94 citations · 268 across the 41 of their papers we have counts for
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Accuracy of Deep Learning in Calibrating HJM Forward Curves
Fred Espen Benth, Nils Detering, Silvia Lavagnini
We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath-Jarrow-Morton (HJM) approach. For this purpose…
Additive energy forward curves in a Heath-Jarrow-Morton framework
Fred Espen Benth, Marco Piccirilli, Tiziano Vargiolu
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain pe…
Approximation of forward curve models in commodity markets with arbitrage-free finite dimensional models
Fred Espen Benth, Paul Krühner
In this paper we show how to approximate a Heath-Jarrow-Morton dynamics for the forward prices in commodity markets with arbitrage-free models which have a finite dimensional state…
Derivatives pricing in energy markets: an infinite dimensional approach
Fred Espen Benth, Paul Krühner
Based on forward curves modelled as Hilbert-space valued processes, we analyse the pricing of various options relevant in energy markets. In particular, we connect empirical eviden…