Browsing NTNU Open by Author "Benth, Fred Espen"
Now showing items 1-8 of 8
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A space-time random field model for electricity forward prices (Best Energy Paper Award, ECOMFIN 2016, Paris)
Benth, Fred Espen; Paraschiv, Florentina (Journal article; Peer reviewed, 2017)Stochastic models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we derive a ... -
Estimating stratospheric polar vortex strength using ambient ocean-generated infrasound and stochastics-based machine learning
Vorobeva, Ekaterina; Eggen, Mari Dahl; Midtfjord, Alise Danielle; Benth, Fred Espen; Hupe, Patrick; Brissaud, Quentin; Orsolini, Yvan Joseph Georges Emile G.; Näsholm, Sven Peter (Journal article; Peer reviewed, 2024)There are sparse opportunities for direct measurement of upper stratospheric winds, yet improving their representation in subseasonal-to-seasonal prediction models can have significant benefits. There is solid evidence ... -
Neural networks in Fréchet spaces
Benth, Fred Espen; Detering, Nils; Galimberti, Luca (Peer reviewed; Journal article, 2022)We propose a neural network architecture in infinite dimensional spaces for which we can show the universal approximation property. Indeed, we derive approximation results for continuous functions from a Fréchet space X ... -
Optimal management of green certificates in the Swedish-Norwegian market
Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur (Journal article, 2017)We propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account ... -
Pricing of Temperature Index Insurance
Taib, Che Mohd Imran Che; Benth, Fred Espen (Journal article, 2011) -
Stochastic integrals and Gelfand integration in Fréchet spaces
Benth, Fred Espen; Galimberti, Luca (Journal article; Peer reviewed, 2022)We provide a detailed analysis of the Gelfand integral on Fréchet spaces, showing among other things a Vitali theorem, dominated convergence and a Fubini result. Furthermore, the Gelfand integral commutes with linear ... -
Stochastic Volatility Modeling of Emission Allowances Futures Prices in the European Union Emission Trading System Market
Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur (Chapter, 2017)We conduct an empirical investigation of the logreturns of the futures prices of the European Union Emission Trading System emission certificates traded in the Nord Pool market between 2005 and 2013. We observe heaviness, ... -
Valuating Forward Contracts in the Electricity Market using Partial Integro-differential Equations
Skogtrø, Bjørn Waage (Master thesis, 2007)e will evaluate forward contracts in the electricity market. A thorough presentation of stochastic analysis for processes with discontinuous paths are provided, and some results concerning these from mathematical finance ...