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Mean Reversion Models for Weather Derivatives [PDF]

Weather derivatives are a new type of financial contract that derive their value from weather measurements over the period of the contract. In this thesis we focus on temperature-based Cooling Degree Day (CDD) and Heating Degree Day (HDD) contracts, developing continuous time stochastic mean reversion models for temperature based on the Ornstein ...
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Weather derivatives to mitigate meteorological risks in tourism management: An empirical application to celebrations of Comunidad Valenciana (Spain)

Tourism Economics, 2021
Andrea Martinez Salgueiro, Maria-Antonia Tarrazon-Rodon   +1 more
exaly  

Minimizing the impact of geographical basis risk on weather derivatives

Annals of Operations Research, 2023
Enrico Moretto, Pierpaolo Uberti
exaly  

Pricing Weather Derivatives

2007
ABSTRACT Weather makes influence on our daily lives and choices and has substantial impact on corporate revenues and earnings. The impact of weather on business activities is significant and varies both geographically and seasonally. Almost every industry is affected by the weather, among which is agriculture, energy, entertainment, travel ...
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Weather derivatives market: The Italian case

2012
Weather derivatives market: The Italian ...
Piovani G., TORLUCCIO, GIUSEPPE, COTUGNO, MATTEO   +2 more
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Weather Derivatives

2013
Antonis Alexandridis K., Achilleas D. Zapranis   +1 more
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Pricing weather derivatives

2013
Weather Derivatives were first introduced in the USA in 1997 and their creation was driven by the need of companies whose revenues were related to weather fluctuations to hedge against the risk of unwanted weather conditions. Weather Derivatives belong to a different class of derivatives as their underly¬ing asset (weather) is not tradable and this ...
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Extracting pricing densities for weather derivatives using the maximum entropy method

Journal of the Operational Research Society, 2021
Antonios K Alexandridis, Henryk Gzyl, Enrique Ter Horst   +2 more
exaly  

On modelling and pricing weather derivatives

Applied Mathematical Finance, 2002
Boualem Djehiche
exaly  

Weather derivatives and the weather derivatives market

2005
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