[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
On modelling and pricing weather derivatives. (2002). Djehiche, Boualem ; Stillberger, David ; Alaton, Peter.
In: Applied Mathematical Finance.
RePEc:taf:apmtfi:v:9:y:2002:i:1:p:1-20.

Full description at Econpapers || Download paper

Cited: 133

Citations received by this document

Cites: 9

References cited by this document

Cocites: 0

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Construction of Mixed Derivatives Strategy for Wind Power Producers. (2023). Matsumoto, Takuji ; Yamada, Yuji.
    In: Energies.
    RePEc:gam:jeners:v:16:y:2023:i:9:p:3809-:d:1136007.

    Full description at Econpapers || Download paper

  2. Parametric heat wave insurance. (2023). Larsson, Karl.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000351.

    Full description at Econpapers || Download paper

  3. A stochastic time-series model for solar irradiation. (2023). Benth, Fred Espen ; Green, Rikard ; Larsson, Karl.
    In: Energy Economics.
    RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005503.

    Full description at Econpapers || Download paper

  4. Risk valuation of quanto derivatives on temperature and electricity. (2023). Vadillo, Nerea ; Alfonsi, Aur'Elien.
    In: Papers.
    RePEc:arx:papers:2310.07692.

    Full description at Econpapers || Download paper

  5. Liquidity derivatives. (2022). Jappelli, Ruggero ; Bagnara, Matteo.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:358.

    Full description at Econpapers || Download paper

  6. Hedging Wind Power Risk Exposure through Weather Derivatives. (2022). Rizk, Andrea ; Micocci, Marco ; Masala, Giovanni.
    In: Energies.
    RePEc:gam:jeners:v:15:y:2022:i:4:p:1343-:d:748234.

    Full description at Econpapers || Download paper

  7. When did global warming start? A new baseline for carbon budgeting. (2022). Peillex, Jonathan ; Liu, Zhenya ; Han, Xuyuan ; ben Ameur, Hachmi.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002450.

    Full description at Econpapers || Download paper

  8. .

    Full description at Econpapers || Download paper

  9. Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas. (2021). Pelizzari, Cristian ; Franzoni, Simona.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03442-5.

    Full description at Econpapers || Download paper

  10. Weather derivatives to mitigate meteorological risks in tourism management: An empirical application to celebrations of Comunidad Valenciana (Spain). (2021). Tarrazon-Rodon, Maria-Antonia ; Salgueiro, Andrea Martnez.
    In: Tourism Economics.
    RePEc:sae:toueco:v:27:y:2021:i:4:p:591-613.

    Full description at Econpapers || Download paper

  11. The Valuation of Weather Derivatives Using One Sided Crank–Nicolson Schemes. (2021). Li, Peng.
    In: Computational Economics.
    RePEc:kap:compec:v:58:y:2021:i:3:d:10.1007_s10614-020-10052-y.

    Full description at Econpapers || Download paper

  12. Wind Put Barrier Options Pricing Based on the Nordix Index. (2021). Contreras, Javier ; Perez-Uribe, Miguel A ; Rodriguez, Yeny E.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:4:p:1177-:d:504014.

    Full description at Econpapers || Download paper

  13. Modeling Wind Speed Based on Fractional Ornstein-Uhlenbeck Process. (2021). Davydov, Denis Y ; Ibrahim, Ahmed ; Obukhov, Sergey ; Ali, Ziad M ; Ahmed, Emad M ; Alharbi, Talal.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:17:p:5561-:d:629768.

    Full description at Econpapers || Download paper

  14. Development of an irradiance-based weather derivative to hedge cloud risk for solar energy systems. (2021). Kern, Jordan D ; Haas, Jannik ; Colin, .
    In: Renewable Energy.
    RePEc:eee:renene:v:164:y:2021:i:c:p:1230-1243.

    Full description at Econpapers || Download paper

  15. Climate risks and weather derivatives: A copula-based pricing model. (2021). Romagnoli, Silvia ; Bressan, Giacomo Maria.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000371.

    Full description at Econpapers || Download paper

  16. The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. (2021). Uddin, Gazi ; Makkonen, Adam ; Cardia, Michel Ferreira ; Rahman, Md Lutfur ; Vallstrom, Daniel.
    In: Energy Economics.
    RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802.

    Full description at Econpapers || Download paper

  17. Seasonality in catastrophe bonds and market?implied catastrophe arrival frequencies. (2021). Hibbeln, Martin ; Herrmann, Markus.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:88:y:2021:i:3:p:785-818.

    Full description at Econpapers || Download paper

  18. .

    Full description at Econpapers || Download paper

  19. Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation. (2020). Matej, Kova ; Berislav, Muk.
    In: Croatian Review of Economic, Business and Social Statistics.
    RePEc:vrs:crebss:v:6:y:2020:i:1:p:27-42:n:3.

    Full description at Econpapers || Download paper

  20. Approaching rainfall-based weather derivatives pricing and operational challenges. (2020). Tarrazon-Rodon, Maria-Antonia ; Salgueiro, Andrea Martinez.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:23:y:2020:i:2:d:10.1007_s11147-019-09161-0.

    Full description at Econpapers || Download paper

  21. Managing Meteorological Risk through Expected Shortfall. (2020). Moretto, Enrico ; Kutrolli, Gleda ; Stefani, Silvana ; Kulakov, Sergei.
    In: Risks.
    RePEc:gam:jrisks:v:8:y:2020:i:4:p:118-:d:442528.

    Full description at Econpapers || Download paper

  22. Weather Risk Management in Energy Sector: The Polish Case. (2020). Wieczorek-Kosmala, Monika.
    In: Energies.
    RePEc:gam:jeners:v:13:y:2020:i:4:p:945-:d:322950.

