Optimal hedging of prediction errors using prediction errors

DOI10.1007/S10690-008-9069-XMaRDI QIDQ945039zbMATH OpenOpenAlexFDO

Authors Yuji Yamada

Publication date 10 September 2008

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://tsukuba.repo.nii.ac.jp/record/41141/files/APFM_15-1.pdf

zbMATH Keywords

Minimum variance hedgeNon-parametric regressionPrediction errorsWeather derivativesWind power energy

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Stochastic models in economics (91B70)

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Cites work

• A fair pricing approach to weather derivatives
• Generalized additive models. An introduction with R.
• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• Introduction to Nonparametric Regression

Cited in

(4)

• Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data
• Risk management of renewable power producers from co-dependencies in cash flows
• Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market
• Properties of optimal smooth functions in additive models for hedging multivariate derivatives

Describes a project that uses

Uses Software

• gamair

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