Fred Espen Benth

Professor - Risk and Stochastics
Image of Fred Espen Benth
Norwegian version of this page
Phone +47 22855892
Mobile phone +47 99262384
Room 1012
Username
Visiting address Moltke Moes vei 35 Niels Henrik Abels hus 0851 Oslo
Postal address Postboks 1053 Blindern 0316 Oslo

Research interests

Mathematical finance, with focus on insurance and markets for energy (electricity), weather and commodities. Questions around modeling, estimation and simulation of spot and forward prices, as well as pricing of options, hedging and optimal portfolios are studied via stochastic analysis. Recently, I have also become interested in climate and energy systems, and machine learning methods. 

Complete list of my publications can be found here.

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.

 

 

 

Tags: Mathematics, Energy, Stochastic analysis and finance and insurance and risk

Publications

  • Grochowicz, Aleksander; Benth, Fred Espen & Zeyringer, Marianne (2024). Spatio-temporal smoothing and dynamics of different electricity flexibility options for highly renewable energy systems—Case study for Norway. Applied Energy. ISSN 0306-2619. 356. doi: 10.1016/j.apenergy.2023.122338.
  • Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2023). Pricing options on flow forwards by neural networks in a Hilbert space. Finance and Stochastics. ISSN 0949-2984. 28, p. 81–121. doi: 10.1007/s00780-023-00520-2.
  • Benth, Fred Espen & Lempa, Jukka (2023). Hedging temperature risk with CDD and HDD temperature futures. Applied Stochastic Models in Business and Industry. ISSN 1524-1904. doi: 10.1002/asmb.2815. Full text in Research Archive
  • Bordin, Chiara; Mishra, Sambeet & Benth, Fred Espen (2023). Pedagogical Perspectives of Interdisciplinary Teaching and Research: An Energy System Modelling Outlook in Relation to Energy Informatics. Energies. ISSN 1996-1073. 16(15). doi: 10.3390/en16155757. Full text in Research Archive
  • Puica, Mihaela-Alexandra & Benth, Fred Espen (2023). A spatio-temporal model for predicting wind speeds in Southern California. Communications in statistics. Case studies, data analysis and applications.. ISSN 2373-7484. 9(3), p. 321–349. doi: 10.1080/23737484.2023.2217137.
  • Benth, Fred Espen; Deelstra, Griselda & Kozplnar, And Sinem (2023). Pricing energy quanto options in the framework of Markov-modulated additive processes. IMA Journal of Management Mathematics. ISSN 1471-678X. 34(1), p. 187–220. doi: 10.1093/imaman/dpab032.
  • Benth, Fred Espen & Karbach, Sven (2023). Multivariate continuous-time autoregressive moving-average processes on cones. Stochastic Processes and their Applications. ISSN 0304-4149. 162, p. 299–337. doi: 10.1016/j.spa.2023.05.003.
  • Larsson, Karl; Green, Rikard & Benth, Fred Espen (2023). A stochastic time-series model for solar irradiation. Energy Economics. ISSN 0140-9883. 117. doi: 10.1016/j.eneco.2022.106421. Full text in Research Archive
  • Grochowicz, Aleksander; van Greevenbroek, Koen; Benth, Fred Espen & Zeyringer, Marianne (2023). Intersecting near-optimal spaces: European power systems with more resilience to weather variability. Energy Economics. ISSN 0140-9883. 118. doi: 10.1016/j.eneco.2022.106496. Full text in Research Archive
  • Benth, Fred Espen; Detering, Nils & Galimberti, Luca (2022). Neural networks in Fréchet spaces. Annals of Mathematics and Artificial Intelligence. ISSN 1012-2443. 91, p. 75–103. doi: 10.1007/s10472-022-09824-z. Full text in Research Archive
  • Schrader, Simon Elias & Benth, Fred Espen (2022). A stochastic study of carbon emission reduction from electrification and interconnecting cable utilization. The Norway and Germany case. Energy Economics. ISSN 0140-9883. 114. doi: 10.1016/j.eneco.2022.106300. Full text in Research Archive
