Fred Espen Benth

Introductory book on mathematical finance published by Springer

• Go here to get more information on this introductory book to mathematical finance. It is translated from the Norwegian edition, which you find here . An Excel spreadsheet containing Visual Basic macros for pricing and hedging of derivatives being described in the book can be downloaded here . Note: The author does not accept any liability for the use or misuse of this spreadsheet.

Research interests

• Energy and weather derivatives
• Pricing, hedging and portfolio optimization
• Empirical and computational finance
• Insurance and finance

Some recent papers

• F.E. Benth and R. Kufakunesu. Pricing of exotic energy derivatives based on arithmetic spot models. E-print No 14, September 2007. pdf-version .
• F.E. Benth, M. Groth and O. Wallin. Derivative-free greeks for the Barndorff-Nielsen and Shaphard stochastic volatility model. E-print No 3, March 2007. pdf-version .
• C. Erlwein, F.E. Benth, and R. Mamon. HMM filtering and parameter estimation of an electricity spot price model. E-print No 2, January 2007. pdf-version .
• F.E. Benth, M. Groth and C. Lindberg. The implied risk aversion from utility indifference pricing in a stochastic volatility model. E-print No 1, January 2007. pdf-version .
• F.E. Benth, A. Cartea and R. Kiesel. Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: explaining the sign of the market risk premium. October 2006. pdf-version .
• F.E. Benth, J. Saltyte Benth and S. Koekebakker. Putting a price on temperature. October 2006. pdf-version . To appear in Scandinavian Journal of Statistics
• F.E. Benth and P. Kettler. Dynamic copula models for the spark spread. E-print no. 14, September 2006, Department of Mathematics, University of Oslo. pdf-version .
• F.E. Benth and F. Proske. Arbitrage-free pricing of interest-rate guarantees based on the utility indifference method. E-print no. 34, November 2005, Department of Mathematics. University of Oslo. pdf-version .
• F.E. Benth and M. Groth. The minimal entropy martingale measure and numerical option pricing for the Barndorff-Nielsen -- Shephard stochastic volatility model. E-print no. 26, September 2005, Department of Mathematics, University of Oslo. pdf-version .
• F.E. Benth, and S. Koekebakker. Stochastic modeling of financial electricity contracts. E-print no. 24, September 2005, Department of Mathematics, University of Oslo. Awarded the FIBE-price 2006 by Cappelen Akademisk Forlag. Visit here for more information (in norwegian) ps-version , pdf-version . To appear in Energy Economics.

Here (ps) (pdf) you can download a complete list of my publications.