Fred Espen Benth

Image of Fred Espen Benth
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Phone +47-22855892
Mobile phone +47-99262384
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Room 1013
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Visiting address Moltke Moes vei 35 Niels Henrik Abels hus 0851 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

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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). Continuous-time cointegration for factor models.
  • 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. Full text in Research Archive
  • Eyjolfsson, Heidar; Benth, Fred Espen & Veraart, Almut E. D. (2013). Approximating Levy Semistationary processes via Fourier methods in the context of power markets. Full text in Research Archive
  • 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. 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