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Weather risk swap valuation

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An implementation of the HJM model with application to Japanese interest futures

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Testing Gaussianity and linearity of Japanese stock returns

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An extensive analysis on the Japanese markets via S. Taylor's model

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Weather risk swap valuation

Kariya, Takeaki - In: Managerial Finance 37 (2011) October, pp. 995-1010

Purpose – In June of 2001, Tokyo Electric Power Company (TEPCO) and Tokyo Gas Supply Company (TGSC) made a zero-cost risk swap contract on the average temperature of August and September of 2001 in Tokyo for their adverse situations. This is an exchange of two options on the average...

Persistent link: https://www.econbiz.de/10010814868