  • Benth, Fred Espen & Galimberti, Luca (2022). Stochastic integrals and Gelfand integration in Fréchet spaces. Infinite Dimensional Analysis Quantum Probability and Related Topics. ISSN 0219-0257. 25(2), p. 1–35. doi: 10.1142/S0219025722500072. Full text in Research Archive
  • Benth, Fred Espen; Detering, Nils & Krühner, Paul (2022). Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 1744-2508. p. 1–23. doi: 10.1080/17442508.2021.2019738. Full text in Research Archive
  • Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2022). A topological proof of Sklar's theorem in arbitrary dimensions. Dependence Modeling. ISSN 2300-2298. 10(1), p. 22–28. doi: 10.1515/demo-2022-0103. Full text in Research Archive
  • Benth, Fred Espen; Schroers, Dennis & Veraart, Almut E. D. (2022). A weak law of large numbers for realised covariation in a Hilbert space setting. Stochastic Processes and their Applications. ISSN 0304-4149. 145, p. 241–268. doi: 10.1016/j.spa.2021.12.011. Full text in Research Archive
  • Benth, Fred Espen; Detering, Nils & Lavagnini, Silvia (2021). Accuracy of deep learning in calibrating HJM forward curves. Digital Finance. ISSN 2524-6984. 3, p. 209–248. doi: 10.1007/s42521-021-00030-w. Full text in Research Archive
  • Benth, Fred Espen; Kutrolli, Gleda & Stefani, Silvana (2021). Dynamic probabilistic forecasting with uncertainty. International Journal of Theoretical and Applied Finance. ISSN 0219-0249. 24(6 & 7). doi: 10.1142/S0219024921500345. Full text in Research Archive
  • Benth, Fred Espen; Di Nunno, Giulia & Schroers, Dennis (2021). Copula measures and Sklar's theorem in arbitrary dimensions. Scandinavian Journal of Statistics. ISSN 0303-6898. doi: 10.1111/sjos.12559.
  • Benth, Fred Espen & Lavagnini, Silvia (2021). Correlators of Polynomial Processes. SIAM Journal on Financial Mathematics. ISSN 1945-497X. 12(4), p. 1374–1415. doi: 10.1137/21M141556X. Full text in Research Archive
  • Benth, Fred Espen & Simonsen, Iben Cathrine (2021). Metatimes, random measures and cylindrical random variables. Modern Stochastics: Theory and Applications (MSTA). ISSN 2351-6046. 8(3), p. 349–371. doi: 10.15559/21-VMSTA178. Full text in Research Archive
  • Benth, Fred Espen; Di Nunno, Giulia & Simonsen, Iben Cathrine (2021). Sensitivity analysis in the infinite dimensional Heston model. Infinite Dimensional Analysis Quantum Probability and Related Topics. ISSN 0219-0257. 24(2). doi: 10.1142/S0219025721500144.
  • Benth, Fred Espen (2021). Pricing of Commodity and Energy Derivatives for Polynomial Processes. Mathematics. ISSN 2227-7390. 9(2). doi: 10.3390/math9020124. Full text in Research Archive
  • Benth, Fred Espen; Sønderby Christensen, Troels & Rohde, Victor (2021). Multivariate continuous-time modeling of wind indexes and hedging of wind risk. Quantitative finance (Print). ISSN 1469-7688. 21(1), p. 165–183. doi: 10.1080/14697688.2020.1804606. Full text in Research Archive
  • Harang, Fabian Andsem & Benth, Fred Espen (2021). Infinite Dimensional Pathwise Volterra Processes Driven by Gaussian Noise - Probabilistic Properties and Applications . Electronic Journal of Probability (EJP). ISSN 1083-6489. 26. doi: 10.1214/21-EJP683. Full text in Research Archive
  • Benth, Fred Espen; Detering, Nils & Krühner, Paul (2020). Independent increment processes: a multilinearity preserving property. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 1744-2508. doi: 10.1080/17442508.2020.1802458. Full text in Research Archive
