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 incomplete. This paper implements a pricing methodology for weather derivatives …

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this … statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel … statistical tools for assessing changes in weather risk over time. We apply local t-test, change point tests and Mann-Kendall test …

Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather … risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of … weather derivatives under default risk on the issuer side in over-the-counter markets. In our model, agents maximise the …

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on … nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as … each location) that allows the incorporation of meteorological forecasts in the framework of WD pricing. We study weather …

Due to dependency of energy demand on temperature, weather derivatives enable the effective hedging of temperature … related fluctuations. However, temperature varies in space and time and therefore the contingent weather derivatives also vary … example of Leipzig. -- risk premium ; weather derivatives ; Ornstein-Uhlenbeck process ; functional principal components …

Many industries are exposed to weather risk which they can transfer on financial markets via weather derivatives … multi-period equilibrium pricing model agents rebalance their portfolio of weather bonds and a risk free asset in each … period such that they maximize the expected utility of their incomes constituted by possibly weather dependent profits and …

prices does not hold in practice. As illustration, we calibrate the SPD for weather derivatives, a classical example of … incomplete mar- kets with financial contracts payoffs linked to non-tradable assets, namely, weather indices. Finally, we study … the dynamics of the implied SPD's and related to weather data. -- weather derivatives ; temperature derivatives ; HDD …