94 citations · 268 across the 41 of their papers we have counts for
57 papers
NeSTR: Neural S-Transform Reconstruction for Gaussian SPDEs
Nacira Agram, Fred Espen Benth, Jan Rems
We introduce Neural -Transform Reconstruction (NeSTR) for Gaussian stochastic partial differential equations (SPDEs). The learned object is not the random solution itself, but i…
Efficient Computation Of Sensitivities For Derivatives In Energy Markets
Fred Espen Benth, Olfa Draouil, Farouk Hammami
In this study, we develop a stochastic framework for computing Delta sensitivities in energy markets, where both prices and traded volumes are modeled as correlated stochastic proc…
Signature McKean-Vlasov stochastic differential equations
Fred Espen Benth, Salvador Ortiz-Latorre, Leonardo Tarquini
McKean-Vlasov-type stochastic differential equations (SDEs) are characterized by coefficients depending on both the state and the law of the solution. In this work, we focus on a c…
Forecasting of volatility and risk premia in electricity markets
Thomas K. Kloster, Fred Espen Benth
We study forecasting of the realized covariation in electricity markets. The realized covariation in this context is a matrix-valued representation of the latent infinite-dimension…
The fine structure of electricity price volatility
Thomas K. Kloster, Fred Espen Benth
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed da…
Numerical valuation of European options under two-asset infinite-activity exponential Lévy models
Massimiliano Moda, Karel J. in 't Hout, Michèle Vanmaele +1
We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential Lévy models. Our method extends the effective approach devel…