Fred Espen Benth
University of Oslo
Fred Espen Benth is professor of mathematical finance at the University of Oslo. In 1995 he defended his PhD in applied mathematics at the same institution, and thereafter worked at the Norwegian Computing Center for three years as a statistical consultant for the oil industry. He has spent one year as a research assistant at the University of Mannheim, Germany, and one year as a post doc at the University of Aarhus, Denmark. His research interests are on mathematical finance and stochastic analysis, with special focus to applications in energy markets. Benth has published more than 90 papers in international journals, and is the author of one introductory book on mathematical finance, and and co-author of two research monographs on energy and weather markets. He is actively involved in consultancy and teaching for the energy industry.
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This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.
This paper proposes and investigates a valuation model for the income of selling tradeable green certificates in the Swedish–Norwegian market, formulated as a singular stochastic control problem.
The authors of this paper study the calibration of futures contracts on temperature indexes.
Approximation of the price dynamics of heating degree day and cooling degree day temperature futures
This paper proposes an approximation that makes the price dynamics of HDD and CDD temperature futures linearly dependent on the underlying temperature.