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RESEARCH ARTICLE
Open Access

oa

Hedging temperature risk with CDD and HDD temperature futures

Fred Espen Benth, Jukka Lempa,

Applied Stochastic Models in Business and Industry Volume 40, Issue 6
First published: 06 September 2023
Collections: Special Issue: Energy Finance and Climate Change

Abstract
Research Article
Full Access

full

Pricing of basket options using univariate normal inverse Gaussian approximations

Fred Espen Benth, Pål Nicolai Henriksen,

Journal of Forecasting Volume 30, Issue 3
First published: 11 April 2011

Abstract
RESEARCH ARTICLE
Open Access

oa

Estimating stratospheric polar vortex strength using ambient ocean-generated infrasound and stochastics-based machine learning

Ekaterina Vorobeva, Mari Dahl Eggen, Alise Danielle Midtfjord, Fred Espen Benth, Patrick Hupe, Quentin Brissaud, Yvan Orsolini, Sven Peter Näsholm,

Quarterly Journal of the Royal Meteorological Society Volume 150, Issue 762
First published: 30 April 2024

Abstract
Full Access

full

Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

Fred Espen Benth, Kenneth Hvistendahl Karlsen, Kristin Reikvam,

Mathematical Finance Volume 13, Issue 2
First published: 10 March 2003

Abstract
Full Access

full

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes

Fred Espen Benth, Giulia Di Nunno, Arne Løkka, Bernt Øksendal, Frank Proske,

Mathematical Finance Volume 13, Issue 1
First published: 07 March 2003

Abstract
no

Putting a Price on Temperature *

FRED ESPEN BENTH, JŪRATĖ ŠALTYTĖ BENTH, STEEN KOEKEBAKKER,

Scandinavian Journal of Statistics Volume 34, Issue 4
First published: 29 June 2007

Abstract
Full Access

full

THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS

Fred Espen Benth,

Mathematical Finance Volume 21, Issue 4
First published: 19 October 2010

Abstract
ORIGINAL ARTICLE
Open Access

oa

Copula measures and Sklar's theorem in arbitrary dimensions

Fred Espen Benth, Giulia Di Nunno, Dennis Schroers,

Scandinavian Journal of Statistics Volume 49, Issue 3
First published: 05 October 2021

Abstract
Notes and Papers

no

Donsker's Delta Function and the Covariance between Generalized Functionals

Fred Espen Benth, Siu-Ah Ng,

Journal of the London Mathematical Society Volume 66, Issue 1
First published: 23 December 2016

Abstract
Research Article
Open Access

oa

Weather Derivatives and Stochastic Modelling of Temperature

Fred Espen Benth, Jūratė Šaltytė Benth,

International Journal of Stochastic Analysis Volume 2011, Issue 1
First published: 14 July 2011

Abstract
chapter

no

Modeling Temperature for Pricing Weather Derivatives

Fred Espen Benth,
Mathematical Modeling with Multidisciplinary Applications
First published: 04 January 2013

Summary
chapter

no

Pricing Energy Spread Options

Fred Espen Benth, Hanna Zdanowicz,
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management
First published: 05 December 2014

Summary

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oa

Hedging temperature risk with CDD and HDD temperature futures

Abstract

full

Pricing of basket options using univariate normal inverse Gaussian approximations

Abstract

oa

Estimating stratospheric polar vortex strength using ambient ocean-generated infrasound and stochastics-based machine learning

Abstract

full

Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

Abstract

full

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes

Abstract

no

Putting a Price on Temperature *

Abstract

full

THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS

Abstract

oa

Copula measures and Sklar's theorem in arbitrary dimensions

Abstract

no

Donsker's Delta Function and the Covariance between Generalized Functionals

Abstract

oa

Weather Derivatives and Stochastic Modelling of Temperature

Abstract

no

Modeling Temperature for Pricing Weather Derivatives

Summary

no

Pricing Energy Spread Options

Summary

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oa Hedging temperature risk with CDD and HDD temperature futures

full Pricing of basket options using univariate normal inverse Gaussian approximations

oa Estimating stratospheric polar vortex strength using ambient ocean-generated infrasound and stochastics-based machine learning

full Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

full Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes

no Putting a Price on Temperature*

full THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS

oa Copula measures and Sklar's theorem in arbitrary dimensions

no Donsker's Delta Function and the Covariance between Generalized Functionals

oa Weather Derivatives and Stochastic Modelling of Temperature

no Modeling Temperature for Pricing Weather Derivatives

no Pricing Energy Spread Options

oa

Hedging temperature risk with CDD and HDD temperature futures

full

Pricing of basket options using univariate normal inverse Gaussian approximations

oa

Estimating stratospheric polar vortex strength using ambient ocean-generated infrasound and stochastics-based machine learning

full

Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

full

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes

no

Putting a Price on Temperature *

full

THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS

oa

Copula measures and Sklar's theorem in arbitrary dimensions

no

Donsker's Delta Function and the Covariance between Generalized Functionals

oa

Weather Derivatives and Stochastic Modelling of Temperature

no

Modeling Temperature for Pricing Weather Derivatives

no

Pricing Energy Spread Options