10 citations · 20 across the 7 of their papers we have counts for
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q-fin.MF2014
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…
math.PR2014
Optimal bounds for the densities of solutions of SDEs with measurable and path dependent drift coefficients
David Baños, Paul Krühner
We consider a process given as the solution of a stochastic differential equation with irregular, path dependent and time-inhomogeneous drift coefficient and additive noise. Explic…
q-fin.PR2014
Representation of infinite dimensional forward price models in commodity markets
Fred Espen Benth, Paul Krühner
We study the forward price dynamics in commodity markets realized as a process with values in a Hilbert space of absolutely continuous functions defined by Filipović. The forward d…