Pricing and hedging of temperature derivatives in a model with memory
type: Item
instance of: scholarly article
title: Pricing and hedging of temperature derivatives in a model with memory
zbMATH Open document ID: 1542.91394
author: Markus Heß
published in: International Journal of Theoretical and Applied Finance
publication date: 2024-08-14T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 7896869
zbMATH Keywords: temperature futures pricing
zbMATH Keywords: temperature forecast curve
zbMATH Keywords: minimal variance hedging
zbMATH Keywords: generalized Langevin equation
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: Lévy process
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: Clark-Ocone formula
zbMATH Keywords: stochastic maximum principle
zbMATH Keywords: Fourier/Laplace transform
MaRDI profile type: Publication
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DOI: 10.1142/S0219024923500310
description: scientific article; zbMATH DE number 7896869