Fred Espen Benth

Bilde av Fred Espen Benth
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Telefon +47 22855892
Mobiltelefon +47 99262384
Rom 1012
Brukernavn
Besøksadresse Moltke Moes vei 35 Niels Henrik Abels hus 0851 Oslo
Postadresse Postboks 1053 Blindern 0316 Oslo

Faglige interesser

Matematisk finansteori, med spesielt fokus på anvendelser innen forsikring og markeder for energi (elektrisitet), vær og råvarer. Via stokastisk analyse studeres spørsmål rundt opsjonsprising, hedging og optimale porteføljevalg. 

Her finner du en komplett liste over mine publikasjoner. 

Bakgrunn

Dr.scient i matematikk fra Universitetet i Oslo 1995. Deretter tre år som forsker i statistikk ved Norsk Regnesentral, og to år som post doc i matematikk (1 år ved Universitetene i Århus og Oslo). Arbeidet 1 år som førsteamanuensis ved NTNU, for deretter å bli professor i finansmatematikk ved Universitetet i Oslo i 2002. 

 

 

Emneord: Matematikk, Stokastisk analyse/Finans - forsikring og risiko, Energi

Publikasjoner

  • 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.
  • 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), s. 1–35. doi: 10.1142/S0219025722500072. Fulltekst i vitenarkiv
  • 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. s. 1–23. doi: 10.1080/17442508.2021.2019738. Fulltekst i vitenarkiv
  • 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), s. 22–28. doi: 10.1515/demo-2022-0103. Fulltekst i vitenarkiv
  • 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, s. 241–268. doi: 10.1016/j.spa.2021.12.011. Fulltekst i vitenarkiv
  • Benth, Fred Espen; Detering, Nils & Lavagnini, Silvia (2021). Accuracy of deep learning in calibrating HJM forward curves. Digital Finance. ISSN 2524-6984. 3, s. 209–248. doi: 10.1007/s42521-021-00030-w. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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), s. 1374–1415. doi: 10.1137/21M141556X. Fulltekst i vitenarkiv
  • Benth, Fred Espen & Simonsen, Iben Cathrine (2021). Metatimes, random measures and cylindrical random variables. Modern Stochastics: Theory and Applications. ISSN 2351-6046. 8(3), s. 349–371. doi: 10.15559/21-VMSTA178. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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), s. 165–183. doi: 10.1080/14697688.2020.1804606. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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. s. 1–13. doi: 10.1016/j.jcomm.2019.100122. Fulltekst i vitenarkiv
  • 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), s. 1441–1456. doi: 10.1080/14697688.2020.1733059. Fulltekst i vitenarkiv
  • 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), s. 1085–1098. doi: 10.1109/TPWRS.2019.2938423. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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), s. 543–577. doi: 10.1007/s11579-019-00237-x. Fulltekst i vitenarkiv
  • Benth, Fred Espen & Rohde, Victor (2019). On non-negative modeling with CARMA processes. Journal of Mathematical Analysis and Applications. ISSN 0022-247X. 476(1), s. 196–214. doi: 10.1016/j.jmaa.2018.12.055. Fulltekst i vitenarkiv
  • Benth, Fred Espen & Suss, Andre (2018). Continuous-Time Autoregressive Moving-Average Processes in Hilbert Space. I Celledoni, Elena; Di Nunno, Giulia; Ebrahimi-Fard, Kurusch & Munthe-Kaas, Hans (Red.), Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISSN 978-3-030-01592-3. s. 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), s. 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), s. 733–750. doi: 10.1080/07362994.2018.1461566. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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), s. 461–486. doi: 10.1016/j.spa.2017.05.005. Fulltekst i vitenarkiv
  • 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. I Secomandi, Nicola (Red.), Real Options in Energy and Commodity Markets. World Scientific. ISSN 978-981-3149-40-3. s. 63–115. doi: 10.1142/9789813149410_0003. Fulltekst i vitenarkiv
  • 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, s. 283–302. doi: 10.1016/j.eneco.2017.10.008. Fulltekst i vitenarkiv
  • 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), s. 1–33. doi: 10.21314/JEM.2017.164. Fulltekst i vitenarkiv
  • 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), s. 1–39. doi: 10.21314/JEM.2017.159. Fulltekst i vitenarkiv
  • 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: 10.1080/17442508.2016.1177057. Fulltekst i vitenarkiv
  • Benth, Fred Espen & Paraschiv, Florentina (2017). A space-time random field model for electricity forward prices. Journal of Banking & Finance. ISSN 0378-4266. 95, s. 203–216. doi: 10.1016/j.jbankfin.2017.03.018. Fulltekst i vitenarkiv
  • 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), s. 1–25. doi: 10.21314/jem.2017.157.
  • Benth, Fred Espen (2016). Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework. I Kallsen, Jan & Papapantoleon, Antonis (Red.), Advanced Modelling in Mathematical Finance. Springer Publishing Company. ISSN 978-3-319-45873-1. s. 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), s. 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. I Podolskij, Mark; Stelzer, Robert; Thorbjørnsen, Steen & Veraart, Almut E. D. (Red.), 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. s. 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), s. 1383–1430. doi: 10.3150/15-BEJ696. Fulltekst i vitenarkiv
  • 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), s. 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), s. 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, s. 104–117. doi: 10.1016/j.eneco.2015.09.009. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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 & 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. Fulltekst i vitenarkiv
  • 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 & Zdanowicz, Hanna Marta (2015). Pricing energy spread options. I Roncoroni, Andrea; Fusai, Gianluca & Cummins, Mark (Red.), Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management. John Wiley & Sons. ISSN 978-0-470-74524-3. s. 801–825. doi: 10.1002/9781119011590.ch17.
  • Benth, Fred Espen; Lange, Nina & Myklebust, Tor Åge (2015). Pricing and hedging quanto options in energy markets. Journal of Energy Markets. ISSN 1756-3607. 8(1), s. 1–35. doi: 10.21314/jem.2015.130.
  • 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; 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; Ebbeler, Stephan & Kiesel, Rüdiger (2014). Indifference Pricing of Weather Futures Based on Electricity Futures. I Prokopczuk, Marcel (Red.), Energy Pricing Models : Recent Advances, Methods, and Tools. Palgrave Macmillan. ISSN 978-1-137-37734-0. s. 223–268. doi: 10.1007/978-1-137-37027-3_8. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv

Se alle arbeider i Cristin

  • Barndorff-Nielsen, Ole E.; Benth, Fred Espen & Veraart, Almut E. D. (2018). Ambit Stochastics. Springer Nature. ISBN 978-3-319-94128-8. 402 s.
  • Benth, Fred Espen & Di Nunno, Giulia (2016). Stochastics of Environmental and Financial Economics. Springer Science+Business Media B.V.. ISBN 978-3-319-23424-3. 138(138). 360 s.

Se alle arbeider i Cristin

  • 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). Representation of Ambit Fields.
  • Benth, Fred Espen (2015). Pricing and modelling electricity derivatives - cointegration and risk premia.
  • Benth, Fred Espen (2015). Stochastic volatility in energy forward price models.
  • Aarønæs, Lars; Benth, Fred Espen & Di Nunno, Giulia (2014). Hvordan beregner vi framtida? [Tidsskrift]. GLIMT - CAS Informasjonsblad.
  • Benth, Fred Espen (2014). Modelling of stochastic volatility and correlation in energy markets.
  • Benth, Fred Espen (2015). Kriging smooth futures curves. Incisive Media.

Se alle arbeider i Cristin

Publisert 24. okt. 2010 16:17 - Sist endret 14. aug. 2020 12:31