Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas

DOI10.1007/S10479-019-03442-5MaRDI QIDQ2241102zbMATH OpenOpenAlexFDO

Authors Simona Franzoni, Cristian Pelizzari

Publication date 8 November 2021

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-019-03442-5

zbMATH Keywords

risk managementMonte Carlo techniquesrainfall optionsrainfall riskweather-sensitive hospitality firms

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• An introduction to copulas. Properties and applications
• Assessing and hedging the cost of unseasonal weather: case of the apparel sector
• Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization
• Exploring the financial risk of a temperature index: a fractional integrated approach
• Modeling and pricing in financial markets for weather derivatives
• On modelling and pricing weather derivatives
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• Spatial dependencies of wind power and interrelations with spot price dynamics
• Weather derivatives pricing using regime switching model

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