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A consistent two-factor model for pricing temperature derivatives
Groll, Andreas; López-Cabrera, Brenda; Meyer-Brandis, Thilo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...
Persistent link: https://www.econbiz.de/10011145246
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State Price Densities implied from weather derivatives
Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...
Persistent link: https://www.econbiz.de/10010658762
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Localising temperature risk
Härdle, Wolfgang Karl; Cabrera, Brenda López; Okhrin, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In order to apply pricing tools of nancial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for temperature dynamics is a stochastic model with...
Persistent link: https://www.econbiz.de/10008776044
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Forecast based Pricing of Weather Derivatives
Härdle, Wolfgang Karl; López-Cabrera, Brenda; Ritter, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
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)...
Persistent link: https://www.econbiz.de/10010607145
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Statistical Modelling of Temperature Risk
Anastasiadou, Zografia; BrendaLópez-Cabrera - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Recently the topic of global warming has become very popular. The literature has concentrated its attention on the evidence of such eect, either by detecting regime shifts or change points in time series. The majority of these methods are designed to nd shifts in mean, but only few can do this...
Persistent link: https://www.econbiz.de/10010543378
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Pricing of Asian temperature risk
Benth, Fred; Härdle, Wolfgang Karl; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
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...
Persistent link: https://www.econbiz.de/10008479243
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Value added trade and structure of high-technology exports in China
Kuroiwa, Ikuo - Institute of Developing Economies, Japan External Trade … - 2014
high-technology exports, an area highly dominated by the electronic and electrical equipment sector. Furthermore, a … significant portion of value added embodied in China's high-technology exports comes from services and high-technology …
Persistent link: https://www.econbiz.de/10011134425
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The Implementation of Technological Change.
Beatty, C.A. - Queen's at Kingston - Sch. of Indus. Relat. Research … - 1987
Persistent link: https://www.econbiz.de/10005780994
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The Influence of Science and Technology Park Characteristics on Firms’ Innovation Results
Albahari, Alberto; Barge-Gil, Andrés; Pérez-Canto, … - Volkswirtschaftliche Fakultät, … - 2013
The effectiveness of Science and Technology Parks (STPs) as instruments of innovation policy has generated thriving … and 25 STPs from the 2009 Community Innovation Survey for Spain and a survey of STP managers respectively, we find that …
Persistent link: https://www.econbiz.de/10011260506
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Adaptation and Innovation: An Analysis of Crop Biotechnology Patent Data
Agrawala, Shardul; Bordier, Cécile; Schreitter, Victoria; … - Environment Directorate, Organisation de Coopération … - 2012
Innovation in technologies that promote mitigation and adaptation will be critical for tackling climate change. It can … innovation have focused on mitigation, while little attention has been paid to innovation for adaptation. This paper uses … vulnerable to climate change, in addition to facing the pressures of meeting the demands of a rising world population. Innovation …
Persistent link: https://www.econbiz.de/10011276642