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Weather derivatives and weather risk management

Brockett, Patrick L.; Wang, Mulong; Yang, Chuanhou - In: Risk management and insurance review 8 (2005) 1, pp. 127-140

Persistent link: https://www.econbiz.de/10002845551

Basis risk and hedging efficiency of weather derivatives

Yang, Charles C.; Brockett, Patrick L.; Wen, Min Ming - In: Journal of risk finance : the convergence of financial … 10 (2009) 5, pp. 517-536

Persistent link: https://www.econbiz.de/10009523704

Portfolio effects and valuation of weather derivatives

Brockett, Patrick L.; Wang, Mulong; Yang, Chuanhou; … - In: The financial review : the official publication of the … 41 (2006) 1, pp. 55-76

Persistent link: https://www.econbiz.de/10003274772

Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform

Chuang, Shuo-Li; Brockett, Patrick L. - In: North American actuarial journal 18 (2014) 1, pp. 22-37

Persistent link: https://www.econbiz.de/10011338403

Was the U.S. life insurance industry in danger of systemic risk by using derivative hedging prior to the 2008 financial crisis?

Baranoff, Etti G.; Brockett, Patrick L.; Sager, Thomas W.; … - In: Quantitative finance and economics 3 (2019) 1, pp. 145-164

Persistent link: https://www.econbiz.de/10012176449

Exchange options under clustered jump dynamics

Ma, Yong; Pan, Dongtao; Wang, Tianyang - In: Quantitative finance 20 (2020) 6, pp. 949-967

Persistent link: https://www.econbiz.de/10012262652

Dynamic Hedging Performance of the CSI 300 Index Futures - The Realized Minimum-Variance Hedge Ratio Approach

Qu, Hui - 2018

This paper comprehensively investigates the dynamic hedging performance of China's CSI 300 index futures by using the realized minimum-variance hedge ratio (RMVHR) as an efficient way to utilize the high-frequency intraday information. We thoroughly examine a number of RMVHR-based time-series...

Persistent link: https://www.econbiz.de/10012924923