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) are often not incorporated. We adopt a risk neutral approach (for …

. -- Weather derivatives ; seasonal variation ; temperature ; risk premia …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 …

. The weather derivative market is therefore incomplete. This paper implements a pricing methodology for weather derivatives … that can increase the precision of measuring weather risk. We applied continous autoregressive models (CAR) with seasonal … hedge weather future/options in the market. We propose to study the market price of risk, not only as a piecewise constant …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets …

serial correlation and momentum trading on stocks with high predicted serial correlation. The trading strategy generates risk …

-sample and 31.2% out-of- sample. The model more accurately portrays the tail behavior of VIX risk-neutral distribution for both …