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Dynamical pricing of weather derivatives

Citations

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Cited by:

  1. Robert Elliott & Leunglung Chan, 2004. "Perpetual American options with fractional Brownian motion," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 123-128.
  2. Lunina, Veronika, 2016. "Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis," Working Papers 2016:30, Lund University, Department of Economics.
  3. Baojing Sun & Changhao Guo & G. Cornelis van Kooten, 2013. "Weather Derivatives and Crop Insurance in China," Working Papers 2013-02, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.
  4. Ameur, Hachmi Ben & Han, Xuyuan & Liu, Zhenya & Peillex, Jonathan, 2022. "When did global warming start? A new baseline for carbon budgeting," Economic Modelling, Elsevier, vol. 116(C).
  5. 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.
  6. Ahmet Göncü, 2013. "Comparison of temperature models using heating and cooling degree days futures," Journal of Risk Finance, Emerald Group Publishing, vol. 14(2), pages 159-178, February.
  7. 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.
  8. Christos Floros, 2011. "On the relationship between weather and stock market returns," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 28(1), pages 5-13, March.
  9. 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.
  10. Zong, Lu & Ender, Manuela, 2013. "Model Comparison for Temperature-based Weather Derivatives in Mainland China," Conference papers 332293, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
  11. Baojing Sun & G. Cornelis van Kooten, 2014. "Financial Weather Options for Crop Production," Working Papers 2014-03, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.
  12. Sun, Baojing, 2017. "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the Underlying Weather Index," Working Papers 257083, University of Victoria, Resource Economics and Policy.
  13. Matthieu Garcin, 2019. "Hurst Exponents And Delampertized Fractional Brownian Motions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-26, August.
  14. repec:hum:wpaper:sfb649dp2009-046 is not listed on IDEAS
  15. Hassan Mazengera, 2017. "Derivation Of A Stochastic Loan Repayment Model For Valuing A Revenue-Based Loan Contract," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 1-29, September.
  16. Yuji Yamada, 2008. "Optimal Hedging of Prediction Errors Using Prediction Errors," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(1), pages 67-95, March.
  17. A. Alexandridis & A. Zapranis, 2013. "Wind Derivatives: Modeling and Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 299-326, March.
  18. 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.
  19. Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  20. Sun, Baojing, 2017. "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index," Working Papers 263197, University of Victoria, Resource Economics and Policy.
  21. Markus Stowasser, 2011. "Modelling rain risk: a multi-order Markov chain model approach," Journal of Risk Finance, Emerald Group Publishing, vol. 13(1), pages 45-60, December.
  22. Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe, 2018. "Regime-Switching Temperature Dynamics Model for Weather Derivatives," International Journal of Stochastic Analysis, Hindawi, vol. 2018, pages 1-15, July.
  23. Cui, Hairong & Zhou, Ying & Dzandu, Michael D. & Tang, Yinshan & Lu, Xunfa, 2019. "Is temperature-index derivative suitable for China?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  24. Dorfleitner, Gregor & Wimmer, Maximilian, 2010. "The pricing of temperature futures at the Chicago Mercantile Exchange," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1360-1370, June.
  25. Lu Zong & Manuela Ender, 2018. "Comparison of Stochastic and Spline Models for Temperature‐based Derivatives in China," Pacific Economic Review, Wiley Blackwell, vol. 23(4), pages 547-589, October.
  26. Härdle, Wolfgang Karl & López-Cabrera, Brenda & Ritter, Matthias, 2012. "Forecast based pricing of weather derivatives," SFB 649 Discussion Papers 2012-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  27. repec:hum:wpaper:sfb649dp2009-001 is not listed on IDEAS
  28. Ahčan, Aleš, 2012. "Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 131-138.
  29. Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2007. "Putting a Price on Temperature," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(4), pages 746-767, December.
  30. A. Zapranis & A. Alexandridis, 2008. "Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(4), pages 355-386.
  31. Frank Schiller & Gerold Seidler & Maximilian Wimmer, 2012. "Temperature models for pricing weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 489-500, March.
  32. Evarest Emmanuel & Berntsson Fredrik & Singull Martin & Yang Xiangfeng, 2018. "Weather derivatives pricing using regime switching model," Monte Carlo Methods and Applications, De Gruyter, vol. 24(1), pages 13-27, March.
  33. Baojing Sun, 2017. "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index," Working Papers 2017-05, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.
  34. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, October.
