Putting a price on temperature
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Publication:3608239
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Auctions, bargaining, bidding and selling, and other market models (91B26) Economic time series analysis (91B84)
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Cited in
(26)- Putting a price tag on temperature
- Stability and complexity analysis of temperature index model considering stochastic perturbation
- Simultaneous confidence bands for expectile functions
- Temperature shocks and welfare costs
- Pricing weather derivatives with partial differential equations of the Ornstein-Uhlenbeck process
- Weather derivatives pricing using regime switching model
- Hedging of crop harvest with derivatives on temperature
- Temperature modelling and pricing of temperature index insurance
- Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation
- A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
- Multivariate stochastic delay differential equations and CAR representations of CARMA processes
- Exploring the financial risk of a temperature index: a fractional integrated approach
- A regime switching model for temperature modeling and applications to weather derivatives pricing
- On non-negative modeling with CARMA processes
- Consistent factor models for temperature markets
- The pricing of cumulate growing degree day options with compounding items
- Modeling and forecasting CAT and HDD indices for weather derivative pricing
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- State price densities implied from weather derivatives
- Finite mixture approximation of CARMA(p,q) models
- Analysis and modelling of wind speed in New York
- The volatility of temperature and pricing of weather derivatives
- Functional data analysis of generalized regression quantiles
- Mid‐twenty‐first‐century projected trends in North American heating and cooling degree days
- Weather derivatives and stochastic modelling of temperature
- Risk Valuation of Quanto Derivatives on Temperature and Electricity
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