Fred E. Benth

According to our database, Fred E. Benth authored at least 20 papers between 2001 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Enabling agency: trade-offs between regional and integrated energy systems design flexibility.

Koen van Greevenbroek, Aleksander Grochowicz, Marianne Zeyringer, Fred Espen Benth

CoRR, 2023

Spatio-temporal smoothing and dynamics of different electricity flexibility options.

Aleksander Grochowicz, Marianne Zeyringer, Fred Espen Benth

CoRR, 2023

Neural networks in Fréchet spaces.

Fred Espen Benth, Nils Detering, Luca Galimberti

Ann. Math. Artif. Intell., 2023

2022

Intersecting near-optimal spaces: European power systems with more resilience to weather variability.

Aleksander Grochowicz, Koen van Greevenbroek, Fred Espen Benth, Marianne Zeyringer

CoRR, 2022

The heat modulated infinite dimensional Heston model and its numerical approximation.

Fred Espen Benth, Gabriel Lord, Giulia Di Nunno, Andreas Petersson

CoRR, 2022

Pricing options on flow forwards by neural networks in Hilbert space.

Fred Espen Benth, Nils Detering, Luca Galimberti

CoRR, 2022

2021

Correlators of Polynomial Processes.

Fred Espen Benth, Silvia Lavagnini

SIAM J. Financial Math., 2021

2018

Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models.

Fred Espen Benth, Paul Krühner

Finance Stochastics, 2018

2015

Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach.

Fred Espen Benth, Paul Krühner

SIAM J. Financial Math., 2015

Pricing and hedging Asian-style options on energy.

Fred Espen Benth, Nils Detering

Finance Stochastics, 2015

2014

A Pricing Measure to Explain the Risk Premium in Power Markets.

Fred Espen Benth, Salvador Ortiz-Latorre

SIAM J. Financial Math., 2014

Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets.

Fred Espen Benth, Heidar Eyjolfsson, Almut E. D. Veraart

SIAM J. Financial Math., 2014

Optimal portfolios in commodity futures markets.

Fred Espen Benth, Jukka Lempa

Finance Stochastics, 2014

2013

Levy Process Simulation by Stochastic Step Functions.

Torquil Macdonald Sørensen, Fred Espen Benth

SIAM J. Sci. Comput., 2013

2012

Modeling the Forward Surface of Mortality.

Daniel Bauer, Fred Espen Benth, Rüdiger Kiesel

SIAM J. Financial Math., 2012

Computing Optimal Recovery Policies for Financial Markets.

Fred E. Benth, Geir Dahl, Carlo Mannino

Oper. Res., 2012

2005

The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps.

Fred E. Benth, Thilo Meyer-Brandis

Finance Stochastics, 2005

2003

A semilinear Black and Scholes partial differential equation for valuing American options.

Fred E. Benth, Kenneth H. Karlsen, Kristin Reikvam

Finance Stochastics, 2003

2001

Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution.

Fred E. Benth, Kenneth H. Karlsen, Kristin Reikvam

Finance Stochastics, 2001

Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach.

Fred E. Benth, Kenneth H. Karlsen, Kristin Reikvam

Finance Stochastics, 2001