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Pricing Chinese rain : a multisite mulit-period equilibrium pricing model for rainfall derivatives

Härdle, Wolfgang; Osipenko, Maria - 2011

Many industries are exposed to weather risk which they can transfer on financial markets via weather derivatives … multi-period equilibrium pricing model agents rebalance their portfolio of weather bonds and a risk free asset in each … weather risk and a financial investor diversifying her financial portfolio, we obtain equilibrium prices for weather …

Persistent link: https://www.econbiz.de/10009266834

State price densities implied from weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Teng, Huei-Wen - In: Insurance / Mathematics & economics 64 (2015), pp. 106-125

Persistent link: https://www.econbiz.de/10011397955

Estimating sensitivities of temperature-based weather derivatives

Yuan, Wei; Göncu, Ahmet; Ökten, Giray - In: Applied economics 47 (2015) 19/21, pp. 1942-1955

Persistent link: https://www.econbiz.de/10010513460

Model based Monte Carlo pricing of energy and temperature Quanto options

Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1712

Persistent link: https://www.econbiz.de/10009687956

A critical view on temperature modelling for application in weather derivatives markets

Saltyte Benth, Jurate; Benth, Fred Espen - In: Energy economics 34 (2012) 2, pp. 592-602

Persistent link: https://www.econbiz.de/10009618677

Consistent factor models for temperature markets

Hell, Philipp; Meyer-Brandis, Thilo; Rheinländer, Thorsten - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10009624466

Meteorological forecasts and the pricing of temperature futures

Ritter, Matthias; Mußhoff, Oliver; Odening, Martin - In: The journal of derivatives : the official publication … 19 (2011) 2, pp. 45-60

Persistent link: https://www.econbiz.de/10009413613

A comparison of regime-switching temperature modeling approaches for applications in weather derivatives

Elias, R. S.; Wahab, M. I. M.; Fang, Liping - In: European journal of operational research : EJOR 232 (2014) 3, pp. 549-560

Persistent link: https://www.econbiz.de/10010224963

Essays on multivariate dependence modeling : with applications to electricity demand and weather

Osipenko, Maria - 2013

Persistent link: https://www.econbiz.de/10010233467

Weather derivatives with applications to Canadian data

Sviščuk, Anatolij; Cui, Kaijie - In: Journal of mathematical finance 3 (2013) 1, pp. 81-95

Persistent link: https://www.econbiz.de/10010240221