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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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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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Uncertainty and Robustness in Weather Derivative Models
2016Pricing 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 +3 more
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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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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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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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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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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
2012Weather derivatives market: The Italian ...
Piovani G. +2 more
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