
Stochastic Analysis and Applications, 23
Benth, Fred Espen & Meyer-Brandis, Thilo (2005)
Finance and Stochastics, 9(4) , s. 563-575. Doi: https://doi.org/10.1007/s00780-005-0161-z
Benth, Fred Espen & Saltyte-Benth, Jurate (2005)
Applied Mathematical Finance, 12(1) , s. 53-85.
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2005)
Stochastics and Stochastics Reports, 77(2) , s. 109-137.
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2005)
Stochastic Analysis and Applications, 23
Benth, Fred Espen & Meyer-Brandis, Thilo (2005)
Finance and Stochastics, 9(4) , s. 563-575. Doi: https://doi.org/10.1007/s00780-005-0161-z
Benth, Fred Espen & Saltyte-Benth, Jurate (2005)
Applied Mathematical Finance, 12(1) , s. 53-85.
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2005)
Stochastics and Stochastics Reports, 77(2) , s. 109-137.
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2005)
Stochastic Analysis and Applications, 23
Benth, Fred Espen & Meyer-Brandis, Thilo (2005)
Finance and Stochastics, 9(4) , s. 563-575. Doi: https://doi.org/10.1007/s00780-005-0161-z
Benth, Fred Espen & Saltyte-Benth, Jurate (2005)
Applied Mathematical Finance, 12(1) , s. 53-85.
Benth, Fred Espen & Saltyte-Benth, Jurate (2005)
Applied Mathematical Finance, 12(1) , s. 53-85.
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2005)
Stochastics and Stochastics Reports, 77(2) , s. 109-137.
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2005)
Stochastic Analysis and Applications, 23
Benth, Fred Espen & Meyer-Brandis, Thilo (2005)
Finance and Stochastics, 9(4) , s. 563-575. Doi: https://doi.org/10.1007/s00780-005-0161-z
Benth, Fred Espen & Saltyte-Benth, Jurate (2005)
Applied Mathematical Finance, 12(1) , s. 53-85.
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2005)
Stochastics and Stochastics Reports, 77(2) , s. 109-137.
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2005)
Stochastic Analysis and Applications, 23
Benth, Fred Espen & Meyer-Brandis, Thilo (2005)
Finance and Stochastics, 9(4) , s. 563-575. Doi: https://doi.org/10.1007/s00780-005-0161-z
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2004)
Interfaces and free boundaries (Print), 6, s. 379-404.
Benth, Fred Espen & Reikvam, Kristin (2004)
Applied Mathematics and Optimization, 49, s. 27-41.
Benth, Fred Espen (2004)
Springer
Benth, Fred Espen & Saltyte-Benth, Jurate (2004)
International Journal of Theoretical and Applied Finance, 7(2) , s. 177-192.
Benth, Fred Espen & Løkka, Arne (2004)
Stochastics and Stochastics Reports, 76(3) , s. 191-211.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2004)
Interfaces and free boundaries (Print), 6, s. 379-404.
Benth, Fred Espen & Reikvam, Kristin (2004)
Applied Mathematics and Optimization, 49, s. 27-41.
Benth, Fred Espen (2004)
Springer
Benth, Fred Espen & Saltyte-Benth, Jurate (2004)
International Journal of Theoretical and Applied Finance, 7(2) , s. 177-192.
Benth, Fred Espen & Løkka, Arne (2004)
Stochastics and Stochastics Reports, 76(3) , s. 191-211.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2004)
Interfaces and free boundaries (Print), 6, s. 379-404.
Benth, Fred Espen & Reikvam, Kristin (2004)
Applied Mathematics and Optimization, 49, s. 27-41.
Benth, Fred Espen (2004)
Springer
Benth, Fred Espen & Saltyte-Benth, Jurate (2004)
International Journal of Theoretical and Applied Finance, 7(2) , s. 177-192.
Benth, Fred Espen & Løkka, Arne (2004)
Stochastics and Stochastics Reports, 76(3) , s. 191-211.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2004)
Interfaces and free boundaries (Print), 6, s. 379-404.
Benth, Fred Espen & Saltyte-Benth, Jurate (2004)
International Journal of Theoretical and Applied Finance, 7(2) , s. 177-192.
Benth, Fred Espen & Løkka, Arne (2004)
Stochastics and Stochastics Reports, 76(3) , s. 191-211.
Benth, Fred Espen & Reikvam, Kristin (2004)
Applied Mathematics and Optimization, 49, s. 27-41.
Benth, Fred Espen (2004)
Springer
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2004)
Interfaces and free boundaries (Print), 6, s. 379-404.
Benth, Fred Espen & Saltyte-Benth, Jurate (2004)
International Journal of Theoretical and Applied Finance, 7(2) , s. 177-192.
Benth, Fred Espen & Løkka, Arne (2004)
Stochastics and Stochastics Reports, 76(3) , s. 191-211.
Benth, Fred Espen & Reikvam, Kristin (2004)
Applied Mathematics and Optimization, 49, s. 27-41.
Benth, Fred Espen (2004)
Springer
Benth, Fred E.; Dahl, Lars & Karlsen, Kenneth Hvistendahl (2003)
International Journal of Theoretical and Applied Finance, 6(8) , s. 865-884.
Benth, Fred Espen (2003)
Applied Mathematical Finance, 10(4) , s. 303-324.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Mathematical Finance, 13(2) , s. 215-244.
Benth, Fred Espen; Dahl, Lars Oswald & Karlsen, Kenneth Hvistendahl (2003)
International Journal of Theoretical and Applied Finance, 6(8) , s. 865-884.
Benth, Fred Espen; Ekeland, Lars, Hauge, Ragnar & Nielsen, Bjørn Fredrik (2003)
Applied Mathematical Finance, 10(4) , s. 325-336. Doi: https://doi.org/10.1080/1350486032000160777
Arbitrage theory is used to price forward (futures) contracts in energy markets, where the underlying assets are non‐tradeable. The method is based on the so‐called ‘fitting of the yield curve’ technique from interest rate theory. The spot price dynamics of Schwartz is generalized to multidimensional correlated stochastic processes with Wiener and Lévy noise. Findings are illustrated with examples from oil and electricity markets.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Finance and Stochastics, 7(3) , s. 277-298.
Benth, Fred Espen & Theting, Thomas Gorm (2003)
Stochastic Analysis and Applications, 20(6) , s. 1191-1223.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Finance and Stochastics, 7(3) , s. 277-298.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Mathematical Finance, 13(2) , s. 215-244.
Benth, Fred Espen; Nunno, Giulia Di, Løkka, Arne, Øksendal, Bernt & Proske, Frank Norbert (2003)
Mathematical Finance, 13(1) , s. 55-72. Doi: https://doi.org/10.1111/1467-9965.t01-1-00005
In a market driven by a Lévy martingale, we consider a claim ;. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for ;: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives, and the corresponding versions of the Clark-Haussmann-Ocone theorem.
Benth, Fred E.; Dahl, Lars & Karlsen, Kenneth Hvistendahl (2003)
International Journal of Theoretical and Applied Finance, 6(8) , s. 865-884.
Benth, Fred Espen (2003)
Applied Mathematical Finance, 10(4) , s. 303-324.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Mathematical Finance, 13(2) , s. 215-244.
Benth, Fred Espen; Dahl, Lars Oswald & Karlsen, Kenneth Hvistendahl (2003)
International Journal of Theoretical and Applied Finance, 6(8) , s. 865-884.
Benth, Fred Espen; Ekeland, Lars, Hauge, Ragnar & Nielsen, Bjørn Fredrik (2003)
Applied Mathematical Finance, 10(4) , s. 325-336. Doi: https://doi.org/10.1080/1350486032000160777
Arbitrage theory is used to price forward (futures) contracts in energy markets, where the underlying assets are non‐tradeable. The method is based on the so‐called ‘fitting of the yield curve’ technique from interest rate theory. The spot price dynamics of Schwartz is generalized to multidimensional correlated stochastic processes with Wiener and Lévy noise. Findings are illustrated with examples from oil and electricity markets.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Finance and Stochastics, 7(3) , s. 277-298.
Benth, Fred Espen & Theting, Thomas Gorm (2003)
Stochastic Analysis and Applications, 20(6) , s. 1191-1223.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Finance and Stochastics, 7(3) , s. 277-298.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Mathematical Finance, 13(2) , s. 215-244.
Benth, Fred Espen; Nunno, Giulia Di, Løkka, Arne, Øksendal, Bernt & Proske, Frank Norbert (2003)
Mathematical Finance, 13(1) , s. 55-72. Doi: https://doi.org/10.1111/1467-9965.t01-1-00005
In a market driven by a Lévy martingale, we consider a claim ;. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for ;: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives, and the corresponding versions of the Clark-Haussmann-Ocone theorem.
Benth, Fred E.; Dahl, Lars & Karlsen, Kenneth Hvistendahl (2003)
International Journal of Theoretical and Applied Finance, 6(8) , s. 865-884.
Benth, Fred Espen (2003)
Applied Mathematical Finance, 10(4) , s. 303-324.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Mathematical Finance, 13(2) , s. 215-244.
Benth, Fred Espen; Dahl, Lars Oswald & Karlsen, Kenneth Hvistendahl (2003)
International Journal of Theoretical and Applied Finance, 6(8) , s. 865-884.
