H-Index & Metrics Best Publications

H-Index & Metrics

Discipline name H-index Citations Publications World Ranking National Ranking
Economics and Finance D-index 31 Citations 5,041 137 World Ranking 1859 National Ranking 12

Overview

What is he best known for?

The fields of study he is best known for:

  • Statistics
  • Mathematical analysis
  • Algebra

His scientific interests lie mostly in Econometrics, Spot contract, Futures contract, Volatility and Forward price. He studies Mean reversion which is a part of Econometrics. In his works, Fred Espen Benth undertakes multidisciplinary study on Spot contract and Compound Poisson process.

His Futures contract research incorporates elements of Stochastic modelling, Microeconomics and Seasonality. The Microeconomics study combines topics in areas such as Risk premium, Electricity market and Forward contract. As part of his studies on Forward price, he often connects relevant subjects like Ornstein–Uhlenbeck process.

His most cited work include:

  • Stochastic Modeling of Electricity and Related Markets (264 citations)
  • A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (181 citations)
  • Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (137 citations)

What are the main themes of his work throughout his whole career to date?

Econometrics, Volatility, Spot contract, Applied mathematics and Stochastic volatility are his primary areas of study. His Econometrics research integrates issues from Stochastic modelling and Futures contract. His Spot contract research is multidisciplinary, incorporating elements of Microeconomics, Forward price, Electricity market and Forward contract.

His Applied mathematics study integrates concerns from other disciplines, such as Stochastic partial differential equation, Malliavin calculus and Mathematical analysis, Hilbert space. Fred Espen Benth usually deals with Stochastic partial differential equation and limits it to topics linked to First-order partial differential equation and Stochastic differential equation. His research in Stochastic volatility intersects with topics in Mathematical economics, Volatility smile, Valuation of options and Statistical physics.

He most often published in these fields:

  • Econometrics (38.73%)
  • Volatility (19.68%)
  • Spot contract (20.63%)

What were the highlights of his more recent work (between 2017-2021)?

  • Econometrics (38.73%)
  • Volatility (19.68%)
  • Applied mathematics (19.68%)

In recent papers he was focusing on the following fields of study:

Fred Espen Benth focuses on Econometrics, Volatility, Applied mathematics, Stochastic volatility and Forward contract. His Econometrics study incorporates themes from Stochastic modelling, Stochastic process and Futures contract, Spot contract. His study in Volatility is interdisciplinary in nature, drawing from both Decision rule, Statistical physics, Lévy process and Brownian motion.

His Applied mathematics research incorporates themes from Malliavin calculus, Covariance operator, Hilbert space, Exponential function and Series. His study looks at the relationship between Stochastic volatility and fields such as Bounded function, as well as how they intersect with chemical problems. His Forward contract study combines topics in areas such as Forward curve, Heath–Jarrow–Morton framework, Forward price and Probability measure.

Between 2017 and 2021, his most popular works were:

  • A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures (19 citations)
  • Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility (12 citations)
  • Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework (11 citations)

In his most recent research, the most cited papers focused on:

  • Statistics
  • Mathematical analysis
  • Algebra

Fred Espen Benth mostly deals with Volatility, Econometrics, Covariance operator, Applied mathematics and Futures contract. His research in Volatility intersects with topics in Valuation of options, Sharpe ratio, Probabilistic forecasting, Risk measure and Market risk. Fred Espen Benth interconnects Wind speed, Spot contract and Inverse Gaussian distribution in the investigation of issues within Econometrics.

In his study, which falls under the umbrella issue of Covariance operator, Real line and Tensor product is strongly linked to Stochastic volatility. As a member of one scientific family, Fred Espen Benth mostly works in the field of Applied mathematics, focusing on Hilbert space and, on occasion, Current, Volterra integral equation, Class, Stochastic partial differential equation and State. His Futures contract research is within the category of Financial economics.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

Stochastic Modeling of Electricity and Related Markets

Fred Espen Benth;Jūratė Šaltytė Benth;Steen Koekebakker.
(2008)

481 Citations

A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

Fred Espen Benth;Jan Kallsen;Thilo Meyer‐Brandis.
Applied Mathematical Finance (2007)

275 Citations

Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives

Fred Espen Benth;Jūratė Šaltytė‐Benth.
Applied Mathematical Finance (2005)

225 Citations

Stochastic modeling of financial electricity contracts

Fred Espen Benth;Steen Koekebakker.
Energy Economics (2008)

222 Citations

The volatility of temperature and pricing of weather derivatives

Fred Espen Benth;Jūratė šaltytė Benth.
Quantitative Finance (2007)

213 Citations

Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium

Fred Espen Benth;Álvaro Cartea;Rüdiger Kiesel.
Journal of Banking and Finance (2008)

213 Citations

Putting a Price on Temperature

Fred Espen Benth;Jūratė Šaltytė Benth;Steen Koekebakker.
Scandinavian Journal of Statistics (2007)

149 Citations

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes

Fred Espen Benth;Giulia Di Nunno;Arne Løkka;Bernt Øksendal.
Mathematical Finance (2003)

139 Citations

OPTIMAL PORTFOLIO SELECTION WITH CONSUMPTION AND NONLINEAR INTEGRO-DIFFERENTIAL EQUATIONS WITH GRADIENT CONSTRAINT: A VISCOSITY SOLUTION APPROACH

Fred Espen Benth;Kenneth Hvistendahl Karlsen;Kristin Reikvam.
Finance and Stochastics (2001)

132 Citations

On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion

Fred Espen Benth.
Applied Mathematical Finance (2003)

120 Citations

Editorial Boards

Journal of Commodity Markets
(Impact Factor: 3.317)

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