We review the relations between adjoints of stochastic control problems with the derivative of the value function, and …

uncertainty. Using the theory of (reflected) backward stochastic differential equations we are able to solve the optimal stopping … the analysis of exotic American options we highlight the main difference to classical single prior models. This is …

On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In …

The importance of weather as a production factor in agriculture is well established long time and a significant portion … of yield fluctuations is caused by weather risks. Traditionally, farmers have tried to hedge against unfavorable weather … using insurance, such as crop insurance. In recent years a new class of instruments, so called weather derivatives, have …

analyse new risk management instruments. This paper investigates weather derivatives for which a market has already emerged in … the USA. Contrary to traditional financial derivatives, their payoff is determined by future weather events, such as … impacts of weather derivatives and to assess their potential as farm level instruments of risk management. After outlining the …

Mellin transforms in option pricing theory were introduced by Panini and Srivastav (2004). In this contribution, we …