Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
From MaRDI portal
Publication:3523660
DOI10.1080/13504860802006065zbMath1142.91575OpenAlexW2009187819MaRDI QIDQ3523660
No author found.
Publication date: 5 September 2008
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://kar.kent.ac.uk/29256/1/2008-AMF-pre.pdf
Neural networks for/in biological studies, artificial life and related topics (92B20) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Derivative securities (option pricing, hedging, etc.) (91G20) Meteorology and atmospheric physics (86A10)
Related Items (17)
Putting a price tag on temperature ⋮ Stochastic modeling of stratospheric temperature ⋮ Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion ⋮ Mid‐twenty‐first‐century projected trends in North American heating and cooling degree days ⋮ Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing ⋮ Weather derivatives and stochastic modelling of temperature ⋮ Weather Derivative Risk Measures for Extreme Events ⋮ On Modelling and Pricing Rainfall Derivatives with Seasonality ⋮ Hedging of Spatial Temperature Risk with Market-Traded Futures ⋮ Weather derivatives pricing using regime switching model ⋮ Hedging of crop harvest with derivatives on temperature ⋮ On the generalization of logarithmic upper function for solution of a linear stochastic differential equation with a nonexponentially stable matrix ⋮ Wavelet neural networks: a practical guide ⋮ A regime switching model for temperature modeling and applications to weather derivatives pricing ⋮ LÉVY PROCESS BASED ORNSTEIN-UHLENBECK TEMPERATURE MODEL WITH TIME VARYING SPEED OF MEAN REVERSION ⋮ Modeling and Forecasting CAT and HDD Indices for Weather Derivative Pricing ⋮ Temperature models for pricing weather derivatives
This page was built for publication: Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
