Optimal hedging of prediction errors using prediction errors

DOI10.1007/s10690-008-9069-xzbMath1151.91582OpenAlexW2008075565MaRDI QIDQ945039

Yuji Yamada

Publication date: 10 September 2008

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://tsukuba.repo.nii.ac.jp/record/41141/files/APFM_15-1.pdf

zbMATH Keywords

Non-parametric regressionMinimum variance hedgePrediction errorsWeather derivativesWind power energy

Mathematics Subject Classification ID

Related Items (3)

Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market ⋮ Properties of optimal smooth functions in additive models for hedging multivariate derivatives ⋮ Risk management of renewable power producers from co-dependencies in cash flows

Uses Software

• gamair

Cites Work

• A fair pricing approach to weather derivatives
• Introduction to Nonparametric Regression
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