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Weather derivatives valuation and market price of weather risk

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Cited by:

  1. Kleiman, Rachel M. & Characklis, Gregory W. & Kern, Jordan D., 2022. "Managing weather- and market price-related financial risks in algal biofuel production," Renewable Energy, Elsevier, vol. 200(C), pages 111-124.
  2. 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.
  3. Nicholas Apergis & Alexandros Gabrielsen & Lee Smales, 2016. "(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
  4. Apergis, Nicholas & Gupta, Rangan, 2017. "Can (unusual) weather conditions in New York predict South African stock returns?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 377-386.
  5. 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.
  6. Kanamura, Takashi & Homann, Lasse & Prokopczuk, Marcel, 2021. "Pricing analysis of wind power derivatives for renewable energy risk management," Applied Energy, Elsevier, vol. 304(C).
  7. H. Kent Baker & Satish Kumar & Nitesh Pandey, 2021. "Forty years of the Journal of Futures Markets: A bibliometric overview," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1027-1054, July.
  8. 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).
  9. 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.
  10. 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.
  11. Mark Manfredo & Timothy Richards, 2009. "Hedging with weather derivatives: a role for options in reducing basis risk," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 87-97.
  12. 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.
  13. Andrea Martínez Salgueiro & Maria-Antonia Tarrazon-Rodon, 2021. "Weather derivatives to mitigate meteorological risks in tourism management: An empirical application to celebrations of Comunidad Valenciana (Spain)," Tourism Economics, , vol. 27(4), pages 591-613, June.
  14. 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.
  15. Andrea Martínez Salgueiro & Maria-Antonia Tarrazon-Rodon, 2020. "Approaching rainfall-based weather derivatives pricing and operational challenges," Review of Derivatives Research, Springer, vol. 23(2), pages 163-190, July.
  16. Takino, Kazuhiro, 2016. "An equilibrium model for the OTC derivatives market with a collateral agreement," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 41-55.
  17. 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.
  18. 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.
  19. 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.
  20. 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, October.
  21. Daglis, Theodoros & Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Papadakis, Theodoulos Eleftherios, 2020. "The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility," Research in International Business and Finance, Elsevier, vol. 52(C).
  22. 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.
  23. 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..
  24. Michail Filippidis & George Filis & Georgios Magkonis & Panagiotis Tzouvanas, 2023. "Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 807-825, June.
  25. Monika Wieczorek-Kosmala, 2020. "Weather Risk Management in Energy Sector: The Polish Case," Energies, MDPI, vol. 13(4), pages 1-21, February.
  26. 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.
  27. Melanie Cao & Batur Celik, 2021. "Valuation of bitcoin options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1007-1026, July.
  28. Stanimir Kabaivanov & Veneta Markovska, 2017. "Modelling Environment Changes for Pricing Weather Derivatives," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 64(4), pages 423-430, December.
  29. L. Kermiche & N. Vuillermet, 2016. "Weather derivatives structuring and pricing: a sustainable agricultural approach in Africa," Applied Economics, Taylor & Francis Journals, vol. 48(2), pages 165-177, January.
  30. Dupuis, Debbie J., 2011. "Forecasting temperature to price CME temperature derivatives," International Journal of Forecasting, Elsevier, vol. 27(2), pages 602-618.
  31. 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.
  32. Heng Xiong & Rogemar Mamon, 2018. "Putting a price tag on temperature," Computational Management Science, Springer, vol. 15(2), pages 259-296, June.
  33. Gülpınar, Nalân & Çanakoḡlu, Ethem, 2017. "Robust portfolio selection problem under temperature uncertainty," European Journal of Operational Research, Elsevier, vol. 256(2), pages 500-523.
  34. Helene Hamisultane, 2010. "Utility-based pricing of weather derivatives," The European Journal of Finance, Taylor & Francis Journals, vol. 16(6), pages 503-525.
  35. Ross Baldick & Sergey Kolos & Stathis Tompaidis, 2006. "Interruptible Electricity Contracts from an Electricity Retailer's Point of View: Valuation and Optimal Interruption," Operations Research, INFORMS, vol. 54(4), pages 627-642, August.
  36. Nicholas Apergis & Rangan Gupta, 2016. "Can Weather Conditions in New York Predict South African Stock Returns?," Working Papers 201634, University of Pretoria, Department of Economics.
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