  35. Berg, Ernst & Schmitz, Bernhard & Starp, Michael, 2006. "Weather derivatives as an instrument to hedge against the risk of high energy cost in greenhouse production," 2006 Annual meeting, July 23-26, Long Beach, CA 21378, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  36. Léo Régnier & Maxim Dolgushev & Olivier Bénichou, 2023. "Record ages of non-Markovian scale-invariant random walks," Nature Communications, Nature, vol. 14(1), pages 1-7, December.
  37. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on Heat Wave Risk," Risks, MDPI, vol. 1(3), pages 1-16, December.
  38. 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.
  39. Svec, J. & Stevenson, M., 2007. "Modelling and forecasting temperature based weather derivatives," Global Finance Journal, Elsevier, vol. 18(2), pages 185-204.
  40. Birgit Lemmerer & Stephan Unger, 2019. "Modeling and pricing of space weather derivatives," Risk Management, Palgrave Macmillan, vol. 21(4), pages 265-291, December.
  41. 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.
  42. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  43. Jr‐Wei Huang & Sharon S. Yang & Chuang‐Chang Chang, 2018. "Modeling temperature behaviors: Application to weather derivative valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1152-1175, September.
  44. Neuenkirch, Andreas, 2008. "Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2294-2333, December.
  45. Wei Yuan & Ahmet Göncü & Giray Ökten, 2015. "Estimating sensitivities of temperature-based weather derivatives," Applied Economics, Taylor & Francis Journals, vol. 47(19), pages 1942-1955, April.
  46. repec:hum:wpaper:sfb649dp2012-027 is not listed on IDEAS
  47. Fred Espen Benth & Anca Pircalabu, 2018. "A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(1), pages 36-65, January.
  48. Asante Gyamerah, Samuel & Ngare, Philip & Ikpe, Dennis, 2018. "A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives," MPRA Paper 89680, University Library of Munich, Germany, revised 10 Jul 2018.
  49. 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, August.
  50. Benth, Fred & Härdle, Wolfgang Karl & López Cabrera, Brenda, 2009. "Pricing of Asian temperature risk," SFB 649 Discussion Papers 2009-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  51. Šaltytė Benth, Jūratė & Benth, Fred Espen, 2012. "A critical view on temperature modelling for application in weather derivatives markets," Energy Economics, Elsevier, vol. 34(2), pages 592-602.
  52. Peter Kloeden & Andreas Neuenkirch & Raffaella Pavani, 2011. "Multilevel Monte Carlo for stochastic differential equations with additive fractional noise," Annals of Operations Research, Springer, vol. 189(1), pages 255-276, September.
  53. Barndorff-Nielsen, Ole E. & Benth, Fred Espen & Pedersen, Jan & Veraart, Almut E.D., 2014. "On stochastic integration for volatility modulated Lévy-driven Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 812-847.
  54. Ahmet Göncü, 2011. "Pricing temperature-based weather derivatives in China," Journal of Risk Finance, Emerald Group Publishing, vol. 13(1), pages 32-44, December.
  55. Sun, Baojing & van Kooten, G. Cornelis, 2015. "Financial weather derivatives for corn production in Northern China: A comparison of pricing methods," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 201-209.
  56. Prabakaran, Sellamuthu & Garcia, Isabel C. & Mora, Jose U., 2020. "A temperature stochastic model for option pricing and its impacts on the electricity market," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 58-77.
  57. Nelson Christopher Dzupire & Philip Ngare & Leo Odongo, 2019. "Pricing Basket Weather Derivatives on Rainfall and Temperature Processes," IJFS, MDPI, vol. 7(3), pages 1-14, June.
  58. Wolfgang Karl Härdle & Brenda López Cabrera, 2012. "The Implied Market Price of Weather Risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 59-95, February.
  59. Alessio Giorgini & Rogemar S. Mamon & Marianito R. Rodrigo, 2021. "A Stochastic Harmonic Oscillator Temperature Model for the Valuation of Weather Derivatives," Mathematics, MDPI, vol. 9(22), pages 1-15, November.
  60. Matthieu Garcin, 2018. "Hurst exponents and delampertized fractional Brownian motions," Working Papers hal-01919754, HAL.
  61. Elias, R.S. & Wahab, M.I.M. & Fang, L., 2014. "A comparison of regime-switching temperature modeling approaches for applications in weather derivatives," European Journal of Operational Research, Elsevier, vol. 232(3), pages 549-560.
  62. 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.
  63. 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.
  64. Gülpınar, Nalân & Çanakoḡlu, Ethem, 2017. "Robust portfolio selection problem under temperature uncertainty," European Journal of Operational Research, Elsevier, vol. 256(2), pages 500-523.
  65. Geyser, J.M., 2004. "Weather derivatives: Concept and application for their use in South Africa," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 43(4), pages 1-21, December.
  66. Schmitz, B. & Starp, M., 2005. "Wetterderivate zur Absicherung des Energiekostenrisikos im Unterglasanbau," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 40, March.
  67. Taylor, James W. & Buizza, Roberto, 2006. "Density forecasting for weather derivative pricing," International Journal of Forecasting, Elsevier, vol. 22(1), pages 29-42.
  68. Ritter, Matthias & Mußhoff, Oliver & Odening, Martin, 2010. "Meteorological forecasts and the pricing of weather derivatives," SFB 649 Discussion Papers 2010-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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