. 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 …

anhand eines Beispiels mit realen Daten die Anwendung verschiedener Verfahren zur Bewertung von Wetterderivaten verdeutlicht …

risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of … weather derivatives under default risk on the issuer side in over-the-counter markets. In our model, agents maximise the …Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather …