Fred Espen Benth

Image of Fred Espen Benth
Norwegian version of this page
Phone +47-22855892
Mobile phone +47-99262384
Room 1013
Username
Visiting address Ullevål stadion Sognsveien 77 B 0855 OSLO
Postal address Postboks 1053 Blindern 0316 OSLO
Other affiliations Department of Mathematics

Research interests

Mathematical finance,
with focus on insurance and markets for energy (electricity), weather and
commodities. Questions around pricing of options, hedging and optimal
portfolios are studied via stochastic analysis.)

Higher education and employment history

Dr. scient(phd equivalent) in mathematics from UNiversity of Oslo in 1995. 3 years
as researcher in statistics at the Norwegian Computing Center, and 2 years
as post doc in mathematics (1 year at the universities of Aarhus and
Oslo). Worked one year as associate professor at the University of
Trondheim, Norway, before coming full professor in mathematical finance at
the University of Oslo in 2002.

Appointments

Deputy manager at the Center of Mathematics for Applications (CMA)
 

 

 

Tags: Mathematics, Energy, Stochastic analysis and finance and insurance and risk, Centre of Mathematics for Applications - CMA

Publications

  • Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017). Optimal management of green certificates in the Swedish-Norwegian market. Journal of Energy Markets.  ISSN 1756-3615.  10(2), s 1- 39 . doi: 10.21314/JEM.2017.159 Full text in Research Archive. Show summary
  • Benth, Fred Espen & Eyjolfsson, Heidar (2017). Representation and approximation of ambit fields in Hilbert space. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  89(1), s 311- 347 . doi: 17442508.2016.1177057 Full text in Research Archive.
  • Benth, Fred Espen & Ortiz-Latorre, Salvador (2017). Calibration of temperature futures by changing the mean reversion. Journal of Energy Markets.  ISSN 1756-3615.  10(1), s 1- 25
  • Benth, Fred Espen & Paraschiv, Florentina (2017). A space-time random field model for electricity forward prices (Best Energy Paper Award, ECOMFIN 2016, Paris). Journal of Banking & Finance.  ISSN 0378-4266. . doi: 10.1016/j.jbankfin.2017.03.018 Show summary
  • Benth, Fred Espen (2016). Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework, In Jan Kallsen & Antonis Papapantoleon (ed.),  Advanced Modelling in Mathematical Finance.  Springer Publishing Company.  ISBN 978-3-319-45873-1.  20.  s 477 - 496
  • Benth, Fred Espen & Eyjolfsson, Heidar (2016). Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations. Bernoulli.  ISSN 1350-7265.  22(2), s 774- 793 . doi: 10.3150/14-BEJ675
  • Benth, Fred Espen & Khedher, Asma (2016). Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion, In Mark Podolskij; Robert Stelzer; Steen Thorbjørnsen & Almut E. D. Veraart (ed.),  The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen.  Springer Science+Business Media B.V..  ISBN 978-3-319-25824-9.  8.  s 153 - 189
  • Benth, Fred Espen & Koekebakker, Steen (2016). Stochastic modeling of Supramax spot and forward freight rates. Maritime Economics & Logistics.  ISSN 1479-2931.  18(4), s 391- 413 . doi: 10.1057/mel.2015.22
  • Benth, Fred Espen & Suess, Andre (2016). Integration theory for infinite dimensional volatility modulated Volterra processes. Bernoulli.  ISSN 1350-7265.  22(3), s 1383- 1430 . doi: 10.3150/15-BEJ696 Full text in Research Archive.
  • Benth, Fred Espen & Zdanowicz, Hanna Marta (2016). Pricing and hedging of energy spread options and volatility modulated volterra processes. International Journal of Theoretical and Applied Finance.  ISSN 0219-0249.  19(1) . doi: 10.1142/S0219024916500023
  • Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2015). Cross-commodity modelling by multivariate ambit fields. Fields Institute Communications.  ISSN 1069-5265.  74, s 109- 148 . doi: 10.1007/978-1-4939-2733-3_5
  • Benth, Fred Espen & Blanco, Sara Anna Solanilla (2015). FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES. International Journal of Theoretical and Applied Finance.  ISSN 0219-0249.  18(2) . doi: 10.1142/S0219024915500107
  • Benth, Fred Espen & Detering, Nils (2015). Pricing and hedging Asian-style options on energy. Finance and Stochastics.  ISSN 0949-2984.  19(4), s 849- 889 . doi: 10.1007/s00780-015-0270-2 Full text in Research Archive.
  • Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma & Schmeck, Maren Diane (2015). Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk. Applied Mathematical Finance.  ISSN 1350-486X.  22(1), s 28- 62 . doi: 10.1080/1350486X.2014.948708
  • Benth, Fred Espen & Koekebakker, Steen (2015). Pricing of forwards and other derivatives in cointegrated commodity markets. Energy Economics.  ISSN 0140-9883.  52, s 104- 117 . doi: 10.1016/j.eneco.2015.09.009 Full text in Research Archive.
  • Benth, Fred Espen; Koekebakker, Steen & Che Taib, Che Mohd Imran (2015). Stochastic dynamical modelling of spot freight rates. IMA Journal of Management Mathematics.  ISSN 1471-678X.  26(3), s 273- 297 . doi: 10.1093/imaman/dpu001
  • Benth, Fred Espen & Krühner, Paul (2015). Derivatives pricing in energy markets: an infinite dimensional approach. SIAM Journal on Financial Mathematics.  ISSN 1945-497X.  6(1), s 825- 869 . doi: 10.1137/15100268X Full text in Research Archive.
  • Benth, Fred Espen & Krühner, Paul (2015). Integrability of multivariate subordinated Lévy processes in Hilbert space. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  87(3), s 458- 476 . doi: 10.1080/17442508.2014.966826 Full text in Research Archive.
  • Benth, Fred Espen; Lange, Nina & Myklebust, Tor Åge (2015). Pricing and hedging quanto options in energy markets. Journal of Energy Markets.  ISSN 1756-3615.  8(1), s 1- 35
  • Benth, Fred Espen & Ortiz-Latorre, Salvador (2015). A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets. International Journal of Theoretical and Applied Finance.  ISSN 0219-0249.  18(6) . doi: 10.1142/S0219024915500387 Full text in Research Archive.
  • Benth, Fred Espen & Solanilla Blanco, Sara Ana (2015). Approximation of the price dynamics of heating degree day and cooling degree day temperature futures. Journal of Energy Markets.  ISSN 1756-3615.  18(4), s 69- 92
  • Benth, Fred Espen & Zdanowicz, Hanna Marta (2015). Pricing energy spread options, In Andrea Roncoroni; Gianluca Fusai & Mark Cummins (ed.),  Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management.  John Wiley & Sons.  ISBN 978-0-470-74524-3.  Chapter 17.  s 801 - 825
  • Benth, Fred Espen & Solanilla Blanco, Sara Ana (2014). Forward prices in markets driven by continuous-time autoregressive processes, In Akihiko Takahashi; Yukio Muromachi & Takashi Shibata (ed.),  Recent advances in financial engineering - Proceedings of the International Workshop on Fininance 2012.  World Scientific.  ISBN 978-9814571630.  1.  s 1 - 24
  • Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen & Zakamulin, Valeriy (2014). The CARMA interest rate model. International Journal of Theoretical and Applied Finance.  ISSN 0219-0249.  17(2) . doi: 10.1142/S0219024914500083 Show summary
  • Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Pedersen, Jan & Veraart, Almut E.D. (2014). On stochastic integration for volatility modulated Lévy-driven Volterra processes. Stochastic Processes and their Applications.  ISSN 0304-4149.  124(1), s 812- 847 . doi: 10.1016/j.spa.2013.09.007 Full text in Research Archive.
  • Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Szozda, Benedykt (2014). On stochastic integration for volatility modulated Brownian driven Volterra processes via white noise analysis. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  17(2) . doi: 10.1142/S0219025714500118 Full text in Research Archive.
  • Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E.D. (2014). Modelling electricity futures prices by ambit fields. Advances in Applied Probability.  ISSN 0001-8678.  46(3), s 719- 745 Full text in Research Archive.
  • Barth, Andrea & Benth, Fred Espen (2014). The forward dynamics in energy markets – infinite-dimensional modelling and simulation. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  86(6), s 932- 966 . doi: 10.1080/17442508.2014.895359 Full text in Research Archive.
  • Benth, Fred Espen; Biegler-Koenig, Richard & Kiesel, Rüdiger (2014). Electricity options and additional information, In Fred Espen Benth; Valery Kholodnyi & Peter Laurence (ed.),  Quantitative Energy Finance: Modeling, pricing and hedging in energy and commodity markets.  Springer Science+Business Media B.V..  ISBN 978-1-4614-7247-6.  11.  s 285 - 305
  • Benth, Fred Espen; Ebbeler, Stephan & Kiesel, Rüdiger (2014). Indifference Pricing of Weather Futures Based on Electricity Futures, In Marcel Prokopczuk (ed.),  Energy Pricing Models : Recent Advances, Methods, and Tools.  Palgrave Macmillan.  ISBN 978-1-137-37734-0.  kapittel 8.  s 223 - 268 Full text in Research Archive.
  • Benth, Fred Espen; Eyjolfsson, Heidar & Veraart, Almut E. D. (2014). Approximating Levy semistationary processes via Fourier methods in the context of power markets. SIAM Journal on Financial Mathematics.  ISSN 1945-497X.  5(1), s 71- 98 . doi: 10.1137/130905320 Full text in Research Archive.
  • Benth, Fred Espen; Kluppelberg, Claudia; Muller, Gernot & Vos, Linda (2014). Futures pricing in electricity markets based on stable CARMA spot models. Energy Economics.  ISSN 0140-9883.  44, s 392- 406 . doi: 10.1016/j.eneco.2014.03.020
  • Benth, Fred Espen & Lempa, Jukka (2014). Optimal portfolios in commodity futures markets. Finance and Stochastics.  ISSN 0949-2984.  18(2), s 407- 430 . doi: 10.1007/s00780-013-0224-5 Full text in Research Archive.
  • Benth, Fred Espen & Ortiz-Latorre, Salvador (2014). A pricing measure to explain the risk premium in power markets. SIAM Journal on Financial Mathematics.  ISSN 1945-497X.  5, s 685- 728 . doi: 10.1137/13093604X Full text in Research Archive.
  • Benth, Fred Espen & Schmeck, Maren Diane (2014). Pricing Futures and Options in Electricity Markets, In Sofia Ramos & Helena Veiga (ed.),  The Interrelationship Between Financial and Energy Markets.  Springer Publishing Company.  ISBN 978-3-642-55382-0.  Kapittel 3.  s 233 - 260 Full text in Research Archive.
  • Benth, Fred Espen & Schmeck, Maren Diane (2014). Pricing and hedging options in energy markets using Black-76. Journal of Energy Markets.  ISSN 1756-3615.  7(2), s 35- 69
  • Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2013). Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes. Bernoulli.  ISSN 1350-7265.  19(3), s 803- 845 . doi: 10.3150/12-BEJ476 Full text in Research Archive.
