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...

The academic interest in utility indifference based approaches to derivative pricing in incomplete markets has grown during the last decades. In lack of arbitrage arguments the fair price of an option can be found through the value function of two optional investment choices, one where an option...

With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for the wind power utilization at different wind sites, and discuss the properties...