accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors. -- Weather …On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In … order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for …

weather derivative market does not exist. The findings support theoretical results of reverse relation between MPR and …Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded … and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important …

negative financial consequences of weather-related risks. We examine the effectiveness of using this basis derivative strategy … or RMS weather indices, and whether using linear or nonlinear derivative instruments. It is also found that the RMS … nonlinear hedging instruments for weather risk management can vary significantly depending on the region of the country. In …

I examine the impact of financial sector stress on risk sharing in a novel setting: the CME's weather derivatives … financial sector stress, the risk premium on futures and implied volatility of options increase significantly. The effects are … greatest for high margin and high total risk contracts. Consistent with a decline in the supply of financial capital during …

robust optimal control problem under model uncertainty leads to (i) risk-neutral pricing for the traded risky assets, and (ii …) adjusting the drift of the nontraded risk drivers in a conservative direction. The direction depends on the agent's long or …

robust optimal control problem under model uncertainty leads to (i) risk-neutral pricing for the traded risky assets, and (ii …) adjusting the drift of the nontraded risk drivers in a conservative direction. The direction depends on the agent's long or …

's optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the …

Risk premia are related to price probability ratios or for continuous time pure jump processes the ratios of jump … arrival rates under the pricing and physical measures. The variance gamma model is employed to synthesize densities with risk …