Key Features:A rigorous stochastic modeling of weather factors like temperature, wind and rain based on continuous-time autoregressive processes and Lévy processesPricing of weather derivatives like futures and options based on modern mathematical finance theoryThis book is unique in combining...

With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for the wind power utilization at different wind sites, and discuss the properties...

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 parameter of the associated equivalent martingale measures used...