Weather derivatives and stochastic modelling of temperature
DOI10.1155/2011/576791zbMATH Open1229.91298OpenAlexW2111992602WikidataQ58688923 ScholiaQ58688923MaRDI QIDQ638030FDOQ638030
Authors: Fred Espen Benth, J. Saltyte 
Publication date: 8 September 2011
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2011/576791
Recommendations
Ornstein-Uhlenbeck processstochastic volatilityweather derivativescumulative average temperaturefutures contractstemperature dynamics
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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- Putting a price on temperature
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- Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
- Temperature stochastic modeling and weather derivatives pricing: empirical study with Morrocan data
Cited In (23)
- Weather Forecasting for Weather Derivatives
- Putting a price on temperature
- LÉVY PROCESS BASED ORNSTEIN-UHLENBECK TEMPERATURE MODEL WITH TIME VARYING SPEED OF MEAN REVERSION
- A regime switching model for temperature modeling and applications to weather derivatives pricing
- Stochastic perturbation in meteorology
- Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
- Putting a price tag on temperature
- On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
- A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures
- Robust portfolio selection problem under temperature uncertainty
- Modeling and forecasting CAT and HDD indices for weather derivative pricing
- Pricing and hedging of temperature derivatives in a model with memory
- Adaptive estimation of intensity in a doubly stochastic Poisson process
- Estimating interannual variability arising from weather events
- Applications to weather derivatives and energy contracts
- Stochastic modeling of stratospheric temperature
- Pricing Quanto Options in Renewable Energy Markets
- Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
- Temperature stochastic modeling and weather derivatives pricing: empirical study with Morrocan data
- A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
- On modelling and pricing weather derivatives
- The volatility of temperature and pricing of weather derivatives
- Consistent factor models for temperature markets
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