Putting a price tag on temperature

DOI10.1007/S10287-017-0291-8MaRDI QIDQ1616809zbMATH OpenOpenAlexFDO

Authors Heng Xiong, Rogemar Mamon

Publication date 7 November 2018

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-017-0291-8

zbMATH Keywords

change of reference probability measurefilteringmaximum likelihoodonline parameter estimationregime-switching modeltemperature-based derivatives

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of statistics to actuarial sciences and financial mathematics (62P05) Meteorology and atmospheric physics (86A10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
• An examination of HMM-based investment strategies for asset allocation
• Asymptotic Statistics
• Exact adaptive filters for Markov chains observed in Gaussian noise
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
• New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
• On modelling and pricing weather derivatives
• Pricing weather derivatives by marginal value
• Probability and random processes.
• Risk measurement of a guaranteed annuity option under a stochastic modelling framework
• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
• The pricing of credit default swaps under a Markov-modulated Merton's structural model
• Weather derivatives and stochastic modelling of temperature
• Weather Forecasting for Weather Derivatives

Cited in

(8)

• Online estimation for a predictive analytics platform with a financial-stability-analysis application
• Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
• Time-varying Markov models for binary temperature series in agrorisk management
• Modelling temperatures in Shanghai using fractional Brownian motion
• Lévy process based Ornstein-Uhlenbeck temperature model with time varying speed of mean reversion
• Option pricing of weather derivatives for Seoul
• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
• Weather Forecasting for Weather Derivatives

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