Modeling and Pricing in Financial Markets for Weather Derivatives
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Citations
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Cited by:
- Július Bemš & Caner Aydin, 2022. "Introduction to weather derivatives," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 11(3), May.
- Deschatre, Thomas & Féron, Olivier & Gruet, Pierre, 2021. "A survey of electricity spot and futures price models for risk management applications," Energy Economics, Elsevier, vol. 102(C).
- Johannes Kaufmann & Philipp Artur Kienscherf & Wolfgang Ketter, 2020. "Modeling and Managing Joint Price and Volumetric Risk for Volatile Electricity Portfolios," Energies, MDPI, vol. 13(14), pages 1-19, July.
- Kononovicius, Aleksejus & Kazakevičius, Rytis & Kaulakys, Bronislovas, 2022. "Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
- Simona Franzoni & Cristian Pelizzari, 2021. "Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas," Annals of Operations Research, Springer, vol. 299(1), pages 939-962, April.
- Sven Karbach, 2024. "Heat modulated affine stochastic volatility models for forward curve dynamics," Papers 2409.13070, arXiv.org.
- Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2016.
"A consistent two-factor model for pricing temperature derivatives,"
Energy Economics, Elsevier, vol. 55(C), pages 112-126.
- Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2014. "A consistent two-factor model for pricing temperature derivatives," SFB 649 Discussion Papers 2014-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Abbaspour, Manijeh & Vajargah, Kianoush Fathi & Azhdari, Parvin, 2023. "An efficient algorithm for pricing reinsurance contract under the regime-switching model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 211(C), pages 278-300.
- Wolfgang Karl Härdle & Brenda López Cabrera & Awdesch Melzer, 2021. "Pricing wind power futures," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 1083-1102, August.
- Fred Espen Benth & Sara Ana Solanilla Blanco, 2015. "Forward Prices As Functionals Of The Spot Path In Commodity Markets Modeled By Levy Semistationary Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-35.
- repec:hum:wpaper:sfb649dp2014-006 is not listed on IDEAS
- Aur'elien Alfonsi & Nerea Vadillo, 2023. "Risk valuation of quanto derivatives on temperature and electricity," Papers 2310.07692, arXiv.org, revised Apr 2024.
- Fred Espen Benth & Luca Di Persio & Silvia Lavagnini, 2018. "Stochastic Modeling of Wind Derivatives in Energy Markets," Risks, MDPI, vol. 6(2), pages 1-21, May.
- Aleksejus Kononovicius & Rytis Kazakeviv{c}ius & Bronislovas Kaulakys, 2022. "Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes," Papers 2205.07563, arXiv.org, revised Jul 2022.
- Yeny E. Rodríguez & Miguel A. Pérez-Uribe & Javier Contreras, 2021. "Wind Put Barrier Options Pricing Based on the Nordix Index," Energies, MDPI, vol. 14(4), pages 1-14, February.
- Sara Ana Solanilla Blanco, 2024. "Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices," Papers 2403.00006, arXiv.org.
- Fred Espen Benth & Marco Piccirilli & Tiziano Vargiolu, 2017. "Additive energy forward curves in a Heath-Jarrow-Morton framework," Papers 1709.03310, arXiv.org, revised Jun 2018.
- Sonja Cox & Sven Karbach & Asma Khedher, 2022. "An infinite‐dimensional affine stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 878-906, July.
- Fred Espen Benth & Asma Khedher & Mich`ele Vanmaele, 2017. "Pricing of commodity derivatives on processes with memory," Papers 1711.00307, arXiv.org.
- Fei Gao & Shuaiqiang Liu & Cornelis W. Oosterlee & Nico M. Temme, 2022. "Solution of integrals with fractional Brownian motion for different Hurst indices," Papers 2203.02323, arXiv.org, revised Mar 2022.
- 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.
- Fred Espen Benth & Asma Khedher & Michèle Vanmaele, 2020. "Pricing of Commodity Derivatives on Processes with Memory," Risks, MDPI, vol. 8(1), pages 1-32, January.
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Book Chapters
The following chapters of this book are listed in IDEAS- Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Financial markets for weather," World Scientific Book Chapters, in: Modeling and Pricing in Financial Markets for Weather Derivatives, chapter 1, pages 1-13, World Scientific Publishing Co. Pte. Ltd..
- Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Description of weather data and exploratory analysis," World Scientific Book Chapters, in: Modeling and Pricing in Financial Markets for Weather Derivatives, chapter 2, pages 17-34, World Scientific Publishing Co. Pte. Ltd..
- Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Spatial-temporal stochastic modelling of weather," World Scientific Book Chapters, in: Modeling and Pricing in Financial Markets for Weather Derivatives, chapter 3, pages 35-73, World Scientific Publishing Co. Pte. Ltd..
- Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Continuous-time models for temperature and wind speed," World Scientific Book Chapters, in: Modeling and Pricing in Financial Markets for Weather Derivatives, chapter 4, pages 77-106, World Scientific Publishing Co. Pte. Ltd..
- Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Pricing of forward contracts on temperature and wind speed," World Scientific Book Chapters, in: Modeling and Pricing in Financial Markets for Weather Derivatives, chapter 5, pages 107-137, World Scientific Publishing Co. Pte. Ltd..
- Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Extensions of temperature and wind speed models," World Scientific Book Chapters, in: Modeling and Pricing in Financial Markets for Weather Derivatives, chapter 6, pages 139-155, World Scientific Publishing Co. Pte. Ltd..
- Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Options on temperature and wind," World Scientific Book Chapters, in: Modeling and Pricing in Financial Markets for Weather Derivatives, chapter 7, pages 157-177, World Scientific Publishing Co. Pte. Ltd..
- Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Modelling and pricing derivatives on precipitation," World Scientific Book Chapters, in: Modeling and Pricing in Financial Markets for Weather Derivatives, chapter 8, pages 179-195, World Scientific Publishing Co. Pte. Ltd..
- Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Utility-based approaches to pricing weather derivatives," World Scientific Book Chapters, in: Modeling and Pricing in Financial Markets for Weather Derivatives, chapter 9, pages 197-227, World Scientific Publishing Co. Pte. Ltd..
More about this item
Keywords
Weather Derivatives; Stochastic Processes; HDD; CDD; Autoregressive Moving Average Time Series; Futures Contracts; Options; Utility Pricing; Girsanov Transform; Esscher Transform; Precipitation; Temperature; Wind Speed;All these keywords.
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