Benth, Fred Espen, 1969-....
Benth, Fred Espen
Fred Espen Benth
VIAF ID: 85301858 ( Personal )
Permalink: http://viaf.org/viaf/85301858
Preferred Forms
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- 100 1 _ ‡a Benth, Fred Espen
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- 100 1 _ ‡a Benth, Fred Espen
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- 100 1 _ ‡a Benth, Fred Espen ‡d 1969-
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- 100 1 _ ‡a Benth, Fred Espen, ‡d 1969-
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- 100 1 _ ‡a Benth, Fred Espen, ‡d 1969-....
- 100 0 _ ‡a Fred Espen Benth
4xx's: Alternate Name Forms (8)
5xx's: Related Names (1)
Works
Title | Sources |
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Ambit stochastics | |
Contributions to the theory of dynamic risk measures | |
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes | |
Indifference pricing and the minimal entropy Martingale measure in a stochastic volatility model with jumps | |
Information Premium on Electricity Markets A New Spot-Forward Relationship for non-Storable Underlyings | |
Informationsprämie auf Elektrizitätsmärkten | |
Light, atoms, and singularities | |
Markov jump processes with a singularity | |
Matematisk finans. | |
Merton's portfolio optimization problem in a black & scholes market with non-Gaussian stochastic volatitlity of Ornstein-Uhlenbeck type | |
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing | |
The normal inverse Gaussian distribution and spot price modelling in energy markets | |
A note on Merton's portfolio selection problem for the Schwartz mean-reversion model | |
On a semilinear Black and Scholes partial differential equation for valuing American options | |
On arbitrage-free pricing of forward contracts in energy markets | |
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion | |
On derivatives of claims in commodity and energy markets using a Malliavin approach | |
On the existence of optimal controls for a singular stochastic control problem in finance | |
On weighted L²(Ω)-spaces, their duals and Itô integration | |
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint | |
Option Theory with Stochastic Analysis : An Introduction to Mathematical Finance | |
Paris-Princeton Lectures on Mathematical Finance 2013. | |
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs | |
Pricing and Hedging under High-Dimensional Jump-Diffusion Models using Partial Differential Equations | |
Quantitative Energy Finance : Modeling, Pricing, and Hedging in Energy and Commodity Markets | |
Smoothed Langevin proposals in Metropolis-Hastings algorithms | |
Some regularity results for the stochastic pressure equation of Wick-type | |
Stochastic Analysis and Applications : The Abel Symposium 2005 : Proceedings of the Second Abel Symposium, Oslo,July 29 - August 4, 2005, held in honor of Kiyosi Itô | |
The stochastic cauchy problem with applications to non linear filtering | |
Stochastic modelling of electricity and related markets | |
Stochastic partial differential equations and generalized stochastic processes | |
Stochastics of Environmental and Financial Economics : Centre of Advanced Study, Oslo, Norway, 2014-2015 | |
Stochastische Modelle für Energiemärkte Statistik, Bewertung und Modellrisiko | |
Valuation of Asian basket options with quasi-Monte Carlo techniques and singular value decomposition | |
Wick products of complex valued random variables | |
An ¤addendum to "An introduction to Malliavin Calculus with applications to economics" | |
The ¤covariance of Donsker's delta functions | |
The ¤Malliavin derivative of generalized random variables | |
A ¤note on portfolio management under non-Gaussian logreturns | |
A ¤note on the multi-dimensional monotone follower problem and its connection to optimal stopping |