Weather derivatives provide better risk management alternatives for industries, which are exposed to weather-based risks. Dynamic pricing of weather derivatives requires a suitable underlying temperature model. This paper is the first to model the average daily temperatures and prices of...

In this paper, we utilize a mean reverting stochastic process to model the dynamic behaviour of natural gas consumption, where a Brownian motion drives the noise. We employ daily data on natural gas consumption from Istanbul, Turkey to estimate our model and evaluate the forecast performance by...