← All authors Fred Espen Benth BI Norwegian Business School (from arXiv:2605.13320, 2026) · ORCID · OpenAlex
159 papers in scope · 157 published · 2 on the econ.EM arXiv · 4,366 citations · h-index 36 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Thomas K. Kloster Hans Manner Laleh Tafakori Matias Quiroz Mark Podolskij Kim Christensen Peter Reinhard Hansen Ilya Archakov Chen Tong Tong Chen Yuta Kurose Asger Lunde Giuseppe Storti Lingxiang Zhang Qianli Zhao Yiyao Luo Xinxian Chen Tetsuya Takabatake Chen Zhang Shifan Yu Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 159)
A deep learning approach to renewable capacity installation under jump uncertainty
published 2026 · Mathematics and Computers in Simulation
with Nacira Agram, Giulia Pucci, Jan Rems
working paper 2026 · arXiv
working paper 2026 · arXiv
Numerical methods for solving PIDEs arising in swing option pricing under a two-factor mean-reverting model with jumps
published 2026 · Applied Numerical Mathematics
with Mustapha Regragui, Karel J. in ’t Hout, Michèle Vanmaele
Research frontiers in ambit stochastics: In memory of Ole E. Barndorff-Nielsen
published 2025 · Bernoulli · first circulated 2024
with Almut E. D. Veraart
Universal Approximation on Non-geometric Rough Paths and Applications to Financial Derivatives Pricing
published 2025 · Applied Mathematical Finance · first circulated 2024
with Fabian A. Harang, Fride Josefine Emberland Straum, Fride Straum
Pricing energy quanto options: a regime-switching framework with stochastic interest rates
published 2025 · Stochastics
with Griselda Deelstra, Sinem Kozpınar
Installation of renewable capacities to meet energy demand and emission constraints under uncertainty
published 2025 · IMA Journal of Management Mathematics · 3 citations · first circulated 2024
with Nacira Agram, Giulia Pucci
The heat modulated infinite dimensional Heston model and its numerical approximation
published 2024 · Stochastics · 1 citations · first circulated 2022
with Gabriel J. Lord, Giulia Di Nunno, Andreas Petersson
Ornstein–Uhlenbeck processes in Hilbert space and autoregressive moving-average time series
published 2024 · Stochastics
with Mari Dahl Eggen, Paul R. Eisenberg
Robustness of Hilbert space-valued stochastic volatility models
published 2024 · Finance and Stochastics · first circulated 2022
with Heidar Eyjolfsson
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
published 2024 · Finance and Stochastics · 6 citations · first circulated 2021
with Carlo Sgarra
A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
published 2024 · The Annals of Applied Probability · 3 citations · first circulated 2022
Abstract polynomial processes
published 2024 · Electronic Journal of Probability · 2 citations · first circulated 2020
with Nils Detering, Paul Krühner
Spatio-temporal smoothing and dynamics of different electricity flexibility options for highly renewable energy systems—Case study for Norway
published 2023 · Applied Energy · 10 citations
with Aleksander Grochowicz, Marianne Zeyringer
Pricing options on flow forwards by neural networks in a Hilbert space
published 2023 · Finance and Stochastics · 6 citations · first circulated 2022
with Nils Detering, Luca Galimberti
Hedging temperature risk with CDD and HDD temperature futures
published 2023 · Applied Stochastic Models in Business and Industry · 1 citations
with Jukka Lempa
Pedagogical Perspectives of Interdisciplinary Teaching and Research: An Energy System Modelling Outlook in Relation to Energy Informatics
published 2023 · Energies · 9 citations
with Chiara Bordin, Sambeet Mishra
A spatio-temporal model for predicting wind speeds in Southern California
published 2023 · Communications in Statistics Case Studies Data Analysis and Applications · 1 citations · first circulated 2021
with Mihaela Puica
Multivariate continuous-time autoregressive moving-average processes on cones
published 2023 · Stochastic Processes and their Applications · 3 citations · first circulated 2022
with Sven Karbach
Intersecting near-optimal spaces: European power systems with more resilience to weather variability
published 2023 · Energy Economics · 73 citations · first circulated 2022
with Aleksander Grochowicz, Koen van Greevenbroek, Marianne Zeyringer
A stochastic time-series model for solar irradiation
published 2022 · Energy Economics · 11 citations · first circulated 2021
with Karl Larsson, Rikard Green
Neural networks in Fréchet spaces
published 2022 · Annals of Mathematics and Artificial Intelligence · 13 citations · first circulated 2021
with Nils Detering, Luca Galimberti
A stochastic study of carbon emission reduction from electrification and interconnecting cable utilization. The Norway and Germany case
published 2022 · Energy Economics · 5 citations · first circulated 2021
with Simon Elias Schrader
Stochastic integrals and Gelfand integration in Fréchet spaces
published 2022 · Infinite Dimensional Analysis Quantum Probability and Related Topics · first circulated 2021
with Luca Galimberti
Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
published 2022 · Stochastics · 16 citations · first circulated 2019
with Nils Detering, Paul Krühner, Paul Kruehner
A topological proof of Sklar’s theorem in arbitrary dimensions
published 2022 · Dependence Modeling · 1 citations · first circulated 2021
A weak law of large numbers for realised covariation in a Hilbert space setting
published 2021 · Stochastic Processes and their Applications · 8 citations · first circulated 2020
Copula measures and Sklar's theorem in arbitrary dimensions
published 2021 · Scandinavian Journal of Statistics · 3 citations
DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
published 2021 · International Journal of Theoretical and Applied Finance · 1 citations · first circulated 2019
with Gleda Kutrolli, Silvana Stefani
Pricing energy quanto options in the framework of Markov-modulated additive processes
published 2021 · IMA Journal of Management Mathematics · 7 citations
with Griselda Deelstra, And Sinem Kozpınar
Sensitivity analysis in the infinite dimensional Heston model
published 2021 · Infinite Dimensional Analysis Quantum Probability and Related Topics
with Giulia Di Nunno, Iben Cathrine Simonsen
Accuracy of deep learning in calibrating HJM forward curves
published 2021 · Digital Finance · 6 citations
with Nils Detering, Silvia Lavagnini
Pricing of Commodity and Energy Derivatives for Polynomial Processes
published 2021 · Mathematics · 14 citations
Infinite dimensional pathwise Volterra processes driven by Gaussian noise – Probabilistic properties and applications –
published 2021 · Electronic Journal of Probability · 7 citations
with Fabian A. Harang
Metatimes, random measures and cylindrical random variables
published 2021 · Modern Stochastics Theory and Applications · 1 citations
with Iben Cathrine Simonsen
Correlators of Polynomial Processes
published 2021 · SIAM Journal on Financial Mathematics · 1 citations
with Silvia Lavagnini
Multivariate continuous-time modeling of wind indexes and hedging of wind risk
published 2020 · Quantitative Finance · 18 citations · first circulated 2019
with Troels S. Christensen, Victor Rohde, Troels Sønderby Christensen
Independent increment processes: a multilinearity preserving property
published 2020 · Stochastics · 3 citations
with Nils Detering, Paul Krühner
VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING
published 2020 · International Journal of Theoretical and Applied Finance · 10 citations · first circulated 2019
with Marcel Kremer, Björn Felten, Rüdiger Kiesel, Ruediger Kiesel
Modelling the joint behaviour of electricity prices in interconnected markets
published 2020 · Quantitative Finance · 8 citations
with Troels Sønderby Christensen
Analysis of the risk premium in the forward market for salmon
published 2020 · Journal of commodity markets · 4 citations
with Anne Maria Eikeset, Simon A. Levin, Wanjuan Ren
Pricing of Commodity Derivatives on Processes with Memory
published 2020 · Risks
with Asma Khedher, Michèle Vanmaele
Towards Definition of the Risk Premium Function
published 2019 · IEEE Transactions on Power Systems · 6 citations
with Nikola Krečar, Andrej F. Gubina
Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework
published 2019 · Mathematics and Financial Economics · 30 citations · first circulated 2017
On non-negative modeling with CARMA processes
published 2018 · Journal of Mathematical Analysis and Applications · 10 citations
with Victor Rohde
Cointegration in continuous time for factor models
published 2018 · Mathematics and Financial Economics
with André Suess
Stochastic Modeling of Wind Derivatives in Energy Markets
published 2018 · Risks · 46 citations
with Luca Di Persio, Silvia Lavagnini
The Heston stochastic volatility model in Hilbert space
published 2018 · Stochastic Analysis and Applications
with Iben Cathrine Simonsen
