Weather derivatives and stochastic modelling of temperature
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Publication:638030
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Cites work
- scientific article; zbMATH DE number 3875591 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- A fair pricing approach to weather derivatives
- Lévy-driven CARMA processes
- Modelling the Temperature Time‐dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On modelling and pricing weather derivatives
- Putting a price on temperature
- Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
- Stochastic modeling of electricity and related markets.
- Temperature stochastic modeling and weather derivatives pricing: empirical study with Morrocan data
- The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets
- The volatility of temperature and pricing of weather derivatives
- Weather Forecasting for Weather Derivatives
Cited in
(37)- Adaptive estimation of intensity in a doubly stochastic Poisson process
- Temperature modelling and pricing of temperature index insurance
- A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
- Exploring the financial risk of a temperature index: a fractional integrated approach
- Forecasting temperature indices density with time-varying long-memory models
- Putting a price on temperature
- On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
- Robust portfolio selection problem under temperature uncertainty
- Option pricing of weather derivatives for Seoul
- Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing
- Lévy process based Ornstein-Uhlenbeck temperature model with time varying speed of mean reversion
- A Lévy-driven rainfall model with applications to futures pricing
- Pricing Quanto Options in Renewable Energy Markets
- Weather Forecasting for Weather Derivatives
- Modeling and pricing precipitation derivatives under weather forecasts
- Stochastic perturbation in meteorology
- Modeling and forecasting CAT and HDD indices for weather derivative pricing
- An extension of spatial dependence models for estimating short-term temperature portfolio risk
- Putting a price tag on temperature
- A regime switching model for temperature modeling and applications to weather derivatives pricing
- Uncertainty and robustness in weather derivative models
- Estimating interannual variability arising from weather events
- Temperature models for pricing weather derivatives
- Applications to weather derivatives and energy contracts
- A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
- Weather derivatives pricing using regime switching model
- On modelling and pricing weather derivatives
- Modeling and pricing in financial markets for weather derivatives
- Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
- Stochastic modeling of stratospheric temperature
- Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
- Regime-switching temperature dynamics model for weather derivatives
- The implied market price of weather risk
- Consistent factor models for temperature markets
- Temperature stochastic modeling and weather derivatives pricing: empirical study with Morrocan data
- Pricing and hedging of temperature derivatives in a model with memory
- The volatility of temperature and pricing of weather derivatives
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