Mitigating geographical basis risk of weather derivatives using spatial-temporal regime-switching temperature model

DOI10.3934/math.2019.4.1274zbMath1484.91478OpenAlexW2970538882MaRDI QIDQ2127833

Philip Ngare, Dennis Ikpe, Samuel Asante Gyamerah

Publication date: 21 April 2022

Published in: AIMS Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/math.2019.4.1274

zbMATH Keywords

regime-switching modelweather derivativesspatial-temporal modelagriculture risk managementgeographical basis risk

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Generalized stochastic processes (60G20) Derivative securities (option pricing, hedging, etc.) (91G20) Meteorology and atmospheric physics (86A10)

Cites Work

• Regime-switching temperature dynamics model for weather derivatives
• A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
• On modelling and pricing weather derivatives
• A Spatial-temporal Model for Temperature with Seasonal Variance
• Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives

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