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Search: subject:"Continuous Autoregressive Model"
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Weather derivatives
5
continuous autoregressive model
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risk premium
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Härdle, Wolfgang Karl
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López Cabrera, Brenda
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Benth, Fred
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Cabrera, Brenda López
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Cui, Kaijie
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Pricing of Asian temperature risk
López Cabrera, Brenda
-
2009
Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...
Persistent link: https://www.econbiz.de/10009467147
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2
Pricing of Asian temperature risk
Benth, Fred
;
Härdle, Wolfgang Karl
;
Cabrera, Brenda López
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2009
Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...
Persistent link: https://www.econbiz.de/10008479243
Saved in:
3
Implied Market Price of Weather Risk
Härdle, Wolfgang
;
Cabrera, Brenda López
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2009
derivatives, weather risk, weather forecasting, seasonality,
continuous
autoregressive
model
, stochastic variance, CAT index, CDD …
Persistent link: https://www.econbiz.de/10005677972
Saved in:
4
Pricing of Asian temperature risk
Benth, Fred
;
Härdle, Wolfgang Karl
;
López Cabrera, Brenda
-
2009
Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...
Persistent link: https://www.econbiz.de/10010270731
Saved in:
5
Implied market price of weather risk
Härdle, Wolfgang Karl
;
López Cabrera, Brenda
-
2009
Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...
Persistent link: https://www.econbiz.de/10010274151
Saved in:
6
Weather derivatives with applications to Canadian data
Sviščuk, Anatolij
;
Cui, Kaijie
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 81-95
Persistent link: https://www.econbiz.de/10010240221
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