Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

In this paper we introduce a new way to estimate the spot volatility of high frequency foreign exchange data using the Hilbert-Huang Transform. We also propose and test a consistent spot volatility estimate in the presence of microstructure noise. The problem of assessing the validity of latent...