Benth, Fred Espen; Ekeland, Lars, Hauge, Ragnar & Nielsen, Bjørn Fredrik (2003)
Applied Mathematical Finance, 10(4) , s. 325-336. Doi: https://doi.org/10.1080/1350486032000160777
Arbitrage theory is used to price forward (futures) contracts in energy markets, where the underlying assets are non‐tradeable. The method is based on the so‐called ‘fitting of the yield curve’ technique from interest rate theory. The spot price dynamics of Schwartz is generalized to multidimensional correlated stochastic processes with Wiener and Lévy noise. Findings are illustrated with examples from oil and electricity markets.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Finance and Stochastics, 7(3) , s. 277-298.
Benth, Fred Espen & Theting, Thomas Gorm (2003)
Stochastic Analysis and Applications, 20(6) , s. 1191-1223.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Finance and Stochastics, 7(3) , s. 277-298.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Mathematical Finance, 13(2) , s. 215-244.
Benth, Fred Espen; Nunno, Giulia Di, Løkka, Arne, Øksendal, Bernt & Proske, Frank Norbert (2003)
Mathematical Finance, 13(1) , s. 55-72. Doi: https://doi.org/10.1111/1467-9965.t01-1-00005
In a market driven by a Lévy martingale, we consider a claim ;. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for ;: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives, and the corresponding versions of the Clark-Haussmann-Ocone theorem.
Benth, Fred E.; Dahl, Lars & Karlsen, Kenneth Hvistendahl (2003)
International Journal of Theoretical and Applied Finance, 6(8) , s. 865-884.
Benth, Fred Espen (2003)
Applied Mathematical Finance, 10(4) , s. 303-324.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Mathematical Finance, 13(2) , s. 215-244.
Benth, Fred Espen; Dahl, Lars Oswald & Karlsen, Kenneth Hvistendahl (2003)
International Journal of Theoretical and Applied Finance, 6(8) , s. 865-884.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Mathematical Finance, 13(2) , s. 215-244.
Benth, Fred Espen; Nunno, Giulia Di, Løkka, Arne, Øksendal, Bernt & Proske, Frank Norbert (2003)
Mathematical Finance, 13(1) , s. 55-72. Doi: https://doi.org/10.1111/1467-9965.t01-1-00005
In a market driven by a Lévy martingale, we consider a claim ;. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for ;: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives, and the corresponding versions of the Clark-Haussmann-Ocone theorem.
Benth, Fred Espen; Ekeland, Lars, Hauge, Ragnar & Nielsen, Bjørn Fredrik (2003)
Applied Mathematical Finance, 10(4) , s. 325-336. Doi: https://doi.org/10.1080/1350486032000160777
Arbitrage theory is used to price forward (futures) contracts in energy markets, where the underlying assets are non‐tradeable. The method is based on the so‐called ‘fitting of the yield curve’ technique from interest rate theory. The spot price dynamics of Schwartz is generalized to multidimensional correlated stochastic processes with Wiener and Lévy noise. Findings are illustrated with examples from oil and electricity markets.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Finance and Stochastics, 7(3) , s. 277-298.
Benth, Fred Espen & Theting, Thomas Gorm (2003)
Stochastic Analysis and Applications, 20(6) , s. 1191-1223.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Finance and Stochastics, 7(3) , s. 277-298.
Benth, Fred E.; Dahl, Lars & Karlsen, Kenneth Hvistendahl (2003)
International Journal of Theoretical and Applied Finance, 6(8) , s. 865-884.
Benth, Fred Espen (2003)
Applied Mathematical Finance, 10(4) , s. 303-324.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Mathematical Finance, 13(2) , s. 215-244.
Benth, Fred Espen; Dahl, Lars Oswald & Karlsen, Kenneth Hvistendahl (2003)
International Journal of Theoretical and Applied Finance, 6(8) , s. 865-884.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Mathematical Finance, 13(2) , s. 215-244.
Benth, Fred Espen; Nunno, Giulia Di, Løkka, Arne, Øksendal, Bernt & Proske, Frank Norbert (2003)
Mathematical Finance, 13(1) , s. 55-72. Doi: https://doi.org/10.1111/1467-9965.t01-1-00005
In a market driven by a Lévy martingale, we consider a claim ;. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for ;: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives, and the corresponding versions of the Clark-Haussmann-Ocone theorem.
Benth, Fred Espen; Ekeland, Lars, Hauge, Ragnar & Nielsen, Bjørn Fredrik (2003)
Applied Mathematical Finance, 10(4) , s. 325-336. Doi: https://doi.org/10.1080/1350486032000160777
Arbitrage theory is used to price forward (futures) contracts in energy markets, where the underlying assets are non‐tradeable. The method is based on the so‐called ‘fitting of the yield curve’ technique from interest rate theory. The spot price dynamics of Schwartz is generalized to multidimensional correlated stochastic processes with Wiener and Lévy noise. Findings are illustrated with examples from oil and electricity markets.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Finance and Stochastics, 7(3) , s. 277-298.
Benth, Fred Espen & Theting, Thomas Gorm (2003)
Stochastic Analysis and Applications, 20(6) , s. 1191-1223.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2003)
Finance and Stochastics, 7(3) , s. 277-298.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2002)
Stochastics and Stochastics Reports, 74, s. 517-569.
Benth, Fred Espen & Ng, Siu-Ah (2002)
Journal of the London Mathematical Society, 66(2) , s. 1-13.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2002)
Stochastics and Stochastics Reports, 74(3-4) , s. 517-569.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2002)
Stochastics and Stochastics Reports, 74, s. 517-569.
Benth, Fred Espen & Ng, Siu-Ah (2002)
Journal of the London Mathematical Society, 66(2) , s. 1-13.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2002)
Stochastics and Stochastics Reports, 74(3-4) , s. 517-569.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2002)
Stochastics and Stochastics Reports, 74, s. 517-569.
Benth, Fred Espen & Ng, Siu-Ah (2002)
Journal of the London Mathematical Society, 66(2) , s. 1-13.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2002)
Stochastics and Stochastics Reports, 74(3-4) , s. 517-569.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2002)
Stochastics and Stochastics Reports, 74, s. 517-569.
Benth, Fred Espen & Ng, Siu-Ah (2002)
Journal of the London Mathematical Society, 66(2) , s. 1-13.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2002)
Stochastics and Stochastics Reports, 74(3-4) , s. 517-569.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2002)
Stochastics and Stochastics Reports, 74, s. 517-569.
Benth, Fred Espen & Ng, Siu-Ah (2002)
Journal of the London Mathematical Society, 66(2) , s. 1-13.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2002)
Stochastics and Stochastics Reports, 74(3-4) , s. 517-569.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
Finance and Stochastics, 5(4) , s. 447-467.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
Finance and Stochastics, 5(3) , s. 275-303.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
International Journal of Theoretical and Applied Finance, 4(5) , s. 711-732.
Benth, Fred Espen (2001)
Stochastic Analysis and Applications, 19(3) , s. 329-341.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
International Journal of Theoretical and Applied Finance, 4(5) , s. 711-731.
Abrahamsen, Petter & Benth, Fred Espen (2001)
Mathematical Geology, 33(6) , s. 719-744. Doi: https://doi.org/10.1023/1011078716252
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
Finance and Stochastics, 5(4) , s. 447-467.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
Finance and Stochastics, 5(3) , s. 275-303.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
International Journal of Theoretical and Applied Finance, 4(5) , s. 711-732.
Benth, Fred Espen (2001)
Stochastic Analysis and Applications, 19(3) , s. 329-341.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
International Journal of Theoretical and Applied Finance, 4(5) , s. 711-731.
Abrahamsen, Petter & Benth, Fred Espen (2001)
Mathematical Geology, 33(6) , s. 719-744. Doi: https://doi.org/10.1023/1011078716252
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
Finance and Stochastics, 5(4) , s. 447-467.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
Finance and Stochastics, 5(3) , s. 275-303.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
International Journal of Theoretical and Applied Finance, 4(5) , s. 711-732.
Benth, Fred Espen (2001)
Stochastic Analysis and Applications, 19(3) , s. 329-341.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
International Journal of Theoretical and Applied Finance, 4(5) , s. 711-731.
Abrahamsen, Petter & Benth, Fred Espen (2001)
Mathematical Geology, 33(6) , s. 719-744. Doi: https://doi.org/10.1023/1011078716252
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
Finance and Stochastics, 5(4) , s. 447-467.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
Finance and Stochastics, 5(3) , s. 275-303.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
International Journal of Theoretical and Applied Finance, 4(5) , s. 711-732.
Benth, Fred Espen (2001)
Stochastic Analysis and Applications, 19(3) , s. 329-341.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
International Journal of Theoretical and Applied Finance, 4(5) , s. 711-731.
Abrahamsen, Petter & Benth, Fred Espen (2001)
Mathematical Geology, 33(6) , s. 719-744. Doi: https://doi.org/10.1023/1011078716252
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
Finance and Stochastics, 5(4) , s. 447-467.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
Finance and Stochastics, 5(3) , s. 275-303.
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
International Journal of Theoretical and Applied Finance, 4(5) , s. 711-732.
Benth, Fred Espen (2001)
Stochastic Analysis and Applications, 19(3) , s. 329-341.
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
International Journal of Theoretical and Applied Finance, 4(5) , s. 711-731.
Abrahamsen, Petter & Benth, Fred Espen (2001)
Mathematical Geology, 33(6) , s. 719-744. Doi: https://doi.org/10.1023/1011078716252
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Jensen, Jens Ledet (2000)
Advances in Applied Probability, 32, s. 779-799.
Benth, FE & Gjessing, Håkon K (2000)
Potential Analysis, 12(4) , s. 385-401.
Benth, Fred Espen & Gjessing, Håkon K (2000)
Potential Analysis, 12(4) , s. 385-401.
