Results 271 to 280 of about 9,971 (304)

Weather Derivative Valuation

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, Anders Brix, Christine Ziehmann   +2 more
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Alternative approaches to weather derivatives pricing

Managerial Finance, 2005
The 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, Leonardi, Marie-Pascale   +1 more
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Weather derivatives for managing weather and climate risk in agriculture

International Journal of Financial Engineering, 2020
In this paper, we develop a pricing model for weather derivatives at a single location and multiple locations. In the first model, a Lévy regime-switching temperature model for a single location is used to price futures written on cumulative average temperature and growing degree-days indices at a single location.
Samuel Asante Gyamerah, Philip Ngare, Dennis Ikpe   +2 more
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Option Pricing of Weather Derivatives for Seoul

East Asian Journal on Applied Mathematics, 2012
Summary: This article analyses temperature data for Seoul based on a well defined daily average temperature (DAT) derived from records dating from 1954 to 2009, and considers related weather derivatives using a previous methodology. The temperature data exhibit some quite distinctive features, compared to other cities that have been considered before ...
Kim, Jiwoon, Sheen, Dongwoo, Shin, Sungwon   +2 more
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The Weather Derivatives Market

2012
In 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, Achilleas D. Zapranis   +1 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, Laura Gabriela Constantin   +1 more
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Weather derivatives valuation and market price of weather risk

Journal of Futures Markets, 2004
AbstractThis 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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Weather Derivatives and Weather Risk Management

Risk Management and Insurance Review, 2005
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, Mulong Wang, Chuanhou Yang   +2 more
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Weather profits: Weather derivatives and the commercialization of meteorology

Social Studies of Science, 2010
While many scholars researching the commercialization of science focus on biomedicine, this paper explores the changing commercial frameworks for meteorology in the UK and the US. The organization of meteorology in both countries increasingly reflects a political—economic approach that treats science as an economic entity in which market-based criteria
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Uncertainty and Robustness in Weather Derivative Models

2016
Pricing of weather derivatives often requires a model for the underlying temperature process that can characterize the dynamic behavior of daily average temperatures. The comparison of different stochastic models with a different number of model parameters is not an easy task, especially in the absence of a liquid weather derivatives market.
Ahmet Göncü, Yaning Liu, Giray Ökten, M. Yousuff Hussaini   +3 more
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