Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
Year of publication: |
2005
|
---|---|
Authors: | Benth, Fred Espen ; Saltyte-Benth, Jurate |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 12.2005, 1, p. 53-85
|
Publisher: |
Taylor & Francis Journals |
Subject: | Temperature modelling | stochastic processes | Levy processes | mean-reversion | seasonality | fractionality | temperature futures and options |
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