Skare, Øivind; Benth, Fred Espen & Frigessi, Arnoldo (2000)
Statistics and Probability Letters, 49, s. 345-354. Doi: https://doi.org/10.1016/S0167-7152(00)00067-5
The Metropolis Adjusted Langevin Algorithm (MALA) samples from complex multivariate densities π. The proposal density is based on a discretized version of a Langevin diffusion, and is well defined only for continuously differentiable densities π. We propose a modified MALA algorithm when this condition is not fulfilled or when π has very rapid variations. The algorithm is illustrated on the Strauss model, for which two different classes of smoothing are proposed. In these examples smoothing gives advantages in terms of reduced asymptotic variance.
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Jensen, Jens Ledet (2000)
Advances in Applied Probability, 32, s. 779-799.
Benth, FE & Gjessing, Håkon K (2000)
Potential Analysis, 12(4) , s. 385-401.
Benth, Fred Espen & Gjessing, Håkon K (2000)
Potential Analysis, 12(4) , s. 385-401.
Skare, Øivind; Benth, Fred Espen & Frigessi, Arnoldo (2000)
Statistics and Probability Letters, 49, s. 345-354. Doi: https://doi.org/10.1016/S0167-7152(00)00067-5
The Metropolis Adjusted Langevin Algorithm (MALA) samples from complex multivariate densities π. The proposal density is based on a discretized version of a Langevin diffusion, and is well defined only for continuously differentiable densities π. We propose a modified MALA algorithm when this condition is not fulfilled or when π has very rapid variations. The algorithm is illustrated on the Strauss model, for which two different classes of smoothing are proposed. In these examples smoothing gives advantages in terms of reduced asymptotic variance.
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Jensen, Jens Ledet (2000)
Advances in Applied Probability, 32, s. 779-799.
Benth, FE & Gjessing, Håkon K (2000)
Potential Analysis, 12(4) , s. 385-401.
Benth, Fred Espen & Gjessing, Håkon K (2000)
Potential Analysis, 12(4) , s. 385-401.
Skare, Øivind; Benth, Fred Espen & Frigessi, Arnoldo (2000)
Statistics and Probability Letters, 49, s. 345-354. Doi: https://doi.org/10.1016/S0167-7152(00)00067-5
The Metropolis Adjusted Langevin Algorithm (MALA) samples from complex multivariate densities π. The proposal density is based on a discretized version of a Langevin diffusion, and is well defined only for continuously differentiable densities π. We propose a modified MALA algorithm when this condition is not fulfilled or when π has very rapid variations. The algorithm is illustrated on the Strauss model, for which two different classes of smoothing are proposed. In these examples smoothing gives advantages in terms of reduced asymptotic variance.
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Jensen, Jens Ledet (2000)
Advances in Applied Probability, 32, s. 779-799.
Benth, FE & Gjessing, Håkon K (2000)
Potential Analysis, 12(4) , s. 385-401.
Skare, Øivind; Benth, Fred Espen & Frigessi, Arnoldo (2000)
Statistics and Probability Letters, 49, s. 345-354. Doi: https://doi.org/10.1016/S0167-7152(00)00067-5
The Metropolis Adjusted Langevin Algorithm (MALA) samples from complex multivariate densities π. The proposal density is based on a discretized version of a Langevin diffusion, and is well defined only for continuously differentiable densities π. We propose a modified MALA algorithm when this condition is not fulfilled or when π has very rapid variations. The algorithm is illustrated on the Strauss model, for which two different classes of smoothing are proposed. In these examples smoothing gives advantages in terms of reduced asymptotic variance.
Benth, Fred Espen & Gjessing, Håkon K (2000)
Potential Analysis, 12(4) , s. 385-401.
Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Jensen, Jens Ledet (2000)
Advances in Applied Probability, 32, s. 779-799.
Benth, FE & Gjessing, Håkon K (2000)
Potential Analysis, 12(4) , s. 385-401.
Skare, Øivind; Benth, Fred Espen & Frigessi, Arnoldo (2000)
Statistics and Probability Letters, 49, s. 345-354. Doi: https://doi.org/10.1016/S0167-7152(00)00067-5
The Metropolis Adjusted Langevin Algorithm (MALA) samples from complex multivariate densities π. The proposal density is based on a discretized version of a Langevin diffusion, and is well defined only for continuously differentiable densities π. We propose a modified MALA algorithm when this condition is not fulfilled or when π has very rapid variations. The algorithm is illustrated on the Strauss model, for which two different classes of smoothing are proposed. In these examples smoothing gives advantages in terms of reduced asymptotic variance.
Benth, Fred Espen & Gjessing, Håkon K (2000)
Potential Analysis, 12(4) , s. 385-401.
Benth, Fred Espen (1999)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 2(3) , s. 381-396.
Benth, Fred Espen (1999)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 2(3) , s. 381-396.
Benth, Fred Espen (1999)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 2(3) , s. 381-396.
Benth, Fred Espen (1999)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 2(3) , s. 381-396.
Benth, Fred Espen (1999)
Infinite Dimensional Analysis Quantum Probability and Related Topics, 2(3) , s. 381-396.
Abrahamsen, Petter & Benth, Fred Espen (1998)
Ukjent, , s. 333-338.
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen, Streit, Ludvig & Streit, Ludwig (1998)
Letters in Mathematical Physics, 43, s. 267-278.
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen & Våge, Gjermund (1998)
Acta Applicandae Mathematicae - An International Survey Journal on Applying Mathematics and Mathematical Applications, 51, s. 215-242.
Benth, Fred Espen & Gjerde, Jon (1998)
Stochastics and Stochastics Reports, 63, s. 313-326.
Benth, Fred Espen & Gjerde, Jon (1998)
Potential Analysis, 8, s. 179-193.
Abrahamsen, Petter & Benth, Fred Espen (1998)
Ukjent, , s. 333-338.
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen, Streit, Ludvig & Streit, Ludwig (1998)
Letters in Mathematical Physics, 43, s. 267-278.
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen & Våge, Gjermund (1998)
Acta Applicandae Mathematicae - An International Survey Journal on Applying Mathematics and Mathematical Applications, 51, s. 215-242.
Benth, Fred Espen & Gjerde, Jon (1998)
Stochastics and Stochastics Reports, 63, s. 313-326.
Benth, Fred Espen & Gjerde, Jon (1998)
Potential Analysis, 8, s. 179-193.
Abrahamsen, Petter & Benth, Fred Espen (1998)
Ukjent, , s. 333-338.
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen, Streit, Ludvig & Streit, Ludwig (1998)
Letters in Mathematical Physics, 43, s. 267-278.
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen & Våge, Gjermund (1998)
Acta Applicandae Mathematicae - An International Survey Journal on Applying Mathematics and Mathematical Applications, 51, s. 215-242.
Benth, Fred Espen & Gjerde, Jon (1998)
Stochastics and Stochastics Reports, 63, s. 313-326.
Benth, Fred Espen & Gjerde, Jon (1998)
Potential Analysis, 8, s. 179-193.
Abrahamsen, Petter & Benth, Fred Espen (1998)
Ukjent, , s. 333-338.
Benth, Fred Espen & Gjerde, Jon (1998)
Potential Analysis, 8, s. 179-193.
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen, Streit, Ludvig & Streit, Ludwig (1998)
Letters in Mathematical Physics, 43, s. 267-278.
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen & Våge, Gjermund (1998)
Acta Applicandae Mathematicae - An International Survey Journal on Applying Mathematics and Mathematical Applications, 51, s. 215-242.
Benth, Fred Espen & Gjerde, Jon (1998)
Stochastics and Stochastics Reports, 63, s. 313-326.
Abrahamsen, Petter & Benth, Fred Espen (1998)
Ukjent, , s. 333-338.
Benth, Fred Espen & Gjerde, Jon (1998)
Potential Analysis, 8, s. 179-193.
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen, Streit, Ludvig & Streit, Ludwig (1998)
Letters in Mathematical Physics, 43, s. 267-278.
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen & Våge, Gjermund (1998)
Acta Applicandae Mathematicae - An International Survey Journal on Applying Mathematics and Mathematical Applications, 51, s. 215-242.
Benth, Fred Espen & Gjerde, Jon (1998)
Stochastics and Stochastics Reports, 63, s. 313-326.
Benth, Fred Espen (1997)
Potential Analysis, 6, s. 127-148.
Benth, Fred Espen; Deck, Thomas & Potthoff, Jurgen (1997)
Journal of Functional Analysis, 146(2) , s. 382-415.
Benth, Fred Espen (1997)
Potential Analysis, 6, s. 127-148.
Benth, Fred Espen; Deck, Thomas & Potthoff, Jurgen (1997)
Journal of Functional Analysis, 146(2) , s. 382-415.
Benth, Fred Espen (1997)
Potential Analysis, 6, s. 127-148.
Benth, Fred Espen; Deck, Thomas & Potthoff, Jurgen (1997)
Journal of Functional Analysis, 146(2) , s. 382-415.
Benth, Fred Espen; Deck, Thomas & Potthoff, Jurgen (1997)
Journal of Functional Analysis, 146(2) , s. 382-415.
Benth, Fred Espen (1997)
Potential Analysis, 6, s. 127-148.
Benth, Fred Espen; Deck, Thomas & Potthoff, Jurgen (1997)
Journal of Functional Analysis, 146(2) , s. 382-415.
Benth, Fred Espen (1997)
Potential Analysis, 6, s. 127-148.
Benth, Fred Espen & Potthoff, Jurgen (1996)
Stochastics and Stochastics Reports, 58, s. 349-367.