  • Benth, Fred Espen; Eikeset, Anne Maria; Levin, Simon A. & Ren, Wanjuan (2020). Analysis of the risk premium in the forward market for salmon. Journal of Commodity Markets. ISSN 2405-8513. p. 1–13. doi: 10.1016/j.jcomm.2019.100122. Full text in Research Archive
  • Christensen, Troels Sønderby & Benth, Fred Espen (2020). Modelling the joint behaviour of electricity prices in interconnected markets. Quantitative finance (Print). ISSN 1469-7688. 20(9), p. 1441–1456. doi: 10.1080/14697688.2020.1733059. Full text in Research Archive
  • Kremer, Marcel; Benth, Fred Espen; Felten, Björn & Kiesel, Rüdiger (2020). Volatility and liquidity on high-frequency electricity futures markets: Empirical analysis and stochastic modeling. International Journal of Theoretical and Applied Finance. ISSN 0219-0249. 23(4). doi: 10.1142/S0219024920500272.
  • Krecar, Nikola; Benth, Fred Espen & Gubina, Andrej (2020). Towards definition of the risk premium function. IEEE Transactions on Power Systems. ISSN 0885-8950. 35(2), p. 1085–1098. doi: 10.1109/TPWRS.2019.2938423. Full text in Research Archive
  • Benth, Fred Espen; Khedher, Asma & Vanmaele, Michèle (2020). Pricing of commodity derivatives on processes with memory. Risks. ISSN 2227-9091. 8(1). doi: 10.3390/risks8010008. Full text in Research Archive
  • Benth, Fred Espen; Piccirilli, Marco & Vargiolu, Tiziano (2019). Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework. Mathematics and Financial Economics. ISSN 1862-9679. 13(4), p. 543–577. doi: 10.1007/s11579-019-00237-x. Full text in Research Archive
  • Benth, Fred Espen & Rohde, Victor (2019). On non-negative modeling with CARMA processes. Journal of Mathematical Analysis and Applications. ISSN 0022-247X. 476(1), p. 196–214. doi: 10.1016/j.jmaa.2018.12.055. Full text in Research Archive
  • Benth, Fred Espen & Suss, Andre (2018). Continuous-Time Autoregressive Moving-Average Processes in Hilbert Space. In Celledoni, Elena; Di Nunno, Giulia; Ebrahimi-Fard, Kurusch & Munthe-Kaas, Hans (Ed.), Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISSN 978-3-030-01592-3. p. 297–320. doi: 10.1007/978-3-030-01593-0_11.
  • Benth, Fred Espen & Suss, Andre (2018). Cointegration in continuous time for factor models. Mathematics and Financial Economics. ISSN 1862-9679. 13(1), p. 87–114. doi: 10.1007/s11579-018-0221-8.
  • Benth, Fred Espen & Simonsen, Iben Cathrine (2018). The Heston stochastic volatility model in Hilbert space. Stochastic Analysis and Applications. ISSN 0736-2994. 36(4), p. 733–750. doi: 10.1080/07362994.2018.1461566. Full text in Research Archive
  • Benth, Fred Espen & Pircalabu, Anca (2018). A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures. Applied Mathematical Finance. ISSN 1350-486X. 25(1), p. 36–65. doi: 10.1080/1350486X.2018.1438904. Full text in Research Archive
  • Benth, Fred Espen; Di Persio, Luca & Lavagnini, Silvia (2018). Stochastic modelling of wind derivatives in energy markets. Risks. ISSN 2227-9091. 6(2). doi: 10.3390/risks6020056. Full text in Research Archive
  • Benth, Fred Espen & Krühner, Paul (2018). Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models. Finance and Stochastics. ISSN 0949-2984. 22(2), p. 327–366. doi: 10.1007/s00780-018-0355-9. Full text in Research Archive
  • Ådland, Roar Os; Benth, Fred Espen & Koekebakker, Steen (2018). Multivariate modeling and analysis of regional ocean freight rates. Transportation Research Part E: Logistics and Transportation Review. ISSN 1366-5545. 113, p. 194–221. doi: 10.1016/j.tre.2017.10.014. Full text in Research Archive
  • Benth, Fred Espen; Ruediger, Barbara & Suess, Andre (2018). Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility. Stochastic Processes and their Applications. ISSN 0304-4149. 128(2), p. 461–486. doi: 10.1016/j.spa.2017.05.005. Full text in Research Archive