  • Benth, Fred Espen (2013). Modeling Temperature for Pricing Weather Derivatives, In Xin-She Yang (ed.),  Mathematical Modeling with Multidisciplinary Applications.  John Wiley & Sons.  ISBN 9781118294413.  Chapter 11.  s 257 - 284
  • Benth, Fred Espen (2013). Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling. Lecture notes in mathematics.  ISSN 0075-8434.  2081, s 109- 167 Full text in Research Archive.
  • Benth, Fred Espen; Biegler-König, Richard & Kiesel, Rüdiger (2013). An empirical study of the information premium on electricity markets. Energy Economics.  ISSN 0140-9883.  36, s 55- 77 . doi: 10.1016/j.eneco.2012.12.001 Full text in Research Archive.
  • Benth, Fred Espen & Che Taib, Che Mohd Imran (2013). On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets. Energy Economics.  ISSN 0140-9883.  40, s 259- 268 . doi: 10.1016/j.eneco.2013.07.007
  • Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2013). A note on convergence of option prices and their Greeks for Lévy models. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  85(6), s 1015- 1039 . doi: 10.1080/17442508.2012.736994
  • Benth, Fred Espen & Eyjolfsson, Heidar (2013). Stochastic Modeling of Power Markets Using Stationary Processes, In Robert C. Dalang; Marco Dozzi & Francesco Russo (ed.),  Seminar on Stochastic Analysis, Random Fields and Applications VII - Centro Stefano Franscini, Ascona, May 2011.  Birkhäuser Verlag.  ISBN 978-3-0348-0544-5.  Part II: Stochastic Methods in Financial Models.  s 261 - 284
  • Benth, Fred Espen & Schmeck, Maren Diane (2013). Stability of Merton's portfolio optimization problem for Lévy models. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  85(5), s 833- 858 . doi: 10.1080/17442508.2012.665056
  • Benth, Fred Espen & Vos, Linda (2013). Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets. Advances in Applied Probability.  ISSN 0001-8678.  45(2), s 545- 571 . doi: 10.1239/aap/1370870129
  • Benth, Fred Espen & Vos, Linda (2013). Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets. Advances in Applied Probability.  ISSN 0001-8678.  45(2), s 572- 594 . doi: 10.1239/aap/1370870130
  • Sørensen, Torquil Macdonald & Benth, Fred Espen (2013). Levy process simulation by stochastic step functions. SIAM Journal on Scientific Computing.  ISSN 1064-8275.  35(5), s A2207- A2224 . doi: 10.1137/110851080
  • Bauer, Daniel; Benth, Fred Espen & Kiesel, Rüdiger (2012). Modeling the forward surface of mortality. SIAM Journal on Financial Mathematics.  ISSN 1945-497X.  3, s 639- 666 . doi: 10.1137/100818261
  • Benth, Fred Espen; Dahl, Geir & Mannino, Carlo (2012). Computing Optimal Recovery Policies for Financial Markets. Operations Research.  ISSN 0030-364X.  60(6), s 1373- 1388 . doi: 10.1287/opre.1120.1112
  • Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2012). Computation of Greeks in multifactor models with applications to power and commodity markets. Journal of Energy Markets.  ISSN 1756-3615.  5(4), s 3- 31
  • Benth, Fred Espen; Kiesel, Rüdiger & Nazarova, Anna (2012). A critical empirical study of three electricity spot price models. Energy Economics.  ISSN 0140-9883.  34, s 1589- 1616 . doi: 10.1016/j.eneco.2011.11.012
  • Benth, Fred Espen; Lempa, Jukka & Nilssen, Trygve Kastberg (2012). On the optimal exercise of swing options in electricity markets. Journal of Energy Markets.  ISSN 1756-3615.  4(4), s 3- 28 Full text in Research Archive.

