market data to SVI-implied volatility surfaces, which in turn are used to price options. To cover a wide range of market … model (stochastic volatility with correlated jumps). The second approach simulates paths from a GARCH-filtered kernel … volatility, low jump intensity and evidence of infinite activity. With the exception of short-dated options, a consistently good …

interpreted as volatility, skewness and tail factors.We also find evidence for term structure variation. …

. The weather derivative market is therefore incomplete. This paper implements a pricing methodology for weather derivatives …

. The spatial derivative price distribution involves a risk premium. We examine functional principal components of …