Benth, Fred Espen; Øksendal, Bernt, Ubøe, Jan & Zang, Tusheng (1996)
Ukjent,
Benth, Fred Espen (1996)
Ukjent,
Benth, Fred Espen & Potthoff, Jurgen (1996)
Stochastics and Stochastics Reports, 58, s. 349-367.
Benth, Fred Espen; Øksendal, Bernt, Ubøe, Jan & Zang, Tusheng (1996)
Ukjent,
Benth, Fred Espen (1996)
Ukjent,
Benth, Fred Espen & Potthoff, Jurgen (1996)
Stochastics and Stochastics Reports, 58, s. 349-367.
Benth, Fred Espen; Øksendal, Bernt, Ubøe, Jan & Zang, Tusheng (1996)
Ukjent,
Benth, Fred Espen (1996)
Ukjent,
Benth, Fred Espen & Potthoff, Jurgen (1996)
Stochastics and Stochastics Reports, 58, s. 349-367.
Benth, Fred Espen; Øksendal, Bernt, Ubøe, Jan & Zang, Tusheng (1996)
Ukjent,
Benth, Fred Espen (1996)
Ukjent,
Benth, Fred Espen & Potthoff, Jurgen (1996)
Stochastics and Stochastics Reports, 58, s. 349-367.
Benth, Fred Espen; Øksendal, Bernt, Ubøe, Jan & Zang, Tusheng (1996)
Ukjent,
Benth, Fred Espen (1996)
Ukjent,
Benth, Fred Espen (1994)
Stochastics and Stochastics Reports, 1994(51)
Benth, Fred Espen & Timpel, Matthias (1994)
Stochastics and Stochastics Reports, 51, s. 293-299.
Benth, Fred Espen (1994)
Stochastics and Stochastics Reports, 51, s. 195-216.
Benth, Fred Espen (1994)
Stochastics and Stochastics Reports, 1994(51)
Benth, Fred Espen & Timpel, Matthias (1994)
Stochastics and Stochastics Reports, 51, s. 293-299.
Benth, Fred Espen (1994)
Stochastics and Stochastics Reports, 51, s. 195-216.
Benth, Fred Espen (1994)
Stochastics and Stochastics Reports, 1994(51)
Benth, Fred Espen & Timpel, Matthias (1994)
Stochastics and Stochastics Reports, 51, s. 293-299.
Benth, Fred Espen (1994)
Stochastics and Stochastics Reports, 51, s. 195-216.
Benth, Fred Espen (1994)
Stochastics and Stochastics Reports, 51, s. 195-216.
Benth, Fred Espen (1994)
Stochastics and Stochastics Reports, 1994(51)
Benth, Fred Espen & Timpel, Matthias (1994)
Stochastics and Stochastics Reports, 51, s. 293-299.
Benth, Fred Espen (1994)
Stochastics and Stochastics Reports, 51, s. 195-216.
Benth, Fred Espen (1994)
Stochastics and Stochastics Reports, 1994(51)
Benth, Fred Espen & Timpel, Matthias (1994)
Stochastics and Stochastics Reports, 51, s. 293-299.
Benth, Fred Espen (1993)
Ukjent, 8
Benth, Fred Espen (1993)
Ukjent, 8
Benth, Fred Espen (1993)
Ukjent, 8
Benth, Fred Espen (1993)
Ukjent, 8
Benth, Fred Espen (1993)
Ukjent, 8
Skogvoll, Vidar; Lindstrøm, Tom Louis, Benth, Fred Espen & Haraldsrud, Andreas (2024)
Podcast [Radio]
Skogvoll, Vidar; Lindstrøm, Tom Louis, Benth, Fred Espen & Haraldsrud, Andreas (2024)
Podcast [Radio]
Skogvoll, Vidar; Lindstrøm, Tom Louis, Benth, Fred Espen & Haraldsrud, Andreas (2024)
Podcast [Radio]
Skogvoll, Vidar; Lindstrøm, Tom Louis, Benth, Fred Espen & Haraldsrud, Andreas (2024)
Podcast [Radio]
Skogvoll, Vidar; Lindstrøm, Tom Louis, Benth, Fred Espen & Haraldsrud, Andreas (2024)
Podcast [Radio]
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Kronikk]
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Kronikk]
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Kronikk]
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Kronikk]
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Kronikk]
Aarønæs, Lars; Benth, Fred Espen & Nunno, Giulia Di (2014)
[Journal]
Aarønæs, Lars; Benth, Fred Espen & Nunno, Giulia Di (2014)
[Journal]
Aarønæs, Lars; Benth, Fred Espen & Nunno, Giulia Di (2014)
[Journal]
Aarønæs, Lars; Benth, Fred Espen & Nunno, Giulia Di (2014)
[Journal]
Aarønæs, Lars; Benth, Fred Espen & Nunno, Giulia Di (2014)
[Journal]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Benth, Fred Espen (2012)
[Internet]
Yngve, Vogt & Benth, Fred Espen (2009)
[Journal]
Yngve, Vogt & Benth, Fred Espen (2009)
[Journal]
Yngve, Vogt & Benth, Fred Espen (2009)
[Journal]
Yngve, Vogt & Benth, Fred Espen (2009)
[Journal]
Yngve, Vogt & Benth, Fred Espen (2009)
[Journal]
Benth, Fred Espen (2007)
[Journal]
Benth, Fred Espen (2007)
[Journal]
Benth, Fred Espen (2007)
[Journal]
Benth, Fred Espen (2007)
[Journal]
Benth, Fred Espen (2007)
[Journal]
Benth, Fred Espen (2004)
[Journal]
Benth, Fred Espen (2004)
[Journal]
Benth, Fred Espen (2004)
[Journal]
Benth, Fred Espen (2004)
[Journal]
Benth, Fred Espen (2004)
[Journal]
Eggen, Mari Dahl; Midtfjord, Alise Danielle, Vorobeva, Ekaterina, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan Joseph Georges Emile G., Pichon, Alexis Le, Listowski, Constantino & Näsholm, Sven Peter (2023)
[Conference Lecture]. Event
Acoustic waves below the frequency limit of human hearing - infrasound - can travel for thousands of kilometres in the atmosphere. The global propagation signature of infrasound is highly sensitive to the wind structure of the stratosphere. This work exploits processed continuous data from three high-latitude infrasound stations to characterize an aspect of the stratospheric polar vortex. Concretely, a mapping is developed which takes the infrasound data from these three stations as input and outputs an estimate of the polar cap zonal mean wind averaged over 60-90 degrees in latitude at the 1 hPa pressure level. This stratospheric diagnostic information is relevant to, for example, sudden stratospheric warming assessment and sub-seasonal prediction. The considered acoustic data is within a low-frequency regime globally dominated by so-called microbarom infrasound, which is continuously radiated into the atmosphere due to nonlinear interaction between counter-propagating ocean surface waves. We trained a stochastics-based machine learning model (delay-SDE-net) to map between a time series of five years (2014-2018) of processed infrasound data and the ERA5 (reanalysis-based) daily average polar cap wind at 1 hPa for the same period. The ERA5 data was hence treated as ground-truth. In the prediction, the delay-SDE-net utilizes time-lagged inputs and their dependencies, as well as the day of the year to account for seasonal differences. In the validation phase, the input was the 2019 and 2020 infrasound time series, and the model inference results in an estimate of the daily average polar cap wind time-series. This result was then compared to the ERA5 representation of the stratospheric diagnostic time-series for the same period. The applied machine learning model is based on stochastics and allows for an interpretable approach to estimate the aleatoric and epistemic prediction uncertainties. It is found that the mapping, which is only informed of the trained model, the day of year, and the infrasound data from three stations, generates a 1 hPa polar cap average wind estimate with a prediction error standard deviation of around 10 m/s compared to ERA5. Focus should be put on the winter months because this is when the coupling between the stratosphere and the troposphere can mostly influence the surface conditions and provide additional prediction skill, in particular during strong and weak stratospheric polar vortex regimes. The infrasound data is available in real-time, and we discuss how the developed approach can be extended to provide near real-time stratospheric polar vortex diagnostics.
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2023)
[Conference Lecture]. Event
Eggen, Mari Dahl; Midtfjord, Alise Danielle, Vorobeva, Ekaterina, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan Joseph Georges Emile G., Pichon, Alexis Le, Listowski, Constantino & Näsholm, Sven Peter (2023)
[Conference Lecture]. Event
Acoustic waves below the frequency limit of human hearing - infrasound - can travel for thousands of kilometres in the atmosphere. The global propagation signature of infrasound is highly sensitive to the wind structure of the stratosphere. This work exploits processed continuous data from three high-latitude infrasound stations to characterize an aspect of the stratospheric polar vortex. Concretely, a mapping is developed which takes the infrasound data from these three stations as input and outputs an estimate of the polar cap zonal mean wind averaged over 60-90 degrees in latitude at the 1 hPa pressure level. This stratospheric diagnostic information is relevant to, for example, sudden stratospheric warming assessment and sub-seasonal prediction. The considered acoustic data is within a low-frequency regime globally dominated by so-called microbarom infrasound, which is continuously radiated into the atmosphere due to nonlinear interaction between counter-propagating ocean surface waves. We trained a stochastics-based machine learning model (delay-SDE-net) to map between a time series of five years (2014-2018) of processed infrasound data and the ERA5 (reanalysis-based) daily average polar cap wind at 1 hPa for the same period. The ERA5 data was hence treated as ground-truth. In the prediction, the delay-SDE-net utilizes time-lagged inputs and their dependencies, as well as the day of the year to account for seasonal differences. In the validation phase, the input was the 2019 and 2020 infrasound time series, and the model inference results in an estimate of the daily average polar cap wind time-series. This result was then compared to the ERA5 representation of the stratospheric diagnostic time-series for the same period. The applied machine learning model is based on stochastics and allows for an interpretable approach to estimate the aleatoric and epistemic prediction uncertainties. It is found that the mapping, which is only informed of the trained model, the day of year, and the infrasound data from three stations, generates a 1 hPa polar cap average wind estimate with a prediction error standard deviation of around 10 m/s compared to ERA5. Focus should be put on the winter months because this is when the coupling between the stratosphere and the troposphere can mostly influence the surface conditions and provide additional prediction skill, in particular during strong and weak stratospheric polar vortex regimes. The infrasound data is available in real-time, and we discuss how the developed approach can be extended to provide near real-time stratospheric polar vortex diagnostics.
