Search Results - subject:"HDD"

State Price Densities implied from weather derivatives

Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - 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/10010319199

State Price Densities implied from weather derivatives

Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

Persistent link: https://www.econbiz.de/10010658762

THE TEMPERATURE-BASED DERIVATIVES CONTRACTS – NEW PRODUCTS OF WEATHER RISK INDUSTRY

MATEI, Mirela; VOICA, Catalin - In: The Annals of the "Stefan cel Mare" University of … 11 (2011) 1(13), pp. 141-147

The temperature-based derivatives contracts have appeared while the first deregulations in the utilities and the energy sectors from USA in the years 1990-2000. The transfer of the some services in the private sector has involved a better control of costs and revenues of different companies. The...

Persistent link: https://www.econbiz.de/10010616180

WEATHER INDEX- THE BASIS OF WEATHER DERIVATIVES

Cristina, Ciumas; Mircea, Botos Horia - In: Annals of Faculty of Economics 1 (2011) 1, pp. 362-369

weather index has two forms, the Heating Degree Day (HDD) and the Cooling Degree Day (CDD). We will try to explain their … theoretical aspect and through the analysis of the HDD and CDD index in order to show their general behaviour and relationship. …

Persistent link: https://www.econbiz.de/10009366143

Pricing of Asian temperature risk

López Cabrera, Brenda - 2009

Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...

Persistent link: https://www.econbiz.de/10009467147

Pricing of Asian temperature risk

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

Persistent link: https://www.econbiz.de/10010270731

Implied market price of weather risk

Härdle, Wolfgang Karl; López Cabrera, Brenda - 2009

Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...

Persistent link: https://www.econbiz.de/10010274151

Implied Market Price of Weather Risk

Härdle, Wolfgang; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

index, HDD index, market price of risk, risk premium, CME JEL classi cation: G19, G29, N26, N56, Q29, Q54 Acknowledgements … price temper- ature derivatives based on the HDD index. Barrieu and El Karoui (2002) present an optimal design of weather … HDD/CDD option prices and demonstrate that their e ects are similar to those on the prices of traditional options. In this …

Persistent link: https://www.econbiz.de/10005677972

Pricing of Asian temperature risk

Benth, Fred; Härdle, Wolfgang Karl; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Persistent link: https://www.econbiz.de/10008479243

On Weather Derivatives and Temperature Swapping in Japan

Takao, Atsushi - Graduate School of Business Administration, Kobe University - 2007

Until recently, the meteorological disturbances to the management of economic entities had to be simply accepted; however, several financial tools have been developed, with which we can cancel out the adverse influence of meteorological events. This paper will intend to examine 2 types of tools,...

Persistent link: https://www.econbiz.de/10011082592