Some traders estimate precipitation derivatives to have a potential which increases even thatof temperature derivatives. Precipitation derivatives can be used both for hedging and marketingpurposes for a diverse number of possible end users. However, the complex way ofmeasuring precipitation,...

Underlyings of weather derivatives in Europe tend to be average temperaturecompared to heating (cooling) day in the USA because of a smaller volatility intemperature. The derivatives are priced using as burn analysis. Using a gas utilitycompany, hedging techniques are shown using temperature...

We investigate the pricing of convertible bonds on the French convertible bond market using dailymarket prices for a period of 18 months. Instead of a firm-value model as used in previous studies, weuse a stock-based binomial-tree model with exogenous credit risk that accounts for all...

Market frictions inhibit perfect replication of property derivatives and dene the property spreadas a price measure in the incomplete real estate market. We identify transaction costs, transactiontime and short sale constraints as the main frictions in this market. Based on these frictions,...

Changing noise levels have a severe impact on house prices and through the leveragein nancing on households wealth. This risk is essential for houses close to airportswith uncertain aircraft regimes. We design and calibrate real options based on aircraftnoise to hedge against noise risk. The...

We consider an homogeneous class of assets, whose returns are driven by an unobservablefactor. We derive approximated prediction and pricing formulas for the future factorvalues and their proxies, when the size n of the class is large. Up to order 1=n, these approximationsinvolve solely...

We develop a convenient structural framework for the joint model-ing of credit spreads, stock prices, stock options and basket creditderivatives, using a multivariate structural ¯rm value model withskewed asset returns. We show that our setting successfully addressesseveral empirical facts,...