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2023)
[Conference Lecture]. Event
Eggen, Mari Dahl; Midtfjord, Alise Danielle, Vorobeva, Ekaterina, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan Joseph Georges Emile G., Pichon, Alexis Le, Listowski, Constantino & Näsholm, Sven Peter (2023)
[Conference Lecture]. Event
Acoustic waves below the frequency limit of human hearing - infrasound - can travel for thousands of kilometres in the atmosphere. The global propagation signature of infrasound is highly sensitive to the wind structure of the stratosphere. This work exploits processed continuous data from three high-latitude infrasound stations to characterize an aspect of the stratospheric polar vortex. Concretely, a mapping is developed which takes the infrasound data from these three stations as input and outputs an estimate of the polar cap zonal mean wind averaged over 60-90 degrees in latitude at the 1 hPa pressure level. This stratospheric diagnostic information is relevant to, for example, sudden stratospheric warming assessment and sub-seasonal prediction. The considered acoustic data is within a low-frequency regime globally dominated by so-called microbarom infrasound, which is continuously radiated into the atmosphere due to nonlinear interaction between counter-propagating ocean surface waves. We trained a stochastics-based machine learning model (delay-SDE-net) to map between a time series of five years (2014-2018) of processed infrasound data and the ERA5 (reanalysis-based) daily average polar cap wind at 1 hPa for the same period. The ERA5 data was hence treated as ground-truth. In the prediction, the delay-SDE-net utilizes time-lagged inputs and their dependencies, as well as the day of the year to account for seasonal differences. In the validation phase, the input was the 2019 and 2020 infrasound time series, and the model inference results in an estimate of the daily average polar cap wind time-series. This result was then compared to the ERA5 representation of the stratospheric diagnostic time-series for the same period. The applied machine learning model is based on stochastics and allows for an interpretable approach to estimate the aleatoric and epistemic prediction uncertainties. It is found that the mapping, which is only informed of the trained model, the day of year, and the infrasound data from three stations, generates a 1 hPa polar cap average wind estimate with a prediction error standard deviation of around 10 m/s compared to ERA5. Focus should be put on the winter months because this is when the coupling between the stratosphere and the troposphere can mostly influence the surface conditions and provide additional prediction skill, in particular during strong and weak stratospheric polar vortex regimes. The infrasound data is available in real-time, and we discuss how the developed approach can be extended to provide near real-time stratospheric polar vortex diagnostics.
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2023)
[Conference Lecture]. Event
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2023)
[Conference Lecture]. Event
Eggen, Mari Dahl; Midtfjord, Alise Danielle, Vorobeva, Ekaterina, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan Joseph Georges Emile G., Pichon, Alexis Le, Listowski, Constantino & Näsholm, Sven Peter (2023)
[Conference Lecture]. Event
Acoustic waves below the frequency limit of human hearing - infrasound - can travel for thousands of kilometres in the atmosphere. The global propagation signature of infrasound is highly sensitive to the wind structure of the stratosphere. This work exploits processed continuous data from three high-latitude infrasound stations to characterize an aspect of the stratospheric polar vortex. Concretely, a mapping is developed which takes the infrasound data from these three stations as input and outputs an estimate of the polar cap zonal mean wind averaged over 60-90 degrees in latitude at the 1 hPa pressure level. This stratospheric diagnostic information is relevant to, for example, sudden stratospheric warming assessment and sub-seasonal prediction. The considered acoustic data is within a low-frequency regime globally dominated by so-called microbarom infrasound, which is continuously radiated into the atmosphere due to nonlinear interaction between counter-propagating ocean surface waves. We trained a stochastics-based machine learning model (delay-SDE-net) to map between a time series of five years (2014-2018) of processed infrasound data and the ERA5 (reanalysis-based) daily average polar cap wind at 1 hPa for the same period. The ERA5 data was hence treated as ground-truth. In the prediction, the delay-SDE-net utilizes time-lagged inputs and their dependencies, as well as the day of the year to account for seasonal differences. In the validation phase, the input was the 2019 and 2020 infrasound time series, and the model inference results in an estimate of the daily average polar cap wind time-series. This result was then compared to the ERA5 representation of the stratospheric diagnostic time-series for the same period. The applied machine learning model is based on stochastics and allows for an interpretable approach to estimate the aleatoric and epistemic prediction uncertainties. It is found that the mapping, which is only informed of the trained model, the day of year, and the infrasound data from three stations, generates a 1 hPa polar cap average wind estimate with a prediction error standard deviation of around 10 m/s compared to ERA5. Focus should be put on the winter months because this is when the coupling between the stratosphere and the troposphere can mostly influence the surface conditions and provide additional prediction skill, in particular during strong and weak stratospheric polar vortex regimes. The infrasound data is available in real-time, and we discuss how the developed approach can be extended to provide near real-time stratospheric polar vortex diagnostics.
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2023)
[Conference Lecture]. Event
Eggen, Mari Dahl; Midtfjord, Alise Danielle, Vorobeva, Ekaterina, Benth, Fred Espen, Hupe, Patrick, Brissaud, Quentin, Orsolini, Yvan Joseph Georges Emile G., Pichon, Alexis Le, Listowski, Constantino & Näsholm, Sven Peter (2023)
[Conference Lecture]. Event
Acoustic waves below the frequency limit of human hearing - infrasound - can travel for thousands of kilometres in the atmosphere. The global propagation signature of infrasound is highly sensitive to the wind structure of the stratosphere. This work exploits processed continuous data from three high-latitude infrasound stations to characterize an aspect of the stratospheric polar vortex. Concretely, a mapping is developed which takes the infrasound data from these three stations as input and outputs an estimate of the polar cap zonal mean wind averaged over 60-90 degrees in latitude at the 1 hPa pressure level. This stratospheric diagnostic information is relevant to, for example, sudden stratospheric warming assessment and sub-seasonal prediction. The considered acoustic data is within a low-frequency regime globally dominated by so-called microbarom infrasound, which is continuously radiated into the atmosphere due to nonlinear interaction between counter-propagating ocean surface waves. We trained a stochastics-based machine learning model (delay-SDE-net) to map between a time series of five years (2014-2018) of processed infrasound data and the ERA5 (reanalysis-based) daily average polar cap wind at 1 hPa for the same period. The ERA5 data was hence treated as ground-truth. In the prediction, the delay-SDE-net utilizes time-lagged inputs and their dependencies, as well as the day of the year to account for seasonal differences. In the validation phase, the input was the 2019 and 2020 infrasound time series, and the model inference results in an estimate of the daily average polar cap wind time-series. This result was then compared to the ERA5 representation of the stratospheric diagnostic time-series for the same period. The applied machine learning model is based on stochastics and allows for an interpretable approach to estimate the aleatoric and epistemic prediction uncertainties. It is found that the mapping, which is only informed of the trained model, the day of year, and the infrasound data from three stations, generates a 1 hPa polar cap average wind estimate with a prediction error standard deviation of around 10 m/s compared to ERA5. Focus should be put on the winter months because this is when the coupling between the stratosphere and the troposphere can mostly influence the surface conditions and provide additional prediction skill, in particular during strong and weak stratospheric polar vortex regimes. The infrasound data is available in real-time, and we discuss how the developed approach can be extended to provide near real-time stratospheric polar vortex diagnostics.
