Modeling and Forecasting CAT and HDD Indices for Weather Derivative Pricing

DOI10.1007/978-3-642-03969-0_20zbMath1180.62195OpenAlexW2152872427MaRDI QIDQ3405741

Achilleas D. Zapranis, Antonis Alexandridis

Publication date: 11 February 2010

Published in: Engineering Applications of Neural Networks (Search for Journal in Brave)

Full work available at URL: https://kar.kent.ac.uk/29257/1/2011-NC%26A%20-%20Authors.pdf

zbMATH Keywords

forecastingpricingweather derivativeswavelet networks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12) Microeconomic theory (price theory and economic markets) (91B24) Numerical methods for wavelets (65T60) Neural nets and related approaches to inference from stochastic processes (62M45)

Related Items (4)

A path-independent method for barrier option pricing in hidden Markov models ⋮ Weather derivatives pricing using regime switching model ⋮ Wavelet neural networks: a practical guide ⋮ LÉVY PROCESS BASED ORNSTEIN-UHLENBECK TEMPERATURE MODEL WITH TIME VARYING SPEED OF MEAN REVERSION

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