Articles by Fred Espen Benth
Stochastic modeling of photovoltaic power generation and electricity prices
This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.
Optimal management of green certificates in the Swedish–Norwegian market
This paper proposes and investigates a valuation model for the income of selling tradeable green certificates in the Swedish–Norwegian market, formulated as a singular stochastic control problem.
Calibration of temperature futures by changing the mean reversion
The authors of this paper study the calibration of futures contracts on temperature indexes.
Approximation of the price dynamics of heating degree day and cooling degree day temperature futures
This paper proposes an approximation that makes the price dynamics of HDD and CDD temperature futures linearly dependent on the underlying temperature.