Putting a price on temperature
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Publication:3608239
zbMATH Open1164.62077MaRDI QIDQ3608239FDOQ3608239
Steen Koekebakker, J. Saltyte, Fred Espen Benth
Publication date: 28 February 2009
Recommendations
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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 (19)
- 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
- Simultaneous confidence bands for expectile functions
- Mid‐twenty‐first‐century projected trends in North American heating and cooling degree days
- Stability and complexity analysis of temperature index model considering stochastic perturbation
- Analysis and modelling of wind speed in New York
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- On non-negative modeling with CARMA processes
- Finite Mixture Approximation of CARMA(p,q) Models
- Temperature shocks and welfare costs
- Temperature modelling and pricing of temperature index insurance
- Modeling and Forecasting CAT and HDD Indices for Weather Derivative Pricing
- 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
- 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
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