Hedging of Spatial Temperature Risk with Market-Traded Futures

DOI10.1080/13504861003722385zbMath1213.91147OpenAlexW2041265144MaRDI QIDQ3004477

Andrea Barth, Fred Espen Benth, Juergen Potthoff

Publication date: 3 June 2011

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/10482

zbMATH Keywords

hedgingstochastic simulationspatio-temporal random fieldsheating and cooling degree-daystemperature futures

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spatial models in economics (91B72)

Related Items (6)

SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH ⋮ PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS ⋮ Spatial–temporal model for wind speed in Lithuania ⋮ Spatial-temporal modelling of temperature for pricing temperature index insurance ⋮ Robust portfolio selection problem under temperature uncertainty ⋮ MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS

Cites Work

• Radial positive definite functions generated by Euclid's hat
• A fair pricing approach to weather derivatives
• Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
• On modelling and pricing weather derivatives
• 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

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