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Zeyringer, Marianne; Benth, Fred Espen, Roithner, Maximilian, Grochowicz, Aleksander & Sirotko-Sibirskaya, Natalia (2022)
[Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Zeyringer, Marianne; Benth, Fred Espen, Roithner, Maximilian, Grochowicz, Aleksander & Sirotko-Sibirskaya, Natalia (2022)
[Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Zeyringer, Marianne; Benth, Fred Espen, Roithner, Maximilian, Grochowicz, Aleksander & Sirotko-Sibirskaya, Natalia (2022)
[Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Zeyringer, Marianne; Benth, Fred Espen, Roithner, Maximilian, Grochowicz, Aleksander & Sirotko-Sibirskaya, Natalia (2022)
[Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Zeyringer, Marianne; Benth, Fred Espen, Roithner, Maximilian, Grochowicz, Aleksander & Sirotko-Sibirskaya, Natalia (2022)
[Lecture]. Event
Benth, Fred Espen (2022)
[Conference Lecture]. Event
Grochowicz, Aleksander; Greevenbroek, Koen van, Benth, Fred Espen & Zeyringer, Marianne (2022)
[Conference Lecture]. Event
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Nunno, Giulia Di; Benth, Fred Espen & Simonsen, Iben Cathrine (2021)
[Conference Lecture]. Event
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Conference Lecture]. Event
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Nunno, Giulia Di; Benth, Fred Espen & Simonsen, Iben Cathrine (2021)
[Conference Lecture]. Event
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Conference Lecture]. Event
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Nunno, Giulia Di; Benth, Fred Espen & Simonsen, Iben Cathrine (2021)
[Conference Lecture]. Event
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Conference Lecture]. Event
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Nunno, Giulia Di; Benth, Fred Espen & Simonsen, Iben Cathrine (2021)
[Conference Lecture]. Event
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Nunno, Giulia Di; Benth, Fred Espen & Simonsen, Iben Cathrine (2021)
[Conference Lecture]. Event
Benth, Fred Espen & Zeyringer, Marianne (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2021)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2019)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Conference Lecture]. Event
Benth, Fred Espen (2018)
[Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2017)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Ådland, Roar Os; Koekebakker, Steen & Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Ådland, Roar Os; Koekebakker, Steen & Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Ådland, Roar Os; Koekebakker, Steen & Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Ådland, Roar Os; Koekebakker, Steen & Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Ådland, Roar Os; Koekebakker, Steen & Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2016)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Professional Article]. Klima,
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Report Research]. Incisive Media
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Lecture]. Event
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Professional Article]. Klima,
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Report Research]. Incisive Media
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Lecture]. Event
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Professional Article]. Klima,
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Report Research]. Incisive Media
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Lecture]. Event
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Professional Article]. Klima,
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Report Research]. Incisive Media
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Lecture]. Event
Benth, Fred Espen (2015)
[Professional Article]. Klima,
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Report Research]. Incisive Media
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Conference Lecture]. Event
Benth, Fred Espen (2015)
[Lecture]. Event
Benth, Fred Espen (2014)
[Lecture]. Event
Benth, Fred Espen (2014)
[Conference Lecture]. Event
Benth, Fred Espen (2014)
[Conference Lecture]. Event
Benth, Fred Espen (2014)
[Lecture]. Event
Benth, Fred Espen (2014)
[Lecture]. Event
Benth, Fred Espen (2014)
[Conference Lecture]. Event
Benth, Fred Espen (2014)
[Conference Lecture]. Event
Benth, Fred Espen (2014)
[Lecture]. Event
Benth, Fred Espen (2014)
[Lecture]. Event
Benth, Fred Espen (2014)
[Conference Lecture]. Event
Benth, Fred Espen (2014)
[Conference Lecture]. Event
Benth, Fred Espen (2014)
[Lecture]. Event
Benth, Fred Espen (2014)
[Lecture]. Event
Benth, Fred Espen (2014)
[Lecture]. Event
Benth, Fred Espen (2014)
[Conference Lecture]. Event
Benth, Fred Espen (2014)
[Conference Lecture]. Event
Benth, Fred Espen (2014)
[Lecture]. Event
Benth, Fred Espen (2014)
[Lecture]. Event
Benth, Fred Espen (2014)
[Conference Lecture]. Event
Benth, Fred Espen (2014)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Eyjolfsson, Heidar & Benth, Fred Espen (2013)
[Report Research]. Matematisk institutt, UiO
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) processes and Levy semistationary (LSS) processes, which is a class of processes that have been employed to model turbulence, tumor growth and electricity forward and spot prices. We will see that our finite difference scheme converges to the solution of the SPDE as we take finer and finer partitions for our finite difference scheme in both time and space. Finally we will consider some examples from the energy finance literature.
Eyjolfsson, Heidar; Benth, Fred Espen & Veraart, Almut E. D. (2013)
[Report Research]. Matematisk institutt, UiO
The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. Finally we put our simulation scheme to work for simulating the price of path dependent options.
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Eyjolfsson, Heidar & Benth, Fred Espen (2013)
[Report Research]. Matematisk institutt, UiO
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) processes and Levy semistationary (LSS) processes, which is a class of processes that have been employed to model turbulence, tumor growth and electricity forward and spot prices. We will see that our finite difference scheme converges to the solution of the SPDE as we take finer and finer partitions for our finite difference scheme in both time and space. Finally we will consider some examples from the energy finance literature.
Eyjolfsson, Heidar; Benth, Fred Espen & Veraart, Almut E. D. (2013)
[Report Research]. Matematisk institutt, UiO
The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. Finally we put our simulation scheme to work for simulating the price of path dependent options.
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Eyjolfsson, Heidar & Benth, Fred Espen (2013)
[Report Research]. Matematisk institutt, UiO
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) processes and Levy semistationary (LSS) processes, which is a class of processes that have been employed to model turbulence, tumor growth and electricity forward and spot prices. We will see that our finite difference scheme converges to the solution of the SPDE as we take finer and finer partitions for our finite difference scheme in both time and space. Finally we will consider some examples from the energy finance literature.
Eyjolfsson, Heidar; Benth, Fred Espen & Veraart, Almut E. D. (2013)
[Report Research]. Matematisk institutt, UiO
The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. Finally we put our simulation scheme to work for simulating the price of path dependent options.
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Eyjolfsson, Heidar & Benth, Fred Espen (2013)
[Report Research]. Matematisk institutt, UiO
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) processes and Levy semistationary (LSS) processes, which is a class of processes that have been employed to model turbulence, tumor growth and electricity forward and spot prices. We will see that our finite difference scheme converges to the solution of the SPDE as we take finer and finer partitions for our finite difference scheme in both time and space. Finally we will consider some examples from the energy finance literature.
Eyjolfsson, Heidar; Benth, Fred Espen & Veraart, Almut E. D. (2013)
[Report Research]. Matematisk institutt, UiO
The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. Finally we put our simulation scheme to work for simulating the price of path dependent options.
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Eyjolfsson, Heidar & Benth, Fred Espen (2013)
[Report Research]. Matematisk institutt, UiO
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) processes and Levy semistationary (LSS) processes, which is a class of processes that have been employed to model turbulence, tumor growth and electricity forward and spot prices. We will see that our finite difference scheme converges to the solution of the SPDE as we take finer and finer partitions for our finite difference scheme in both time and space. Finally we will consider some examples from the energy finance literature.
Eyjolfsson, Heidar; Benth, Fred Espen & Veraart, Almut E. D. (2013)
[Report Research]. Matematisk institutt, UiO
The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. Finally we put our simulation scheme to work for simulating the price of path dependent options.
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen (2013)
[Lecture]. Event
Benth, Fred Espen (2013)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2012)
[Report Research]. Matematisk Institutt/UiO
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2012)
[Report Research]. Matematisk Institutt/UiO
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2012)
[Report Research]. Matematisk Institutt/UiO
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2012)
[Report Research]. Matematisk Institutt/UiO
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2012)
[Report Research]. Matematisk Institutt/UiO
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Khedher, Asma & Schmeck, Maren Diane (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2012)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2011)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
[Report Research]. Matematisk Institutt/UiO
Zakamouline, Valeri; Koekebakker, Steen & Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
Benth, Fred Espen (red.). Encyclopedia of Quantitative Finance
Benth, Fred Espen (2010)
Benth, Fred Espen (red.). Encyclopedia of Quantitative Finance
Benth, Fred Espen (2010)
[Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Professional Article]. ?, , s. 93-122.
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
[Report Research]. Matematisk Institutt/UiO
Zakamouline, Valeri; Koekebakker, Steen & Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
Benth, Fred Espen (red.). Encyclopedia of Quantitative Finance
Benth, Fred Espen (2010)
Benth, Fred Espen (red.). Encyclopedia of Quantitative Finance
Benth, Fred Espen (2010)
[Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Professional Article]. ?, , s. 93-122.
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
[Report Research]. Matematisk Institutt/UiO
Zakamouline, Valeri; Koekebakker, Steen & Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
Benth, Fred Espen (red.). Encyclopedia of Quantitative Finance
Benth, Fred Espen (2010)
Benth, Fred Espen (red.). Encyclopedia of Quantitative Finance
Benth, Fred Espen (2010)
[Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Professional Article]. ?, , s. 93-122.
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
[Report Research]. Matematisk Institutt/UiO
Zakamouline, Valeri; Koekebakker, Steen & Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
Benth, Fred Espen (red.). Encyclopedia of Quantitative Finance
Benth, Fred Espen (2010)
Benth, Fred Espen (red.). Encyclopedia of Quantitative Finance
Benth, Fred Espen (2010)
[Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Professional Article]. ?, , s. 93-122.
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2010)
[Report Research]. Matematisk Institutt/UiO
Zakamouline, Valeri; Koekebakker, Steen & Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
Benth, Fred Espen (red.). Encyclopedia of Quantitative Finance
Benth, Fred Espen (2010)
Benth, Fred Espen (red.). Encyclopedia of Quantitative Finance
Benth, Fred Espen (2010)
[Lecture]. Event
Benth, Fred Espen (2010)
[Conference Lecture]. Event
Benth, Fred Espen (2010)
[Professional Article]. ?, , s. 93-122.
