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Härdle, Wolfgang; López Cabrera, Brenda; Okhrin, Ostap; … - 2010

accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors. -- Weather …On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In … order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for …

Persistent link: https://www.econbiz.de/10008772624

On arbitrage-free pricing of weather derivatives based on fractional Brownian motion

Benth, Fred Espen - In: Applied mathematical finance 10 (2003) 4, pp. 302-324

Persistent link: https://www.econbiz.de/10001864238

Weather derivatives with applications to Canadian data

Sviščuk, Anatolij; Cui, Kaijie - In: Journal of mathematical finance 3 (2013) 1, pp. 81-95

Persistent link: https://www.econbiz.de/10010240221

Model based Monte Carlo pricing of energy and temperature Quanto options

Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1712

Persistent link: https://www.econbiz.de/10009687956

Pricing temperature derivatives using a partial differential equation approach in incomplete markets

Ehlers, Manuel - 2008

Persistent link: https://www.econbiz.de/10003781004

Hedging of crop harvest with derivatives on temperature

Hainaut, Donatien - In: Insurance / Mathematics & economics 84 (2019), pp. 98-114

Persistent link: https://www.econbiz.de/10011990451

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks : open access journal 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...

Persistent link: https://www.econbiz.de/10011867386

Pricing temperature derivatives under weather forecasts

Hess, Markus - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-34

Persistent link: https://www.econbiz.de/10011903773

Modeling and pricing precipitation derivatives under weather forecasts

Hess, Markus - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10011568818

Financial weather derivatives for corn production in Northeastern China : modelling the underlying weather index

Sun, Baojing - 2017

Persistent link: https://www.econbiz.de/10011646609