Consistent factor models for temperature markets

DOI10.1142/S0219024912500276MaRDI QIDQ2909512zbMATH OpenOpenAlexFDO

Authors Philipp Hell, Thilo Meyer-Brandis, Thorsten Rheinländer

Publication date 30 August 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024912500276

zbMATH Keywords

consistencyfactor modelspricing and hedgingtemperature derivativestemperature marketstemperature models

Mathematics Subject Classification ID

Meteorology and atmospheric physics (86A10) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Weather derivatives and stochastic modelling of temperature
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• On modelling and pricing weather derivatives
• A fair pricing approach to weather derivatives
• Putting a price on temperature

Cites work

• A fair pricing approach to weather derivatives
• On modelling and pricing weather derivatives
• Term-structure models. A graduate course
• The volatility of temperature and pricing of weather derivatives
• Weather Forecasting for Weather Derivatives

Cited in

(5)

• Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation
• Putting a price on temperature
• On modelling and pricing weather derivatives
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• Pricing and hedging of temperature derivatives in a model with memory

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