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen (2009)
[Conference Lecture]. Event
Benth, Fred Espen & Meyer-Brandis, Thilo (2008)
[Report Research]. Preprint Series - Pure Mathematics (1)
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen & Meyer-Brandis, Thilo (2008)
[Report Research]. Preprint Series - Pure Mathematics (1)
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen & Meyer-Brandis, Thilo (2008)
[Report Research]. Preprint Series - Pure Mathematics (1)
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen & Meyer-Brandis, Thilo (2008)
[Report Research]. Preprint Series - Pure Mathematics (1)
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Lecture]. Event
Benth, Fred Espen & Meyer-Brandis, Thilo (2008)
[Report Research]. Preprint Series - Pure Mathematics (1)
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di & Khedher, Asma (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Conference Lecture]. Event
Benth, Fred Espen (2008)
[Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Conference Lecture]. Event
Benth, Fred Espen (2007)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2006)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen & Saltyte-Benth, Jurate (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Proske, Frank (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen; Saltyte-Benth, Jurate & Jalinskas, Paulus (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Aas, Kjersti; Dimakos, Xeni Kristine & Benth, Fred Espen (2005)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Groth, Martin & Kettler, Paul Carlisle (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Koekebakker, Steen (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Groth, Martin (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen & Saltyte-Benth, Jurate (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Proske, Frank (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen; Saltyte-Benth, Jurate & Jalinskas, Paulus (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Aas, Kjersti; Dimakos, Xeni Kristine & Benth, Fred Espen (2005)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Groth, Martin & Kettler, Paul Carlisle (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Koekebakker, Steen (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Groth, Martin (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen & Saltyte-Benth, Jurate (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Proske, Frank (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen; Saltyte-Benth, Jurate & Jalinskas, Paulus (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Aas, Kjersti; Dimakos, Xeni Kristine & Benth, Fred Espen (2005)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Groth, Martin & Kettler, Paul Carlisle (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Koekebakker, Steen (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Groth, Martin (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen & Saltyte-Benth, Jurate (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Proske, Frank (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen; Saltyte-Benth, Jurate & Jalinskas, Paulus (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Aas, Kjersti; Dimakos, Xeni Kristine & Benth, Fred Espen (2005)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Groth, Martin & Kettler, Paul Carlisle (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Koekebakker, Steen (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Groth, Martin (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen & Saltyte-Benth, Jurate (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Proske, Frank (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Benth, Fred Espen; Saltyte-Benth, Jurate & Jalinskas, Paulus (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2005)
[Conference Lecture]. Event
Aas, Kjersti; Dimakos, Xeni Kristine & Benth, Fred Espen (2005)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Groth, Martin & Kettler, Paul Carlisle (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen; Kallsen, Jan & Meyer-Brandis, Thilo (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Koekebakker, Steen (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen & Groth, Martin (2005)
[Report Research]. Matematisk institutt
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Lecture]. Event
Benth, Fred Espen & Galdal, Helge (2004)
[Popular Science Article]. Kraftjournalen, (6) , s. 98-99.
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen & Meyer-Brandis, Thilo (2004)
[Report Research]. Department of Mathematics
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Lecture]. Event
Benth, Fred Espen & Galdal, Helge (2004)
[Popular Science Article]. Kraftjournalen, (6) , s. 98-99.
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen & Meyer-Brandis, Thilo (2004)
[Report Research]. Department of Mathematics
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Lecture]. Event
Benth, Fred Espen & Galdal, Helge (2004)
[Popular Science Article]. Kraftjournalen, (6) , s. 98-99.
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen & Meyer-Brandis, Thilo (2004)
[Report Research]. Department of Mathematics
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Lecture]. Event
Benth, Fred Espen & Galdal, Helge (2004)
[Popular Science Article]. Kraftjournalen, (6) , s. 98-99.
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen & Meyer-Brandis, Thilo (2004)
[Report Research]. Department of Mathematics
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Lecture]. Event
Benth, Fred Espen & Galdal, Helge (2004)
[Popular Science Article]. Kraftjournalen, (6) , s. 98-99.
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen & Meyer-Brandis, Thilo (2004)
[Report Research]. Department of Mathematics
Benth, Fred Espen (2004)
[Conference Lecture]. Event
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2003)
[Report Research]. E-print Series
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2003)
[Report Research]. E-print Series
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2003)
[Report Research]. E-print Series
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2003)
[Report Research]. E-print Series
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen & Karlsen, Kenneth Hvistendahl (2003)
[Report Research]. E-print Series
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2003)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Textbook]. Universitetsforlaget
Bølviken, Erik & Benth, Fred Espen (2002)
[Report Research].
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Textbook]. Universitetsforlaget
Bølviken, Erik & Benth, Fred Espen (2002)
[Report Research].
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Textbook]. Universitetsforlaget
Bølviken, Erik & Benth, Fred Espen (2002)
[Report Research].
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Textbook]. Universitetsforlaget
Bølviken, Erik & Benth, Fred Espen (2002)
[Report Research].
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Conference Lecture]. Event
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2002)
[Textbook]. Universitetsforlaget
Bølviken, Erik & Benth, Fred Espen (2002)
[Report Research].
Benth, Fred Espen (2002)
[Lecture]. Event
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
[Conference Lecture]. Event
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Dahl, Lars Oswald & Benth, Fred Espen (2001)
[Report Research]. Matematisk Institutt
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Løkka, Arne, Øksendal, Bernt & Proske, Frank Norbert (2001)
[Report Research]. Universitetet i Oslo. Matematisk institutt
In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for x: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives and the corresponding versions of the Clark-Haussmann-Ocone theorem.
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
[Conference Lecture]. Event
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Dahl, Lars Oswald & Benth, Fred Espen (2001)
[Report Research]. Matematisk Institutt
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Løkka, Arne, Øksendal, Bernt & Proske, Frank Norbert (2001)
[Report Research]. Universitetet i Oslo. Matematisk institutt
In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for x: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives and the corresponding versions of the Clark-Haussmann-Ocone theorem.
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
[Conference Lecture]. Event
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Dahl, Lars Oswald & Benth, Fred Espen (2001)
[Report Research]. Matematisk Institutt
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Løkka, Arne, Øksendal, Bernt & Proske, Frank Norbert (2001)
[Report Research]. Universitetet i Oslo. Matematisk institutt
In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for x: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives and the corresponding versions of the Clark-Haussmann-Ocone theorem.
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
[Conference Lecture]. Event
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Dahl, Lars Oswald & Benth, Fred Espen (2001)
[Report Research]. Matematisk Institutt
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Løkka, Arne, Øksendal, Bernt & Proske, Frank Norbert (2001)
[Report Research]. Universitetet i Oslo. Matematisk institutt
In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for x: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives and the corresponding versions of the Clark-Haussmann-Ocone theorem.
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred E.; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2001)
[Conference Lecture]. Event
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Dahl, Lars Oswald & Benth, Fred Espen (2001)
[Report Research]. Matematisk Institutt
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred Espen; Nunno, Giulia Di, Løkka, Arne, Øksendal, Bernt & Proske, Frank Norbert (2001)
[Report Research]. Universitetet i Oslo. Matematisk institutt
In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We discuss two types of stochastic (Malliavin) derivatives for x: one based on the chaos expansion in terms of iterated integrals with respect to the power jump processes and one based on the chaos expansion in terms of iterated integrals with respect to the Wiener process and the Poisson random measure components. We study the relation between these two expansions, the corresponding two derivatives and the corresponding versions of the Clark-Haussmann-Ocone theorem.
Benth, Fred Espen (2001)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Ekeland, Lars, Hauge, Ragnar, Holden, Lars, Nielsen, Bjørn Fredrik & Ekeland, Lars (2000)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (2000)
[Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Abrahamsen, Petter & Benth, Fred Espen (2000)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Gjerde, Jon & Sannan, Sigurd (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Bølviken, Erik & Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2000)
[Report Research]. Universitetet i Bergen
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Ekeland, Lars, Hauge, Ragnar, Holden, Lars, Nielsen, Bjørn Fredrik & Ekeland, Lars (2000)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (2000)
[Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Abrahamsen, Petter & Benth, Fred Espen (2000)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Gjerde, Jon & Sannan, Sigurd (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Bølviken, Erik & Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2000)
[Report Research]. Universitetet i Bergen
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Ekeland, Lars, Hauge, Ragnar, Holden, Lars, Nielsen, Bjørn Fredrik & Ekeland, Lars (2000)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (2000)
[Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Abrahamsen, Petter & Benth, Fred Espen (2000)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Gjerde, Jon & Sannan, Sigurd (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Bølviken, Erik & Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2000)
[Report Research]. Universitetet i Bergen
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Ekeland, Lars, Hauge, Ragnar, Holden, Lars, Nielsen, Bjørn Fredrik & Ekeland, Lars (2000)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (2000)
[Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Bølviken, Erik & Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2000)
[Report Research]. Universitetet i Bergen
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Abrahamsen, Petter & Benth, Fred Espen (2000)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Gjerde, Jon & Sannan, Sigurd (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Ekeland, Lars, Hauge, Ragnar, Holden, Lars, Nielsen, Bjørn Fredrik & Ekeland, Lars (2000)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (2000)
[Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Bølviken, Erik & Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl & Reikvam, Kristin (2000)
[Report Research]. Universitetet i Bergen
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Abrahamsen, Petter & Benth, Fred Espen (2000)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen; Gjerde, Jon & Sannan, Sigurd (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (2000)
[Conference Lecture]. Event
Benth, Fred Espen (1999)
[Conference Lecture]. Event
Skare, Øivind; Benth, Fred Espen & Frigessi, Arnoldo (1999)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1999)
[Conference Lecture]. Event
Benth, Fred Espen (1999)
[Conference Lecture]. Event
Skare, Øivind; Benth, Fred Espen & Frigessi, Arnoldo (1999)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1999)
[Conference Lecture]. Event
Benth, Fred Espen (1999)
[Conference Lecture]. Event
Skare, Øivind; Benth, Fred Espen & Frigessi, Arnoldo (1999)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1999)
[Conference Lecture]. Event
Benth, Fred Espen (1999)
[Conference Lecture]. Event
Skare, Øivind; Benth, Fred Espen & Frigessi, Arnoldo (1999)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1999)
[Conference Lecture]. Event
Benth, Fred Espen (1999)
[Conference Lecture]. Event
Skare, Øivind; Benth, Fred Espen & Frigessi, Arnoldo (1999)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1999)
[Conference Lecture]. Event
Benth, Fred Espen (1998)
[Conference Lecture]. Event
Sannan, Sigurd; Benth, Fred Espen & Gjerde, Jon (1998)
[Report Research].
