PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
DOI10.1142/S0219024918500310zbMATH Open1396.91734OpenAlexW2807956517WikidataQ129724702 ScholiaQ129724702MaRDI QIDQ4584698FDOQ4584698
Publication date: 4 September 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500310
option pricingOrnstein-Uhlenbeck processstochastic differential equationstochastic controloptimal portfolio selectionstochastic minimum principleweather forecastminimal variance hedginginformation premiumenlarged filtrationCAT futurestemperature derivative
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Financial Modelling with Jump Processes
- Title not available (Why is that?)
- A Maximum Principle for Stochastic Control with Partial Information
- Applied stochastic control of jump diffusions
- Mathematical methods for financial markets.
- Title not available (Why is that?)
- On modelling and pricing weather derivatives
- Risk minimization in financial markets modeled by Itô-Lévy processes
- Models for Insider Trading with Finite Utility
- A general stochastic calculus approach to insider trading
- Optimal portfolio for an insider in a market driven by Lévy processes§
- The volatility of temperature and pricing of weather derivatives
- Modeling and Pricing in Financial Markets for Weather Derivatives
- Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
- Dynamical pricing of weather derivatives
- Hedging of Spatial Temperature Risk with Market-Traded Futures
- Modeling and pricing precipitation derivatives under weather forecasts
- Consistent factor models for temperature markets
- Title not available (Why is that?)
Cited In (11)
- A fair pricing approach to weather derivatives
- Pricing and hedging of temperature derivatives in a model with memory
- Optimal equivalent probability measures under enlarged filtrations
- Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas
- Enlarged filtrations and indistinguishable processes
- Hedging of Spatial Temperature Risk with Market-Traded Futures
- Temperature stochastic modeling and weather derivatives pricing: empirical study with Morrocan data
- A new approach to wind power futures pricing
- Pricing portfolios of contracts on cumulative temperature with risk premium determination
- Dynamical pricing of weather derivatives
- Explicit Representations for Utility Indifference Prices
Recommendations
- Temperature models for pricing weather derivatives 👍 👎
- The volatility of temperature and pricing of weather derivatives 👍 👎
- Dynamical pricing of weather derivatives 👍 👎
- Pricing Weather Derivatives Using the Indifference Pricing Approach 👍 👎
- Modeling and Pricing in Financial Markets for Weather Derivatives 👍 👎
- On modelling and pricing weather derivatives 👍 👎
- Pricing weather derivatives by marginal value 👍 👎
- Temperature stochastic modeling and weather derivatives pricing: empirical study with Morrocan data 👍 👎
- Modeling and pricing precipitation derivatives under weather forecasts 👍 👎
- Weather derivatives pricing using regime switching model 👍 👎
This page was built for publication: PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4584698)
