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Weather derivatives for managing weather and climate risk in agriculture

Gyamerah, Samuel Asante; Ngare, Philip; Ikpe, Dennis - In: International journal of financial engineering 7 (2020) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10012603781

Expansion formulas for European quanto options in a local volatility FX-LIBOR model

Hok, Julien; Ngare, Philip; Papapantoleon, Antonis - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-43

Persistent link: https://www.econbiz.de/10011854564

Pricing basket weather derivatives on rainfall and temperature processes

Dzupire, Nelson Christopher; Ngare, Philip; Odongo, Leo - In: International Journal of Financial Studies : open … 7 (2019) 3/35, pp. 1-14

This paper follows an incomplete market pricing approach to analyze the evaluation of weather derivatives and the viability of a weather derivatives market in terms of hedging. A utility indifference method is developed for the specification of indifference prices for the seller and buyer of a...

Persistent link: https://www.econbiz.de/10012039713

Foreign exchange derivative pricing with stochastic correlation

Nabirye, Topilista; Ngare, Philip; Mungatu, Joseph - In: Journal of mathematical finance 6 (2016) 5, pp. 887-899

Persistent link: https://www.econbiz.de/10011658109