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

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

Publications

  • Benth, Fred Espen; Di Persio, Luca & Lavagnini, Silvia (2018). Stochastic modelling of wind derivatives in energy markets. Risks.  ISSN 2227-9091.  6(2) . doi: https://doi.org/10.3390/risks6020056
  • 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), s 327- 366 . doi: 10.1007/s00780-018-0355-9
  • 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), s 36- 65 . doi: 10.1080/1350486X.2018.1438904
  • 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, s 461- 486 . doi: 10.1016/j.spa.2017.05.005 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, s 194- 221 . doi: 10.1016/j.tre.2017.10.014 Full text in Research Archive. Show summary

View all works in Cristin

  • Benth, Fred Espen (2018). Ambit fields and stochastic integration.
  • Benth, Fred Espen (2018). Cointegration in continuous time in commodity markets.
  • Benth, Fred Espen (2018). Stochastic integration for BSS processes.
  • Benth, Fred Espen (2017). CARMA processes in Hilbert space.
  • Benth, Fred Espen (2017). Continuous-time cointegration for factor models.

View all works in Cristin

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