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
published 2018 · Finance and Stochastics · 1 citations · first circulated 2015
with Paul Krühner
A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures
published 2018 · Applied Mathematical Finance · 45 citations · first circulated 2017
with Anca Pircalabu
Multivariate modeling and analysis of regional ocean freight rates
published 2017 · Transportation Research Part E Logistics and Transportation Review · 29 citations
with Roar Ådland, Steen Koekebakker
A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets
published 2017 · Energy Economics · 34 citations
with Anca Pircalabu
Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
published 2017 · Stochastic Processes and their Applications · 2 citations · first circulated 2015
with Barbara Ruediger, André Suess
A space-time random field model for electricity forward prices
published 2017 · Journal of Banking & Finance · 24 citations · first circulated 2016
with Florentina Paraschiv
Stochastic modeling of photovoltaic power generation and electricity prices
published 2017 · The Journal of Energy Markets · 29 citations
with Noor Adilah Ibrahim, Noor Ibrahim
Optimal management of green certificates in the Swedish–Norwegian market
published 2017 · The Journal of Energy Markets · 11 citations · first circulated 2014
Calibration of temperature futures by changing the mean reversion
published 2017 · The Journal of Energy Markets · 1 citations · first circulated 2015
with Salvador Ortiz-Latorre
Preface
published 2016 · Stochastics
with Giulia Di Nunno, Saul Jacka
Representation and approximation of ambit fields in Hilbert space
published 2016 · Stochastics
with Heidar Eyjolfsson
PRICING AND HEDGING OF ENERGY SPREAD OPTIONS AND VOLATILITY MODULATED VOLTERRA PROCESSES
published 2016 · International Journal of Theoretical and Applied Finance · 7 citations · first circulated 2014
with Hanna Zdanowicz
Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework
published 2016 · Springer proceedings in mathematics & statistics · 5 citations
Approximation of the price dynamics of heating degree day and cooling degree day temperature futures
published 2015 · The Journal of Energy Markets · 1 citations
with Sara Ana Solanilla Blanco
Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
published 2015 · Bernoulli · 5 citations
with Heidar Eyjolfsson
Pricing of forwards and other derivatives in cointegrated commodity markets
published 2015 · Energy Economics · 10 citations · first circulated 2014
with Steen Koekebakker
A CHANGE OF MEASURE PRESERVING THE AFFINE STRUCTURE IN THE BARNDORFF-NIELSEN AND SHEPHARD MODEL FOR COMMODITY MARKETS
published 2015 · International Journal of Theoretical and Applied Finance · 5 citations
with Salvador Ortiz-Latorre
Pricing and hedging Asian-style options on energy
published 2015 · Finance and Stochastics · 14 citations · first circulated 2013
with Nils Detering
Stochastic modeling of Supramax spot and forward freight rates
published 2015 · Maritime Economics & Logistics · 13 citations
with Steen Koekebakker
Integrability of multivariate subordinated Lévy processes in Hilbert space
published 2015 · Stochastics · 8 citations
with Paul Krühner
Pricing and hedging quanto options in energy markets
published 2015 · The Journal of Energy Markets · 29 citations · first circulated 2012
with Nina Lange, Tor Åge Myklebust
FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES
published 2015 · International Journal of Theoretical and Applied Finance · 3 citations
with Sara Ana Solanilla Blanco
Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach
published 2015 · SIAM Journal on Financial Mathematics · 29 citations · first circulated 2014
with Paul Krühner
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
published 2015 · Banach Center Publications · 10 citations · first circulated 2012
with Ole E. Barndorff-Nielsen, Almut E. D. Veraart
Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk
published 2014 · Applied Mathematical Finance · 8 citations · first circulated 2012
with Giulia Di Nunno, Asma Khedher, Maren Diane Schmeck
Modelling Electricity Futures by Ambit Fields
published 2014 · Advances in Applied Probability · 42 citations
with Ole E. Barndorff-Nielsen, Almut E. D. Veraart
Pricing and hedging options in energy markets using Black-76
published 2014 · The Journal of Energy Markets · 3 citations
with Maren Diane Schmeck
