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

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.
  • Benth, Fred Espen; Kholodnyi, Valery & Laurence, Peter (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.

Se alle arbeider i Cristin

  • Benth, Fred Espen & Schrader, Simon Elias (2021). Send krafta til Tyskland. Klassekampen. ISSN 0805-3839.
  • Nunno, Giulia Di; Benth, Fred Espen & Simonsen, Iben Cathrine (2021). Infinite dimensional Heston model and sensitivity analysis.
  • Benth, Fred Espen (2021). Pathwise Gaussian Volterra processes in Hilbert space.
  • Benth, Fred Espen (2021). Hedging volumetric risk in renewable energy markets.
  • Benth, Fred Espen (2019). Stochastic volatility in energy markets.
  • Benth, Fred Espen (2019). Stochastic volatility in commodity markets.
  • Benth, Fred Espen (2019). Stochastic volatility in energy and commodity markets.
  • Benth, Fred Espen (2018). Polynomial processes in Banach space.
  • Benth, Fred Espen (2018). Ambit fields and stochastic integration.
  • Benth, Fred Espen (2018). Stochastic integration for BSS processes.
  • Benth, Fred Espen (2018). Cointegration in continuous time in commodity markets.
  • Benth, Fred Espen (2018). Cointegration in continuous time.
  • Benth, Fred Espen (2018). Stochastic volatility modeling in power markets.
  • Benth, Fred Espen (2017). Continuous-time cointegration for factor models.
  • Benth, Fred Espen (2017). Stochastic volatility for the forward price dynamics.
  • Benth, Fred Espen (2017). CARMA processes in Hilbert space.
  • Benth, Fred Espen (2017). Modelling stochastic volatility in 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 (2016). Cointegration in continuous time -- commodity spot and forward markets.
  • 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). Stochastic volatility in energy forward price models.
  • Benth, Fred Espen (2015). Pricing and modelling electricity derivatives - cointegration and risk premia.
  • Benth, Fred Espen (2015). CMA: Erfaringer med forskning på tvers og på langs i en SFF.
  • Benth, Fred Espen (2015). Representation of Ambit Fields.
  • Benth, Fred Espen (2014). Stochastic partial differential equations in weather markets.
  • Benth, Fred Espen (2014). Stochastic volatility in energy markets.
  • Benth, Fred Espen (2014). Modelling of the risk premium in energy markets.
  • Benth, Fred Espen (2014). Modelling of stochastic volatility and correlation in energy markets.
  • Aarønæs, Lars; Benth, Fred Espen & Di Nunno, Giulia (2014). Hvordan beregner vi framtida? [Tidsskrift]. GLIMT - CAS Informasjonsblad.
  • Benth, Fred Espen (2013). A general approach to pricing in energy and weather markets.
  • Benth, Fred Espen (2013). Weather, risk and energy markets.
  • Benth, Fred Espen (2015). Kriging smooth futures curves. Incisive Media.

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

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