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Alternative Approaches to Weather Derivatives Pricing

Author

Listed:
  • Helyette Geman

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • M. Leonardi

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

No abstract is available for this item.

Suggested Citation

  • Helyette Geman & M. Leonardi, 2005. "Alternative Approaches to Weather Derivatives Pricing," Post-Print halshs-00144304, HAL.
    • Handle: RePEc:hal:journl:halshs-00144304
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    Citations

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    Cited by:

    1. Fred Espen Benth & Jūratė Šaltytė Benth, 2012. "Modeling and Pricing in Financial Markets for Weather Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8457, September.
    2. Gheorghe Hurduzeu & Laura Gabriela Constantin, 2008. "Several Aspects Regarding Weather and Weather Derivatives," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 11(27), pages 187-202, January.
    3. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
    4. Rosella Castellano & Roy Cerqueti & Giulia Rotundo, 2020. "Exploring the financial risk of a temperature index: a fractional integrated approach," Annals of Operations Research, Springer, vol. 284(1), pages 225-242, January.
    5. Miguel, Fusco & Dario, Bacchini & Esteban Otto, Thomasz, 2014. "Riesgo Agropecuario: Incidencia Económica e Innovaciones para su mitigación. El caso de Argentina [Agricultural Risk Managment: Economic Incidence and Mitigation Innovations. The Case of Argentina]," MPRA Paper 56408, University Library of Munich, Germany.
    6. Eirini Konstantinidi & Gkaren Papazian & George Skiadopoulos, 2015. "Modeling the Dynamics of Temperature with a View to Weather Derivatives," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 17, pages 511-544, World Scientific Publishing Co. Pte. Ltd..
    7. Bertrand, Jean-Louis & Brusset, Xavier & Fortin, Maxime, 2015. "Assessing and hedging the cost of unseasonal weather: Case of the apparel sector," European Journal of Operational Research, Elsevier, vol. 244(1), pages 261-276.
    8. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, September.
    9. Jean-Louis Bertrand & Xavier Brusset, 2018. "Managing the financial consequences of weather variability," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 301-315, September.
    10. Alexandridis, Antonis K. & Kampouridis, Michael & Cramer, Sam, 2017. "A comparison of wavelet networks and genetic programming in the context of temperature derivatives," International Journal of Forecasting, Elsevier, vol. 33(1), pages 21-47.
    11. Heng Xiong & Rogemar Mamon, 2018. "Putting a price tag on temperature," Computational Management Science, Springer, vol. 15(2), pages 259-296, June.
    12. Cyr, Don & Kusy, Martin, 2007. "Identification of stochastic processes for an estimated icewine temperature hedging variable," Working Papers 37298, American Association of Wine Economists.
    13. Philipp Hell & Thilo Meyer-Brandis & Thorsten Rheinländer, 2012. "Consistent Factor Models For Temperature Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-24.
    14. Fuzhou Gong & Ting Wang, 2022. "The Variable Volatility Elasticity Model from Commodity Markets," Papers 2203.09177, arXiv.org.
    15. Jayeong Paek & Marco Pollanen & Kenzu Abdella, 2023. "A Stochastic Weather Model for Drought Derivatives in Arid Regions: A Case Study in Qatar," Mathematics, MDPI, vol. 11(7), pages 1-18, March.

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    Keywords

    Finance; Risk; Management;
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