Temperature models for pricing weather derivatives

DOI10.1080/14697681003777097zbMath1278.91168OpenAlexW3123765025MaRDI QIDQ2873022

Frank Schiller, Maximilian Wimmer, Gerold Seidler

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://epub.uni-regensburg.de/11260/2/Slides.pdf

zbMATH Keywords

stochastic processestemperature dynamicsdaily simulationweather derivative pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Meteorology and atmospheric physics (86A10)

Related Items (7)

Stability and complexity analysis of temperature index model considering stochastic perturbation ⋮ Uncertainty and Robustness in Weather Derivative Models ⋮ Weather derivatives pricing using regime switching model ⋮ Robust portfolio selection problem under temperature uncertainty ⋮ Exploring the financial risk of a temperature index: a fractional integrated approach ⋮ Hedging housing price risks: some empirical evidence from the US ⋮ Risk management of renewable power producers from co-dependencies in cash flows

Cites Work

• Martingale estimation functions for discretely observed diffusion processes
• Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
• On modelling and pricing weather derivatives
• Pricing Interest-Rate-Derivative Securities
• The volatility of temperature and pricing of weather derivatives
• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
• Weather Forecasting for Weather Derivatives
• On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other

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