PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
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Cites work
- A general stochastic calculus approach to insider trading
- A Maximum Principle for Stochastic Control with Partial Information
- Applied stochastic control of jump diffusions
- Consistent factor models for temperature markets
- Dynamical pricing of weather derivatives
- Financial Modelling with Jump Processes
- Hedging of Spatial Temperature Risk with Market-Traded Futures
- scientific article; zbMATH DE number 4096511 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Mathematical methods for financial markets.
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
- Modeling and pricing in financial markets for weather derivatives
- Modeling and pricing precipitation derivatives under weather forecasts
- Models for Insider Trading with Finite Utility
- On modelling and pricing weather derivatives
- Optimal portfolio for an insider in a market driven by Lévy processes§
- Risk minimization in financial markets modeled by Itô-Lévy processes
- Stochastic modeling of electricity and related markets.
- Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
- The volatility of temperature and pricing of weather derivatives
Cited in
(17)- Hedging of crop harvest with derivatives on temperature
- A new approach to wind power futures pricing
- Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas
- Optimal equivalent probability measures under enlarged filtrations
- Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market
- A fair pricing approach to weather derivatives
- Modeling and pricing precipitation derivatives under weather forecasts
- Consistent factor models for temperature markets
- Hedging of Spatial Temperature Risk with Market-Traded Futures
- Pricing portfolios of contracts on cumulative temperature with risk premium determination
- Pricing and hedging of derivatives based on nontradable underlyings
- Dynamical pricing of weather derivatives
- Explicit representations for utility indifference prices
- Enlarged filtrations and indistinguishable processes
- Temperature stochastic modeling and weather derivatives pricing: empirical study with Morrocan data
- Pricing and hedging of temperature derivatives in a model with memory
- A stochastic maximum principle for CBI processes
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