Putting a price on temperature

zbMATH Open1164.62077MaRDI QIDQ3608239FDOQ3608239

Authors: Fred Espen Benth, J. Saltyte, Steen Koekebakker 

Publication date: 28 February 2009

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zbMATH Keywords

Samuelson effecttemperature derivativescontinuous time autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cited In (26)

• A regime switching model for temperature modeling and applications to weather derivatives pricing
• Pricing weather derivatives with partial differential equations of the Ornstein-Uhlenbeck process
• Putting a price tag on temperature
• Simultaneous confidence bands for expectile functions
• Mid‐twenty‐first‐century projected trends in North American heating and cooling degree days
• Weather derivatives pricing using regime switching model
• Modeling and forecasting CAT and HDD indices for weather derivative pricing
• Stability and complexity analysis of temperature index model considering stochastic perturbation
• Analysis and modelling of wind speed in New York
• Exploring the financial risk of a temperature index: a fractional integrated approach
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Hedging of crop harvest with derivatives on temperature
• On non-negative modeling with CARMA processes
• The pricing of cumulate growing degree day options with compounding items
• Temperature shocks and welfare costs
• Temperature modelling and pricing of temperature index insurance
• Weather derivatives and stochastic modelling of temperature
• State price densities implied from weather derivatives
• Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation
• Finite mixture approximation of CARMA(p,q) models
• Risk Valuation of Quanto Derivatives on Temperature and Electricity
• Functional data analysis of generalized regression quantiles
• A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
• Multivariate stochastic delay differential equations and CAR representations of CARMA processes
• The volatility of temperature and pricing of weather derivatives
• Consistent factor models for temperature markets

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