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  • Benth, Fred Espen & Di Nunno, Giulia (ed.) (2016). Stochastics of Environmental and Financial Economics. Springer Science+Business Media B.V..  ISBN 978-3-319-23424-3.  360 s.
  • Benth, Fred Espen; Kholodnyi, Valery & Laurence, Peter (ed.) (2014). Quantitative Energy Finance: Modeling, pricing and hedging in energy and commodity markets. Springer Science+Business Media B.V..  ISBN 978-1-4614-7247-6.  308 s.
  • Benth, Fred Espen & Saltyte Benth, Jurate (2013). Modeling and Pricing in Financial Markets for Weather Derivatives. World Scientific.  ISBN 978-981-4401-84-5.  242 s.

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  • Benth, Fred Espen (2017). CARMA processes in Hilbert space.
  • Benth, Fred Espen (2017). Continuous-time cointegration for factor models.
  • Benth, Fred Espen (2017). Modelling stochastic volatility in forward markets.
  • Benth, Fred Espen (2017). Stochastic volatility for the forward price dynamics.
  • Benth, Fred Espen (2016). Cointegration in continuous time -- commodity spot and forward markets.
  • Benth, Fred Espen (2016). Modelling in energy markets.
  • Benth, Fred Espen (2016). Ornstein-Uhlenbeck processes in Hilbert space - analysis and application.
  • Benth, Fred Espen (2016). Stochastic modelling of energy markets.
  • Ådland, Roar Os; Koekebakker, Steen & Benth, Fred Espen (2016). Multivariate modelling of regional ocean freight rates.
  • Benth, Fred Espen (2015). CMA: Erfaringer med forskning på tvers og på langs i en SFF.
  • Benth, Fred Espen (2015). Forsikrer seg mot fornybar risiko. Klima. Norsk magasin for klimaforskning.  ISSN 1504-8136.
  • Benth, Fred Espen (2015). Kriging smooth futures curves.
  • Benth, Fred Espen (2015). Modelling energy forward prices - representation of ambit fields.
  • Benth, Fred Espen (2015). Pricing and modelling electricity derivatives - cointegration and risk premia.
  • Benth, Fred Espen (2015). Representation of Ambit Fields.
  • Benth, Fred Espen (2015). Stochastic volatility in energy forward price models.
  • Aarønæs, Lars; Benth, Fred Espen & Di Nunno, Giulia (2014, 01. oktober). Hvordan beregner vi framtida?. [Tidsskrift].  GLIMT - CAS Informasjonsblad.
  • Benth, Fred Espen (2014). Modelling of stochastic volatility and correlation in energy markets.
  • Benth, Fred Espen (2014). Modelling of the risk premium in energy markets.
  • Benth, Fred Espen (2014). Stochastic partial differential equations in weather markets.
  • Benth, Fred Espen (2014). Stochastic volatility in energy markets.
  • Benth, Fred Espen (2013). A general approach to pricing in energy and weather markets.
  • Benth, Fred Espen (2013). A note on co-integration in commodity markets.
  • Benth, Fred Espen (2013). A note on co-integration in commodity markets.
  • Benth, Fred Espen (2013). "Financial engineering": hvordan kontrollere risiko i dagens energimarkeder.
  • Benth, Fred Espen (2013). Hint og tips for skriving av vitenskapelige artikler.
  • Benth, Fred Espen (2013). Modelling and pricing in energy and weather markets.
  • Benth, Fred Espen (2013). Modelling energy forward markets.
  • Benth, Fred Espen (2013). Modelling forward prices in energy markets.
  • Benth, Fred Espen (2013). Pricing and hedging average-based options in energy markets.
  • Benth, Fred Espen (2013). Risikostyring i energimarkedet.
  • Benth, Fred Espen (2013). Stationarity and risk premium in power markets.
  • Benth, Fred Espen (2013). Strømprissikring. Dagens næringsliv.  ISSN 0803-9372.  (13), s 33
  • Benth, Fred Espen (2013). The stochastics of energy markets.
  • Benth, Fred Espen (2013). Weather, risk and energy markets.
  • Eyjolfsson, Heidar & Benth, Fred Espen (2013). Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations. Preprint series (Universitetet i Oslo. Matematisk institutt). 3. Full text in Research Archive. Show summary
  • Eyjolfsson, Heidar; Benth, Fred Espen & Veraart, Almut E. D. (2013). Approximating Levy Semistationary processes via Fourier methods in the context of power markets. Preprint series (Universitetet i Oslo. Matematisk institutt). 4. Full text in Research Archive. Show summary
  • Benth, Fred Espen (2012). A general approach to pricing in energy and weather markets.
  • Benth, Fred Espen (2012). Fourier methods in Energy Finance.
  • Benth, Fred Espen (2012, 08. juni). Matematikere foretrekkes til tunge IT oppgaver. [Internett].  www.hardware.no.
  • Benth, Fred Espen (2012, 25. mai). Mindre risiko i strømmarkedet. [Internett].  www.forskningh.no.
  • Benth, Fred Espen (2012). Stochastic integration for Volterra processes.
  • Benth, Fred Espen (2012, 24. juni). Universities fear power of robot trading to lure maths talent. [Internett].  www.universityworldnews.com.
  • Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma & Schmeck, Maren Diane (2012). Pricing of spread options on a bivariate jump market and stability to model risk. Preprint series (Universitetet i Oslo. Matematisk institutt). 2. Full text in Research Archive.
  • Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma & Schmeck, Maren Diane (2012). Spread options and stability to model risk.

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Published Nov. 30, 2010 11:20 PM - Last modified Oct. 24, 2013 4:41 PM