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...

In this work we conduct a study on the calibration of futures contracts on temperature indices. We consider a continuous-time autoregressive dynamics for the deseasonalized temperatures and a pricing measure allowing for a simultaneous change of the level and speed of mean reversion in the risk...

Functional data analysis (FDA) has emerged as a new area of statistical research with a wide range of applications. In this paper, we propose some functional linear models in which both the response and the covariate variables are functions. These models enable to regularize curves observed over...