Benth, Fred Espen & Mostad, Petter F. (1998)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1998)
[Conference Lecture]. Event
Sannan, Sigurd; Benth, Fred Espen & Gjerde, Jon (1998)
[Report Research].
Benth, Fred Espen & Mostad, Petter F. (1998)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1998)
[Conference Lecture]. Event
Sannan, Sigurd; Benth, Fred Espen & Gjerde, Jon (1998)
[Report Research].
Benth, Fred Espen & Mostad, Petter F. (1998)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1998)
[Conference Lecture]. Event
Benth, Fred Espen & Mostad, Petter F. (1998)
[Report Research]. Norsk Regnesentral
Sannan, Sigurd; Benth, Fred Espen & Gjerde, Jon (1998)
[Report Research].
Benth, Fred Espen (1998)
[Conference Lecture]. Event
Benth, Fred Espen & Mostad, Petter F. (1998)
[Report Research]. Norsk Regnesentral
Sannan, Sigurd; Benth, Fred Espen & Gjerde, Jon (1998)
[Report Research].
Benth, Fred Espen & Mostad, Petter F. (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Abrahamsen, Petter (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Conference Lecture]. Event
Benth, Fred Espen (1997)
[Popular Science Article]. Derivatet, 7, s. 1-7.
Benth, Fred Espen (1997)
[Report Research].
Benth, Fred Espen (1997)
[Report Research].
Benth, Fred Espen & Gjerde, Jon (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Mostad, Petter F. & Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Abrahamsen, Petter & Hauge, Ragnar (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Mostad, Petter F. (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Abrahamsen, Petter (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Conference Lecture]. Event
Benth, Fred Espen (1997)
[Popular Science Article]. Derivatet, 7, s. 1-7.
Benth, Fred Espen (1997)
[Report Research].
Benth, Fred Espen (1997)
[Report Research].
Benth, Fred Espen & Gjerde, Jon (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Mostad, Petter F. & Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Abrahamsen, Petter & Hauge, Ragnar (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Mostad, Petter F. (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Abrahamsen, Petter (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Conference Lecture]. Event
Benth, Fred Espen (1997)
[Popular Science Article]. Derivatet, 7, s. 1-7.
Benth, Fred Espen (1997)
[Report Research].
Benth, Fred Espen (1997)
[Report Research].
Benth, Fred Espen & Gjerde, Jon (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Mostad, Petter F. & Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Abrahamsen, Petter & Hauge, Ragnar (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Mostad, Petter F. (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Abrahamsen, Petter (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Conference Lecture]. Event
Benth, Fred Espen (1997)
[Popular Science Article]. Derivatet, 7, s. 1-7.
Benth, Fred Espen (1997)
[Report Research].
Benth, Fred Espen; Abrahamsen, Petter & Hauge, Ragnar (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research].
Benth, Fred Espen & Gjerde, Jon (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Mostad, Petter F. & Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Mostad, Petter F. (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Abrahamsen, Petter (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Conference Lecture]. Event
Benth, Fred Espen (1997)
[Popular Science Article]. Derivatet, 7, s. 1-7.
Benth, Fred Espen (1997)
[Report Research].
Benth, Fred Espen; Abrahamsen, Petter & Hauge, Ragnar (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research].
Benth, Fred Espen & Gjerde, Jon (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Mostad, Petter F. & Benth, Fred Espen (1997)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1996)
[Report Research].
Benth, Fred Espen & Holden, Lars (1996)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Heggland, Knut & Holden, Lars (1996)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1996)
[Report Research].
Benth, Fred Espen (1996)
[Report Research].
Benth, Fred Espen & Holden, Lars (1996)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Heggland, Knut & Holden, Lars (1996)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1996)
[Report Research].
Benth, Fred Espen (1996)
[Report Research].
Benth, Fred Espen & Holden, Lars (1996)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen; Heggland, Knut & Holden, Lars (1996)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1996)
[Report Research].
Benth, Fred Espen (1996)
[Report Research].
Benth, Fred Espen & Holden, Lars (1996)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1996)
[Report Research].
Benth, Fred Espen; Heggland, Knut & Holden, Lars (1996)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1996)
[Report Research].
Benth, Fred Espen & Holden, Lars (1996)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1996)
[Report Research].
Benth, Fred Espen; Heggland, Knut & Holden, Lars (1996)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen (1995)
[Professional Article]. Ukjent, (21)
Aas, Kjersti; Abrahamsen, Petter & Benth, Fred Espen (1995)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Streit, Ludwig (1995)
[Professional Article]. Ukjent, (17/95)
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen & Streit, Ludwig (1995)
[Professional Article]. Ukjent, (188)
Benth, Fred Espen & Potthoff, Jurgen (1995)
[Professional Article]. Ukjent, (195/95)
Benth, Fred Espen (1995)
[Professional Article]. PhD thesis,
Benth, Fred Espen; Deck, Thomas & Potthoff, Jurgen (1995)
[Professional Article]. Ukjent, (194/95)
Benth, Fred Espen (1995)
[Professional Article]. Ukjent, (21)
Aas, Kjersti; Abrahamsen, Petter & Benth, Fred Espen (1995)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Streit, Ludwig (1995)
[Professional Article]. Ukjent, (17/95)
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen & Streit, Ludwig (1995)
[Professional Article]. Ukjent, (188)
Benth, Fred Espen & Potthoff, Jurgen (1995)
[Professional Article]. Ukjent, (195/95)
Benth, Fred Espen (1995)
[Professional Article]. PhD thesis,
Benth, Fred Espen; Deck, Thomas & Potthoff, Jurgen (1995)
[Professional Article]. Ukjent, (194/95)
Benth, Fred Espen (1995)
[Professional Article]. Ukjent, (21)
Aas, Kjersti; Abrahamsen, Petter & Benth, Fred Espen (1995)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Streit, Ludwig (1995)
[Professional Article]. Ukjent, (17/95)
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen & Streit, Ludwig (1995)
[Professional Article]. Ukjent, (188)
Benth, Fred Espen & Potthoff, Jurgen (1995)
[Professional Article]. Ukjent, (195/95)
Benth, Fred Espen (1995)
[Professional Article]. PhD thesis,
Benth, Fred Espen; Deck, Thomas & Potthoff, Jurgen (1995)
[Professional Article]. Ukjent, (194/95)
Benth, Fred Espen (1995)
[Professional Article]. Ukjent, (21)
Aas, Kjersti; Abrahamsen, Petter & Benth, Fred Espen (1995)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Streit, Ludwig (1995)
[Professional Article]. Ukjent, (17/95)
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen & Streit, Ludwig (1995)
[Professional Article]. Ukjent, (188)
Benth, Fred Espen (1995)
[Professional Article]. PhD thesis,
Benth, Fred Espen; Deck, Thomas & Potthoff, Jurgen (1995)
[Professional Article]. Ukjent, (194/95)
Benth, Fred Espen & Potthoff, Jurgen (1995)
[Professional Article]. Ukjent, (195/95)
Benth, Fred Espen (1995)
[Professional Article]. Ukjent, (21)
Aas, Kjersti; Abrahamsen, Petter & Benth, Fred Espen (1995)
[Report Research]. Norsk Regnesentral
Benth, Fred Espen & Streit, Ludwig (1995)
[Professional Article]. Ukjent, (17/95)
Benth, Fred Espen; Deck, Thomas, Potthoff, Jurgen & Streit, Ludwig (1995)
[Professional Article]. Ukjent, (188)
Benth, Fred Espen (1995)
[Professional Article]. PhD thesis,
Benth, Fred Espen; Deck, Thomas & Potthoff, Jurgen (1995)
[Professional Article]. Ukjent, (194/95)
Benth, Fred Espen & Potthoff, Jurgen (1995)
[Professional Article]. Ukjent, (195/95)
Benth, Fred Espen (1994)
[Professional Article]. Ukjent, (180/94)
Benth, Fred Espen & Gjessing, Hakon (1994)
[Professional Article]. Ukjent, (179)
Benth, Fred Espen (1994)
[Professional Article]. Ukjent, (180/94)
Benth, Fred Espen & Gjessing, Hakon (1994)
[Professional Article]. Ukjent, (179)
Benth, Fred Espen (1994)
[Professional Article]. Ukjent, (180/94)
Benth, Fred Espen & Gjessing, Hakon (1994)
[Professional Article]. Ukjent, (179)
Benth, Fred Espen (1994)
[Professional Article]. Ukjent, (180/94)
Benth, Fred Espen & Gjessing, Hakon (1994)
[Professional Article]. Ukjent, (179)
Benth, Fred Espen (1994)
[Professional Article]. Ukjent, (180/94)
Benth, Fred Espen & Gjessing, Hakon (1994)
[Professional Article]. Ukjent, (179)
Benth, Fred Espen (1993)
[Professional Article]. Cand. Scient thesis,
Benth, Fred Espen (1993)
[Professional Article]. Cand. Scient thesis,
Benth, Fred Espen (1993)
[Professional Article]. Cand. Scient thesis,
Benth, Fred Espen (1993)
[Professional Article]. Cand. Scient thesis,
Benth, Fred Espen (1993)
[Professional Article]. Cand. Scient thesis,
| År | Akademisk institusjon | Grad |
|---|---|---|
| 1996 | University of Oslo | Dr. Scient. |