Uncertainty and Robustness in Weather Derivative Models

DOI10.1007/978-3-319-33507-0_17zbMath1354.91148OpenAlexW2482393757MaRDI QIDQ2957043

No author found.

Publication date: 20 January 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33507-0_17

zbMATH Keywords

model robustnessweather derivativesSobol' sensitivity analysis

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Geostatistics (86A32) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Randomized Global Sensitivity Analysis and Model Robustness

Cites Work

• Unnamed Item
• Unnamed Item
• Making best use of model evaluations to compute sensitivity indices
• Derivative based global sensitivity measures and their link with global sensitivity indices
• A fair pricing approach to weather derivatives
• Temperature models for pricing weather derivatives
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On modelling and pricing weather derivatives
• Random and Deterministic Digit Permutations of the Halton Sequence
• The Implied Market Price of Weather Risk
• The volatility of temperature and pricing of weather derivatives
• Weather Forecasting for Weather Derivatives
• Estimating Mean Dimensionality of Analysis of Variance Decompositions
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates

This page was built for publication: Uncertainty and Robustness in Weather Derivative Models