In this work we conduct a study on the calibration of futures contracts on temperature indices. We consider a continuous-time autoregressive dynamics for the deseasonalized temperatures and a pricing measure allowing for a simultaneous change of the level and speed of mean reversion in the risk...

One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with stochastic interest rates to obtain the risk-free...