risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of …

by the pricing kernel (PK). In this paper we investigate pricing kernels from DAX and ODAX data in a time varying … approach and consider their term structure. In order to approximate and analyse the complex dynamic structure from pricing … investors preferences is investigated through sensitivity analysis with respect to the basis functions. In the sequel pricing …

This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for …

Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of … implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing … known as volatility smiles or smirks that contradict the assumption of constant volatility in the BS pricing model. On the …

. The weather derivative market is therefore incomplete. This paper implements a pricing methodology for weather derivatives … derivatives. We infer the implied market price from Berlin cumulative monthly temperature futures that are traded at the Chicago …

parameter of the associated equivalent martingale measures used to price and hedge weather futures/options in the market. The … temperature futures presents a modified Samuelson effect. In order to achieve normality in standardized residuals, the seasonal …. By calibrating model prices, we implied the MPR from Cumulative total of 24-hour average temperature futures (C24AT) for …

pricing procedure based on the Gaussian distribution. -- CDO ; CDS ; multivariate distributions ; Copulae ; correlation smile …