On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
published 2014 · Infinite Dimensional Analysis Quantum Probability and Related Topics · 18 citations
with Ole E. Barndorff-Nielsen, Benedykt Szozda
Futures pricing in electricity markets based on stable CARMA spot models
published 2014 · Energy Economics · 87 citations · first circulated 2012
with Claudia Klüppelberg, Gernot Müller, Linda Vos
The forward dynamics in energy markets – infinite-dimensional modelling and simulation
published 2014 · Stochastics · 20 citations
with Andrea Barth
Stochastic dynamical modelling of spot freight rates
published 2014 · IMA Journal of Management Mathematics · 31 citations
with Steen Koekebakker, Che Mohd Imran Che Taib
THE CARMA INTEREST RATE MODEL
published 2014 · International Journal of Theoretical and Applied Finance · 33 citations · first circulated 2010
with Arne F. Andresen, Steen Koekebakker, Valeriy Zakamulin, Valeri Zakamouline
Representation of Infinite-Dimensional Forward Price Models in Commodity Markets
published 2014 · Communications in Mathematics and Statistics · 32 citations
with Paul Krühner
Optimal portfolios in commodity futures markets
published 2014 · Finance and Stochastics · 10 citations · first circulated 2012
with Jukka Lempa
Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets
published 2014 · SIAM Journal on Financial Mathematics · 22 citations
with Heidar Eyjolfsson, Almut E. D. Veraart
A Pricing Measure to Explain the Risk Premium in Power Markets
published 2014 · SIAM Journal on Financial Mathematics · 3 citations
with Salvador Ortiz-Latorre
On stochastic integration for volatility modulated Lévy-driven Volterra processes
published 2013 · Stochastic Processes and their Applications · 26 citations · first circulated 2012
with Ole E. Barndorff-Nielsen, Jan Skov Pedersen, Almut E. D. Veraart, Jan Fog Pedersen
On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets
published 2013 · Energy Economics · 17 citations
with Che Mohd Imran Che Taib
Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
published 2013 · Advances in Applied Probability · 17 citations
with Linda Vos
Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets
published 2013 · Advances in Applied Probability · 13 citations
with Linda Vos
A note on convergence of option prices and their Greeks for Lévy models
published 2013 · Stochastics · 8 citations
with Giulia Di Nunno, Asma Khedher
Levy Process Simulation by Stochastic Step Functions
published 2013 · SIAM Journal on Scientific Computing · 3 citations
with Torquil Macdonald Sørensen
An empirical study of the information premium on electricity markets
published 2012 · Energy Economics · 27 citations
with Richard Biegler-König, Rüdiger Kiesel, Ruediger Kiesel
Computation of Greeks in multifactor models with applications to power and commodity markets
published 2012 · The Journal of Energy Markets · 11 citations
with Giulia Di Nunno, Asma Khedher
Computing Optimal Recovery Policies for Financial Markets
published 2012 · Operations Research · 1 citations
with Geir Dahl, Carlo Mannino
Stability of Merton's portfolio optimization problem for Lévy models
published 2012 · Stochastics · 4 citations
with Maren Diane Schmeck
Modeling and Pricing in Financial Markets for Weather Derivatives
published 2012 · World Scientific Books · 102 citations
with Jūratė Šaltytė Benth
Modeling the Forward Surface of Mortality
published 2012 · SIAM Journal on Financial Mathematics · 37 citations
with Daniel J. Bauer, Rüdiger Kiesel
Pricing of temperature index insurance
published 2012 · Review of Development Finance · 24 citations
with Che Mohd Imran Che Taib
The Risk Premium and the Esscher Transform in Power Markets
published 2011 · Stochastic Analysis and Applications · 36 citations · first circulated 2009
with Carlo Sgarra
A critical empirical study of three electricity spot price models
published 2011 · Energy Economics · 107 citations
with Rüdiger Kiesel, Анна Назарова, Ruediger Kiesel
On the optimal exercise of swing options in electricity markets
published 2011 · The Journal of Energy Markets · 27 citations
with Jukka Lempa, Trygve Kastberg Nilssen
A critical view on temperature modelling for application in weather derivatives markets
published 2011 · Energy Economics · 34 citations
with Jūratė Šaltytė Benth
Weather Derivatives and Stochastic Modelling of Temperature
published 2011 · International Journal of Stochastic Analysis · 46 citations
