Blar i AURA på forfatter "Benth, Fred Espen"
-
A critical view on temperature modelling for application in weather derivatives markets
Benth, Jūratė Šaltytė; Benth, Fred Espen (Journal article; Peer reviewed, 2012)In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated ... -
A critical view on temperature modelling for application in weather derivatives markets
Saltyte Benth, Jurate; Benth, Fred Espen (Journal article, 2012) -
Multivariate modeling and analysis of regional ocean freight rates
Ådland, Roar Os; Benth, Fred Espen; Koekebakker, Steen (Journal article; Peer reviewed, 2017)In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market ... -
On the optimal exercise of swing options in electricity markets
Benth, Fred Espen; Lempa, Jukka; Nilssen, Trygve Kastberg (Journal article, 2012) -
Pricing of forwards and other derivatives in cointegrated commodity markets
Benth, Fred Espen; Koekebakker, Steen (Journal article; Peer reviewed, 2015)