We propose an approach for pricing and hedging weather derivatives based on including forward looking information about the temperature available to the market. This is achieved by modeling temperature forecasts by a finite dimensional factor model. Temperature dynamics are then inferred in the...

We study the behavior of the long-term yield in a HJM setting for forward rates driven by Lévy processes. The long-term rates are investigated by examining continuously compounded spot rate yields with maturity going to infinity. In this paper, we generalize the model of Karoui et al. (1997) by...

In this paper, we generalize the approach of Hinz & Wilhelm (2006), Pricing flow commodity derivatives using fixed income market techniques. International Journal of Theoretical and Applied Finance 9, 1299–1321, replacing in the dynamics of the asset prices the Brownian motion by a more...

This paper provides a new approach for modeling and calculating premiums for unemployment insurance products. The innovative modeling concept consists of combining the benchmark approach with its real-world pricing formula and Markov chain techniques in a doubly stochastic setting. We describe...

In this paper, we first study the problem of minimal hedging for an insider trader in incomplete markets. We use the forward integral in order to model the insider portfolio and consider a general larger filtration. We characterize the optimal strategy in terms of a martingale condition. In the...