State price densities implied from weather derivatives

DOI10.1016/J.INSMATHECO.2015.05.001MaRDI QIDQ495457zbMATH OpenOpenAlexFDO

Authors Brenda López-Cabrera, Huei-Wen Teng, Wolfgang K. Härdle

Publication date 14 September 2015

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2013-026.pdf

zbMATH Keywords

Bayesianstate price densityquadratureweather derivativesCDDdata sparsityHDDtemperature derivatives

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 994407 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Density functionals, with an option-pricing application
• Dynamics of state price densities
• Mixtures of \(t\)-distributions for finance and forecasting
• Nonparametric and semiparametric models.
• Nonparametric option pricing under shape restrictions
• Nonparametric risk management and implied risk aversion
• Nonparametric state price density estimation using constrained least squares and the bootstrap
• On Monte Carlo methods for estimating ratios of normalizing constants
• Option pricing with model-guided nonparametric methods
• Putting a price on temperature
• State price density estimation via nonparametric mixtures
• The implied market price of weather risk

Cited in

(3)

• Application of Extended Kalman Filter to SPD Estimation
• Index options and volatility derivatives in a Gaussian random field risk-neutral density model
• Dynamics of state price densities

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