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State price densities implied from weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Teng, Huei-Wen - In: Insurance / Mathematics & economics 64 (2015), pp. 106-125

Persistent link: https://www.econbiz.de/10011397955

A dynamic programming approach for pricing weather derivatives under issuer default risk

Härdle, Wolfgang; Osipenko, Maria - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18

Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather derivatives under default risk on the issuer...

Persistent link: https://www.econbiz.de/10011760235

Implied market price of weather risk

Härdle, Wolfgang; López Cabrera, Brenda - 2009

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

Persistent link: https://www.econbiz.de/10003796146

Forecast based pricing of weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Ritter, Matthias - 2012

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

Persistent link: https://www.econbiz.de/10009511156

Spatial risk premium on weather derivatives and hedging weather exposure in electricity

Härdle, Wolfgang; Osipenko, Maria - 2011

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

Persistent link: https://www.econbiz.de/10008906018

Pricing Chinese rain : a multisite mulit-period equilibrium pricing model for rainfall derivatives

Härdle, Wolfgang; Osipenko, Maria - 2011

Many industries are exposed to weather risk which they can transfer on financial markets via weather derivatives. Equilibrium models based on partial market clearing became a useful tool for pricing such kind of financial instruments. In a multi-period equilibrium pricing model agents rebalance...

Persistent link: https://www.econbiz.de/10009266834

State Price Densities implied from weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Teng, Huei-wen - 2013

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...

Persistent link: https://www.econbiz.de/10009741915

Localising temperature risk

Härdle, Wolfgang; López Cabrera, Brenda; Okhrin, Ostap; … - 2010

On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In … describe the volatility process well. Therefore, we consider a local adaptive modeling approach to find at each time point, an … optimal smoothing parameter to locally estimate the seasonality and volatility. Our approach provides a more flexible and …

Persistent link: https://www.econbiz.de/10008772624

Spatial risk premium on weather derivatives and hedging weather exposure in electricity

Härdle, Wolfgang; Osipenko, Maria - In: The energy journal 33 (2012) 2, pp. 149-170

Persistent link: https://www.econbiz.de/10009568826

Pricing of Asian temperature risk

Benth, Fred Espen; Härdle, Wolfgang; Cabrera, Brenda López - 2009

. The regression residuals of the temperature show a clear seasonal variation and the volatility term structure of CAT … weather derivative market does not exist. The findings support theoretical results of reverse relation between MPR and …

Persistent link: https://www.econbiz.de/10003893132