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A consistent two-factor model for pricing temperature derivatives

Groll, Andreas; López-Cabrera, Brenda; Meyer-Brandis, Thilo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...

Persistent link: https://www.econbiz.de/10011145246

Pricing of Asian temperature risk

Benth, Fred; Härdle, Wolfgang Karl; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10008479243

Statistical Modelling of Temperature Risk

Anastasiadou, Zografia; BrendaLópez-Cabrera - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

Recently the topic of global warming has become very popular. The literature has concentrated its attention on the evidence of such eect, either by detecting regime shifts or change points in time series. The majority of these methods are designed to nd shifts in mean, but only few can do this...

Persistent link: https://www.econbiz.de/10010543378

Localising temperature risk

Härdle, Wolfgang Karl; Cabrera, Brenda López; Okhrin, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In order to apply pricing tools of nancial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for temperature dynamics is a stochastic model with...

Persistent link: https://www.econbiz.de/10008776044

State Price Densities implied from weather derivatives

Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10010658762

Forecast based Pricing of Weather Derivatives

Härdle, Wolfgang Karl; López-Cabrera, Brenda; Ritter, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10010607145

Upgrading Japan's Innovation System to Sustain Economic Growth

Jones, Randall S.; Yokoyama, Tadashi - Economics Department, Organisation de Coopération et … - 2006

Increasing productivity growth through innovation is a key to raising living standards. Although R&D intensity in Japan …. The innovation system, which developed during the catchingup process, is largely input-driven and focused on incremental … innovation based on closed and stable corporate and employment systems. However, this approach is less appropriate in the current …

Persistent link: https://www.econbiz.de/10005046148

Sustaining High Growth Through Innovation: Reforming the R&D and Education Systems in Korea

Baek, Yongchun; Jones, Randall S. - Economics Department, Organisation de Coopération et … - 2005

factor productivity gains, which are in turn driven to a large extent by innovation. While a number of Korean firms are at … the world technology frontier in areas such as ICT, the diffusion of technology to lagging sectors is a priority to … sustain growth. This paper recommends policies to improve the science and technology system by upgrading the R&D framework, in …

Persistent link: https://www.econbiz.de/10005046217

Large and small firms’ role in the knowledge-based industries innovation process

Rodríguez, José Carlos - In: Revista Nicolaita de Estudios Económicos II (2007) 1, pp. 131-143

innovation process. It takes into account the theoretical background within the Schumpeterian-Penrosian tradition. The paper … reviews a model where firm size has important implications for specific stages of the innovation process. An important … restrictions constitute an important impediment for innovation development in small firms. From this perspective, cooperation and …

Persistent link: https://www.econbiz.de/10008509671

SWINNO: A Database of Swedish Innovations, 1970-2007

Sjöö, Karolin; Taalbi, Josef; Kander, Astrid; … - Ekonomisk-historiska Institutionen, Ekonomihögskolan - 2014

software. Innovation data are collected with the Literature Based Innovation Output method (LBIO) by use of trade journals and … technical magazines and cover the period 1970-2007. Each innovation is described by more than fifty parameters making possible a … comparison with other indicators of innovation. Some LBIO databases have previously been constructed but comparable with SWINNO …

Persistent link: https://www.econbiz.de/10010755476