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Weather Derivative Pricing with Nonlinear Weather Forecasting
SSRN Electronic Journal, 2012In recent years we witnessed a rapid growth of weather derivatives market. These derivatives are used to hedge energy contracts and distribute weather risk. While most derivative markets are complete and contingent climes replications are standard procedure, this special market is incomplete, and therefore modeling the weather is a more appropriate ...
Gal Zahavi, Yaron Rosenstein
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2004
This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for cooling degree day weather options.
Richards, Timothy J. +5 more
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This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for cooling degree day weather options.
Richards, Timothy J. +5 more
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2005
Originally published in 2005, Weather Derivative Valuation covers all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather derivatives, the modelling and valuation ...
Stephen Jewson +2 more
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Originally published in 2005, Weather Derivative Valuation covers all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather derivatives, the modelling and valuation ...
Stephen Jewson +2 more
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Alternative approaches to weather derivatives pricing
Managerial Finance, 2005The goal of the paper is to analyse the various issues attached to the valuation of weather derivatives. We focus our study on temperature‐related contracts since they are the most widely traded at this point and try to address the following questions: (i) should the quantity underlying the swaps or options contracts be defined as the temperature ...
Geman, Hélyette +1 more
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Pricing Temperature Derivatives under Weather Forecasts
SSRN Electronic Journal, 2018We investigate the pricing of temperature derivatives under weather forecasts modeled by initially enlarged filtrations. For this purpose, we introduce a mean-reverting temperature model with seasonality and derive expressions for the so-called forward temperature.
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Weather derivatives are a relatively recent kind of financial product developed to manage weather risks, and currently the weather derivatives market is the fastest‐growing derivative market. The development of weather derivatives represents one of the recent trends toward the convergence of insurance and finance.
Patrick L. Brockett +2 more
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Several Aspects Regarding Weather and Weather Derivatives [PDF]
Romanian Economic Journal, 2008 In recent years, one of the factors that had a significant impact on the economic development was represented by climatic change. At international level, the weather risk management stands for a priority for Governments, insurance companies and companies within the industries affected by the weather variability. Within this article, we try to address a
Gheorghe Hurduzeu +1 more
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Weather derivatives valuation and market price of weather risk
Journal of Futures Markets, 2004AbstractThis paper has two objectives: (1) to propose and implement a valuation framework for temperature derivatives (a specific class of weather derivatives); and (2) to study the significance of the market price of weather risk. The objectives are accomplished by generalizing the Lucas model of 1978 to include the weather as another fundamental ...
Melanie Cao, Jason Wei
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The Weather Derivatives Market
2012In this chapter, the various aspects of the weather market are discussed. The applications and purpose of weather derivatives will be presented. Our aim is to analyze the weather market and emphasize in the factors that restrain the weather market to further evolve. At the end of the chapter, an outline of the book is given.
Antonis K. Alexandridis +1 more
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Visualizing Weather Financial Impact on Industries and Weather Derivatives
2019 IEEE Long Island Systems, Applications and Technology Conference (LISAT), 2019With the accelerating generation of enormous datasets, data processing tools are also increasing in computational efficiency as well as accuracy. Along with data mining and clustering techniques, tools that enable data visualization are also becoming mainstream mechanisms for extracting the maximum available useful information out of data.
Inga Bondarenko +2 more
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