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 …

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 …

Non-catastrophic weather risk is gaining importance as climate change becomes more pronounced and economic crisis … forces companies to strengthen their cost control. Recent literature proposes weather derivatives as flexible weather risk … and energy. The purpose of this paper is to review available weather risk management solutions in retail, present weather …

The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital … of the derivative, but also the probability of default of a counterparty. Another complication arises in the calculation … needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …

match a set of subjective density functions derived from risk-neutral densities, including the CPT with the empirical …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

match a set of subjective density functions derived from risk-neutral densities, including CPT with the empirical …

' prices, expected returns, risk exposure, and optimal exercise policies respond to variations in the risk exposure of the … underlying asset. The model allows one to separate the effects from changes in idiosyncratic versus systematic risk. Among the … new insights we establish are that i) call prices typically respond negatively to increases in systematic risk, ii) the …

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