Modeling And Pricing Precipitation Derivatives Under Weather Forecasts
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DOI: 10.1142/S0219024916500515
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References listed on IDEAS
- Fred ESPEN Benth & Jurate saltyte Benth, 2007. "The volatility of temperature and pricing of weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 553-561.
- Ragnhild Noven & Almut Veraart & Axel Gandy, 2015. "A Lévy-driven rainfall model with applications to futures pricing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(4), pages 403-432, October.
- Fred Espen Benth & Jurate Saltyte-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 53-85.
- Gunther Leobacher & Philip Ngare, 2011. "On Modelling and Pricing Rainfall Derivatives with Seasonality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(1), pages 71-91.
- Andrea Barth & Fred Espen Benth & Jurgen Potthoff, 2011. "Hedging of Spatial Temperature Risk with Market-Traded Futures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(2), pages 93-117.
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Cited by:
- Markus Hess, 2019. "An Arithmetic Pure-Jump Multi-Curve Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-30, December.
- Hess, Markus, 2017. "Modeling positive electricity prices with arithmetic jump-diffusions," Energy Economics, Elsevier, vol. 67(C), pages 496-507.
- Markus Hess, 2020. "Pricing electricity forwards under future information on the stochastic mean-reversion level," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(2), pages 751-767, December.
- Markus Hess, 2018. "Pricing Temperature Derivatives Under Weather Forecasts," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-34, August.
- Markus Hess, 2021. "A new approach to wind power futures pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1235-1252, December.
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Keywords
Anticipative stochastic calculus; stochastic differential equation; enlargement of filtration; information premium; forward-looking information; pure jump Lévy process; arithmetic model; weather market; precipitation derivative; weather forecast; option pricing; wavelet transform;All these keywords.
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