with Jūratė Šaltytė Benth
Robustness of option prices and their deltas in markets modelled by jump-diffusions
published 2011 · Communications on Stochastic Analysis · 24 citations
with Giulia Di Nunno, Asma Khedher
Dynamic copula models for the spark spread
published 2010 · Quantitative Finance · 40 citations
with Paul C. Kettler
THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS
published 2010 · Mathematical Finance · 72 citations
Hedging of Spatial Temperature Risk with Market-Traded Futures
published 2010 · Applied Mathematical Finance · 23 citations
with Andrea Barth, Jürgen Potthoff
Analysis and modelling of wind speed in New York
published 2010 · Journal of Applied Statistics · 33 citations
with Jūratė Šaltytė Benth
Pricing of basket options using univariate normal inverse Gaussian approximations
published 2010 · Journal of Forecasting · 4 citations
with Pål Nicolai Henriksen
Modeling Term Structure Dynamics in the Nordic Electricity Swap Market
published 2010 · The Energy Journal · 36 citations
with Dennis Frestad, Steen Koekebakker
Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
published 2010 · Stochastics · 13 citations
with Martin Groth, Olli Wallin
HMM filtering and parameter estimation of an electricity spot price model
published 2010 · Energy Economics · 65 citations
with Christina Erlwein, Rogemar Mamon
A Continuous Time Model for Interest Rate with Autoregressive and Moving Average Components
published 2010 · AIP conference proceedings · 7 citations
with Steen Koekebakker, Valeri Zakamouline, Theodore E. Simos, George Psihoyios, Ch. Tsitouras
The information premium for non-storable commodities
published 2009 · The Journal of Energy Markets · 105 citations
with Thilo Meyer-Brandis
The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model
published 2009 · Stochastic Analysis and Applications · 10 citations
with Martin Groth
PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS
published 2009 · International Journal of Theoretical and Applied Finance · 8 citations
with Rodwell Kufakunesu
UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
published 2009 · International Journal of Theoretical and Applied Finance · 2 citations
with Frank Proske
Dynamic pricing of wind futures
published 2008 · Energy Economics · 56 citations
with Jūratė Šaltytė Benth
Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium
published 2008 · Journal of Banking & Finance · 161 citations · first circulated 2006
with Álvaro Cartea, Rüdiger Kiesel, Ruediger Kiesel
The volatility of temperature and pricing of weather derivatives
published 2007 · Quantitative Finance · 177 citations
with Jūratė Šaltytė Benth
A Spatial-temporal Model for Temperature with Seasonal Variance
published 2007 · Journal of Applied Statistics · 49 citations
with Jūratė Šaltytė Benth, Paulius Jalinskas
Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation
published 2007 · The Journal of Derivatives · 78 citations
with Steen Koekkebakker, Fridthjof Ollmar
Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
published 2007 · Applied Mathematical Finance · 61 citations
with Martin Groth, Rodwell Kufakunesu
Stochastic modeling of financial electricity contracts
published 2007 · Energy Economics · 165 citations
with Steen Koekebakker
Putting a Price on Temperature*
published 2007 · Scandinavian Journal of Statistics · 124 citations
with Jūratė Šaltytė Benth, Steen Koekebakker
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
published 2007 · Applied Mathematical Finance · 262 citations
with Jan Kallsen, Thilo Meyer-Brandis
A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES
published 2006 · International Journal of Theoretical and Applied Finance · 22 citations
with Martin Groth, Paul C. Kettler
Analytical Approximation for the Price Dynamics of Spark Spread Options
published 2006 · Studies in Nonlinear Dynamics and Econometrics · 28 citations
with Jūratė Šaltytė Benth
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
published 2005 · Finance and Stochastics · 27 citations
with Thilo Meyer-Brandis
A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
published 2005 · Stochastic Analysis and Applications · 56 citations
with Kenneth H. Karlsen
A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
published 2005 · Stochastics · 81 citations
with Kenneth Hvistendahl Karlsen ¶
Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
published 2005 · Applied Mathematical Finance · 201 citations
with Jūratė Šaltytė Benth
Anticipative calculus for Lévy processes and stochastic differential equations *
published 2004 · Stochastics and stochastics reports · 21 citations
with Arne LØkka c‡
THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
published 2004 · International Journal of Theoretical and Applied Finance · 98 citations
with Jūratė Šaltytė Benth
On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
published 2003 · Applied Mathematical Finance · 90 citations
A note on arbitrage‐free pricing of forward contracts in energy markets
published 2003 · Applied Mathematical Finance · 64 citations
with Lars Ekeland, Ragnar Hauge, Bj⊘Rn Fredrik Nielsen
QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS
published 2003 · International Journal of Theoretical and Applied Finance · 4 citations
with Lars O. Dahl, Kenneth H. Karlsen
A Connection between Singular Stochastic Control and Optimal Stopping
published 2003 · 38 citations
with Kristin Reikvam
A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
published 2003 · Finance and Stochastics · 36 citations
with Kenneth H. Karlsen, Kristin Reikvam
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
published 2003 · Mathematical Finance · 67 citations
with Kenneth H. Karlsen, Kristin Reikvam
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
published 2003 · Mathematical Finance · 9 citations
with Giulia Di Nunno, Arne Løkka, Bernt Øksendal, Frank Proske
SOME REGULARITY RESULTS FOR THE STOCHASTIC PRESSURE EQUATION OF WICK-TYPE
published 2002 · Stochastic Analysis and Applications · 14 citations
with Thomas Gorm Theting
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
published 2002 · Stochastics and stochastics reports · 40 citations
with Kenneth H. Karlsen, Kristin Reikvam
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
published 2001 · Finance and Stochastics · 64 citations
with Kenneth H. Karlsen, Kristin Reikvam
A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS
published 2001 · International Journal of Theoretical and Applied Finance · 10 citations
with Kenneth H. Karlsen, Kristin Reikvam
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
published 2001 · Finance and Stochastics · 114 citations
with Kenneth H. Karlsen, Kristin Reikvam
ON WEIGHTED L 2 (Ω)-SPACES, THEIR DUALS AND ITÔ INTEGRATION
published 2001 · Stochastic Analysis and Applications · 2 citations
Valuation of Asian Basket Options with Quasi-Monte Carlo Techniques and Singular Value Decomposition
published 2001 · The Journal of Computational Finance · 19 citations
with Lars O. Dahl
no link
On the existence of optimal controls for a singular stochastic control problem in finance
published 2001 · Mathematical Finance · 6 citations
with Kenneth H. Karlsen, Kristin Reikvam
Smoothed Langevin proposals in Metropolis-Hastings algorithms
published 2000 · Statistics & Probability Letters · 4 citations
with Øivind Skare, Arnoldo Frigessi
Markov jump processes with a singularity
published 2000 · Advances in Applied Probability · 9 citations
with Ole E. Barndorff-Nielsen, Jens Ledet Jensen
THE GROSS DERIVATIVE AND GENERALIZED RANDOM VARIABLES
published 1999 · Infinite Dimensional Analysis Quantum Probability and Related Topics · 10 citations
Explicit Strong Solutions of SPDE’s with Applications to Non-Linear Filtering
published 1998 · Acta Applicandae Mathematicae · 6 citations
with Th. Deck, J. Potthoff, Gjermund Våge
A Remark on the Equivalence between Poisson and Gaussian Stochastic Partial Differential Equations
published 1998 · Potential Analysis · 57 citations
with Jon Gjerde
A White Noise Approach to a Class of Non-linear Stochastic Heat Equations
published 1997 · Journal of Functional Analysis · 28 citations
with Thomas Deck, J. Potthoff
On the Positivity of the Stochastic Heat Equation
published 1997 · Potential Analysis · 9 citations
On the martingale property for generalized stochastic processes
published 1996 · Stochastics and stochastics reports · 37 citations
with J. Potthoff
An explicit functional process solution to a stochastic partial differential equation with applications to nonlinear filtering
published 1994 · Stochastics and stochastics reports · 6 citations
Topological aspects of the characterization of hida distributions — a remark matthias timpel
published 1994 · Stochastics and stochastics reports · 3 citations
with Matthias Timpel
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