Putting a price on temperature
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Publication:3608239
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)
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Cited in
(26)- Functional data analysis of generalized regression quantiles
- Risk Valuation of Quanto Derivatives on Temperature and Electricity
- Temperature modelling and pricing of temperature index insurance
- State price densities implied from weather derivatives
- Pricing weather derivatives with partial differential equations of the Ornstein-Uhlenbeck process
- Mid‐twenty‐first‐century projected trends in North American heating and cooling degree days
- A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
- Exploring the financial risk of a temperature index: a fractional integrated approach
- Stability and complexity analysis of temperature index model considering stochastic perturbation
- Temperature shocks and welfare costs
- Modeling and forecasting CAT and HDD indices for weather derivative pricing
- Putting a price tag on temperature
- Multivariate stochastic delay differential equations and CAR representations of CARMA processes
- Analysis and modelling of wind speed in New York
- A regime switching model for temperature modeling and applications to weather derivatives pricing
- Hedging of crop harvest with derivatives on temperature
- On non-negative modeling with CARMA processes
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation
- Weather derivatives pricing using regime switching model
- Simultaneous confidence bands for expectile functions
- Consistent factor models for temperature markets
- The pricing of cumulate growing degree day options with compounding items
- Weather derivatives and stochastic modelling of temperature
- Finite mixture approximation of CARMA(p,q) models
- The volatility of temperature and pricing of weather derivatives
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