  • Benth, Fred Espen; Eriksson, Marcus Karl Viren & Westgaard, Sjur (2017). Stochastic Volatility Modeling of Emission Allowances Futures Prices in the European Union Emission Trading System Market. In Secomandi, Nicola (Eds.), Real Options in Energy and Commodity Markets. World Scientific. ISSN 978-981-3149-40-3. p. 63–115. doi: 10.1142/9789813149410_0003. Full text in Research Archive
  • Pircalabu, Anca & Benth, Fred Espen (2017). A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. Energy Economics. ISSN 0140-9883. 68, p. 283–302. doi: 10.1016/j.eneco.2017.10.008. Full text in Research Archive
  • Benth, Fred Espen & Ibrahim, Noor Adilah (2017). Stochastic modeling of photovoltaic power generation and electricity prices. Journal of Energy Markets. ISSN 1756-3607. 10(3), p. 1–33. doi: 10.21314/JEM.2017.164. Full text in Research Archive
  • 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 1756-3607. 10(2), p. 1–39. doi: 10.21314/JEM.2017.159. Full text in Research Archive
  • 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), p. 311–347. doi: 10.1080/17442508.2016.1177057. Full text in Research Archive
  • Benth, Fred Espen & Paraschiv, Florentina (2017). A space-time random field model for electricity forward prices. Journal of Banking & Finance. ISSN 0378-4266. 95, p. 203–216. doi: 10.1016/j.jbankfin.2017.03.018. 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 1756-3607. 10(1), p. 1–25. doi: 10.21314/jem.2017.157.
  • Benth, Fred Espen (2016). Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework. In Kallsen, Jan & Papapantoleon, Antonis (Ed.), Advanced Modelling in Mathematical Finance. Springer Publishing Company. ISSN 978-3-319-45873-1. p. 477–496. doi: 10.1007/978-3-319-45875-5_20.
  • Benth, Fred Espen & Koekebakker, Steen (2016). Stochastic modeling of Supramax spot and forward freight rates. Maritime Economics & Logistics. ISSN 1479-2931. 18(4), p. 391–413. doi: 10.1057/mel.2015.22.
  • Benth, Fred Espen & Khedher, Asma (2016). Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion. In Podolskij, Mark; Stelzer, Robert; Thorbjørnsen, Steen & Veraart, Almut E. D. (Ed.), The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen. Springer Science+Business Media B.V.. ISSN 978-3-319-25824-9. p. 153–189. doi: 10.1007/978-3-319-25826-3_8.
  • Benth, Fred Espen & Suess, Andre (2016). Integration theory for infinite dimensional volatility modulated Volterra processes. Bernoulli. ISSN 1350-7265. 22(3), p. 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.
  • Benth, Fred Espen & Eyjolfsson, Heidar (2016). Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations. Bernoulli. ISSN 1350-7265. 22(2), p. 774–793. doi: 10.3150/14-BEJ675.
  • 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 1756-3607. 18(4), p. 69–92. doi: 10.21314/jem.2015.133.
  • Benth, Fred Espen & Koekebakker, Steen (2015). Pricing of forwards and other derivatives in cointegrated commodity markets. Energy Economics. ISSN 0140-9883. 52, p. 104–117. doi: 10.1016/j.eneco.2015.09.009. Full text in Research Archive
  • 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 & Detering, Nils (2015). Pricing and hedging Asian-style options on energy. Finance and Stochastics. ISSN 0949-2984. 19(4), p. 849–889. doi: 10.1007/s00780-015-0270-2. Full text in Research Archive
  • 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), p. 825–869. doi: 10.1137/15100268X. Full text in Research Archive
  • 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, p. 109–148. doi: 10.1007/978-1-4939-2733-3_5.

