Electricity load forecasts are an integral part of many decision-making processes in the electricity market. However, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly important information about uncertainty. A more complete picture of...

Electricity load forecasts are an integral part of many decision-making processes in the electricity market. However, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly important information about uncertainty. A more complete picture of...

Electricity load forecasts are an integral part of many decision-making pro- cesses in the electricity market. However, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly impor- tant information about uncertainty. A more complete picture...

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...

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

Recently the topic of global warming has become very popular. The literature has concentrated its attention on the evidence of such effect, either by detecting regime shifts or change points in time series. The majority of these methods are designed to find shifts in mean, but only few can do...

We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...