PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS (Q4584698): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Created claim: Wikidata QID (P12): Q129724702, #quickstatements; #temporary_batch_1726354825270
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: On modelling and pricing weather derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Maximum Principle for Stochastic Control with Partial Information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging of Spatial Temperature Risk with Market-Traded Futures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: The volatility of temperature and pricing of weather derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling and Pricing in Financial Markets for Weather Derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3521355 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general stochastic calculus approach to insider trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: MINIMAL VARIANCE HEDGING FOR INSIDER TRADING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamical pricing of weather derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio for an insider in a market driven by Lévy processes§ / rank
 
Normal rank
Property / cites work
 
Property / cites work: CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: MODELING AND PRICING PRECIPITATION DERIVATIVES UNDER WEATHER FORECASTS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mathematical methods for financial markets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Models for Insider Trading with Finite Utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applied stochastic control of jump diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk minimization in financial markets modeled by Itô-Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3822942 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1142/s0219024918500310 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2807956517 / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q129724702 / rank
 
Normal rank

Latest revision as of 01:14, 15 September 2024

scientific article; zbMATH DE number 6931440
Language Label Description Also known as
English
PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
scientific article; zbMATH DE number 6931440

    Statements

    PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS (English)
    0 references
    0 references
    4 September 2018
    0 references
    temperature derivative
    0 references
    CAT futures
    0 references
    weather forecast
    0 references
    option pricing
    0 references
    optimal portfolio selection
    0 references
    information premium
    0 references
    minimal variance hedging
    0 references
    enlarged filtration
    0 references
    Ornstein-Uhlenbeck process
    0 references
    stochastic differential equation
    0 references
    stochastic minimum principle
    0 references
    stochastic control
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references