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  • Grochowicz, Aleksander; van Greevenbroek, Koen; Benth, Fred Espen & Zeyringer, Marianne (2023). Intersecting Near-Optimal Spaces for Policy Information.
  • Eggen, Mari Dahl; Midtfjord, Alise Danielle; Vorobeva, Ekaterina; Benth, Fred Espen; Hupe, Patrick & Brissaud, Quentin [Show all 10 contributors for this article] (2023). Using a machine learning and stochastics-founded model to provide near real-time stratospheric polar vortex diagnostics based on high-latitude infrasound data.
  • Benth, Fred Espen (2022). Klima og vær - data og risiko.
  • Grochowicz, Aleksander; van Greevenbroek, Koen; Benth, Fred Espen & Zeyringer, Marianne (2022). Intersecting near-optimal spaces for robust energy systems.
  • Zeyringer, Marianne; Benth, Fred Espen; Roithner, Maximilian; Grochowicz, Aleksander & Sirotko-Sibirskaya, Natalia (2022). Climate-resilient net-zero energy system design.
  • Benth, Fred Espen (2022). Pricing options on flow forwards by neural networks in Hilbert space.
  • Benth, Fred Espen (2022). Pricing Options on Flow Forwards by Neural Networks in Hilbert Space.
  • Benth, Fred Espen (2022). Modellering av risiko i energisystemer.
  • Benth, Fred Espen & Zeyringer, Marianne (2021). Uncertain Energy Systems.
  • Benth, Fred Espen (2021). Pathwise Gaussian Volterra processes in Hilbert space.
  • Benth, Fred Espen & Zeyringer, Marianne (2021). Uncertain energy systems.
  • Benth, Fred Espen & Zeyringer, Marianne (2021). Er de rekordhøye strømprisene verdt det? Forskning.no. ISSN 1891-635X.
  • Nunno, Giulia Di; Benth, Fred Espen & Simonsen, Iben Cathrine (2021). Infinite dimensional Heston model and sensitivity analysis.
  • Benth, Fred Espen (2021). Hedging volumetric risk in renewable energy markets.
  • Benth, Fred Espen & Schrader, Simon Elias (2021). Send krafta til Tyskland. Klassekampen. ISSN 0805-3839.
  • Benth, Fred Espen (2021). Pathwise Gaussian Volterra processes in Hilbert space.
  • Benth, Fred Espen (2019). Stochastic volatility in energy and commodity markets.
  • Benth, Fred Espen (2019). Stochastic volatility in commodity markets.
  • Benth, Fred Espen (2019). Stochastic volatility in energy markets.
  • Benth, Fred Espen (2018). Stochastic volatility modeling in power markets.
  • Benth, Fred Espen (2018). Cointegration in continuous time.
  • Benth, Fred Espen (2018). Polynomial processes in Banach space.
  • Benth, Fred Espen (2018). Stochastic integration for BSS processes.
  • Benth, Fred Espen (2018). Ambit fields and stochastic integration.
  • Benth, Fred Espen (2018). Cointegration in continuous time in commodity markets.
  • Benth, Fred Espen (2017). Modelling stochastic volatility in forward markets.
  • Benth, Fred Espen (2017). CARMA processes in Hilbert space.
  • Benth, Fred Espen (2017). Stochastic volatility for the forward price dynamics.
  • Benth, Fred Espen (2017). Continuous-time cointegration for factor models.
  • Ådland, Roar Os; Koekebakker, Steen & Benth, Fred Espen (2016). Multivariate modelling of regional ocean freight rates.
  • Benth, Fred Espen (2016). Ornstein-Uhlenbeck processes in Hilbert space - analysis and application.
  • Benth, Fred Espen (2016). Modelling in energy markets.
  • Benth, Fred Espen (2016). Cointegration in continuous time -- commodity spot and forward markets.
  • Benth, Fred Espen (2016). Stochastic modelling of energy markets.
  • Benth, Fred Espen (2015). CMA: Erfaringer med forskning på tvers og på langs i en SFF.
  • Benth, Fred Espen (2015). Modelling energy forward prices - representation of ambit fields.
  • Benth, Fred Espen (2015). Forsikrer seg mot fornybar risiko. Klima. ISSN 1504-8136.
  • Benth, Fred Espen (2015). Kriging smooth futures curves. Incisive Media.

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Published Nov. 30, 2010 11:20 PM - Last modified Jan. 9, 2023 11:43 AM