We propose a pure jump precipitation model embedded in an enlarged filtration framework accounting for weather forecasts. Under different anticipative approaches, we define precipitation swap/futures prices and also introduce the notion of an ‘information premium'. In contrast to other models...

We derive risk-neutral option price formulas for plain-vanilla temperature futures derivatives on the basis of several multi-factor Ornstein-Uhlenbeck temperature models which allow for seasonality in the mean level and volatility. Our main innovation consists in an incorporation of omnipresent...

We investigate the pricing of temperature derivatives under weather forecasts modeled by enlarged filtrations. We also treat option pricing and optimal portfolio selection in temperature markets with future information. We finally prove an anticipative sufficient stochastic minimum principle and...