    Full description at Econpapers || Download paper

  23. Managing the risks of energy efficiency insurances in a portfolio context: An actuarial diversification approach. (2020). Wiethe, Christian ; Trankler, Timm ; Toppel, Jannick ; Baltuttis, Dennik.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305131.

    Full description at Econpapers || Download paper

  24. A temperature stochastic model for option pricing and its impacts on the electricity market. (2020). Mora, José ; Prabakaran, Sellamuthu ; Garcia, Isabel C.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:68:y:2020:i:c:p:58-77.

    Full description at Econpapers || Download paper

  25. .

    Full description at Econpapers || Download paper

  26. Valuation and applications of compound basket options. (2019). Bae, Kwangil.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:6:p:704-720.

    Full description at Econpapers || Download paper

  27. Погодные деривативы в России: страхование фермеров от колебаний температуры // Weather Derivatives in Russia: Farmers’ Insurance aga. (2019). Trier, M ; В. Трубников, ; Strelnikova, A ; М. Трир, ; Secrieru, V ; А. Стрельникова, ; Li, C ; В. Секриеру, ; Johnston, C ; К. Ли, ; Echimova, A ; К. Джонстон, ; Chekirov, S ; А. Екимова, ; Carkin, E ; С. Чекиров, ; Э. Каркин, ; Trubnikov, V.
    In: Вестник исследований бизнеса и экономики // Review of Business and Economics Studies.
    RePEc:scn:00rbes:y:2018:i:1:p:29-42.

    Full description at

  28. Modeling and pricing of space weather derivatives. (2019). Unger, Stephan ; Lemmerer, Birgit.
    In: Risk Management.
    RePEc:pal:risman:v:21:y:2019:i:4:d:10.1057_s41283-019-00052-0.

    Full description at Econpapers || Download paper

  29. Is temperature-index derivative suitable for China?. (2019). Lu, Xunfa ; Tang, Yinshan ; Dzandu, Michael D ; Zhou, Ying ; Cui, Hairong.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:536:y:2019:i:c:s0378437119305576.

    Full description at Econpapers || Download paper

  30. Hedging of crop harvest with derivatives on temperature. (2019). Hainaut, Donatien.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:84:y:2019:i:c:p:98-114.

    Full description at Econpapers || Download paper

  31. Forecasting Daily Residential Natural Gas Consumption: A Dynamic Temperature Modelling Approach. (2019). Karahan, Mehmet Oguz ; Goncu, Ahmet ; Kuzubas, Tolga Umut.
    In: Bogazici Journal, Review of Social, Economic and Administrative Studies.
    RePEc:boz:journl:v:33:y:2019:i:1:p:1-22.

    Full description at Econpapers || Download paper

  32. PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS. (2018). Hess, Markus.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500310.

    Full description at Econpapers || Download paper

  33. Modeling temperature behaviors: Application to weather derivative valuation. (2018). Yang, Sharon S ; Huang, Jrwei ; Chang, ChuangChang .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:9:p:1152-1175.

    Full description at Econpapers || Download paper

  34. 151 Trading Strategies. (2018). Serur, Juan Andres ; Kakushadze, Zura.
    In: Springer Books.
    RePEc:spr:sprbok:978-3-030-02792-6.

    Full description at Econpapers || Download paper

  35. Pricing weather index insurance based on artificial controlled experiment: a case study of cold temperature for early rice in Jiangxi, China. (2018). Han, Wei ; Che, Xianghong ; Yang, Zaiqiang ; Sun, Qing ; Xiao, Fang ; Zhang, Fangmin.
    In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards.
    RePEc:spr:nathaz:v:91:y:2018:i:1:d:10.1007_s11069-017-3109-7.

    Full description at Econpapers || Download paper

  36. Putting a price tag on temperature. (2018). Mamon, Rogemar ; Xiong, Heng.
    In: Computational Management Science.
    RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-017-0291-8.

    Full description at Econpapers || Download paper

  37. A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives. (2018). Gyamerah, Samuel Asante ; Ikpe, Dennis ; Ngare, Philip.
    In: MPRA Paper.
    RePEc:pra:mprapa:89680.

    Full description at Econpapers || Download paper

  38. Opción climática para la producción de café en México. (Climate Option of Coffee Production in Mexico).. (2018). Alfonse, Allou Allou ; Martinez, Miguel Angel ; Trejo, Jose Carlos.
    In: Ensayos Revista de Economia.
    RePEc:ere:journl:v:xxxvii:y:2018:i:2:p:135-154.

    Full description at Econpapers || Download paper

  39. Weather derivatives pricing using regime switching model. (2018). Xiangfeng, Yang ; Martin, Singull ; Fredrik, Berntsson ; Emmanuel, Evarest.
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:24:y:2018:i:1:p:13-27:n:2.

    Full description at Econpapers || Download paper

  40. Regime-Switching Temperature Dynamics Model for Weather Derivatives. (2018). Ikpe, Dennis ; Ngare, Philip ; Gyamerah, Samuel Asante.
    In: Papers.
    RePEc:arx:papers:1808.04710.

    Full description at Econpapers || Download paper

  41. Hedging of crop harvest with derivatives on temperature. (2018). Hainaut, Donatien.
    In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences).
    RePEc:aiz:louvad:2018012.

    Full description at Econpapers || Download paper

  42. Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index. (2017). Sun, Baojing.
    In: Working Papers.
    RePEc:rep:wpaper:2017-05.

    Full description at Econpapers || Download paper

  43. Dynamic Valuation of Weather Derivatives under Default Risk. (2017). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Osipenko, Cmaria .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2017-005.

    Full description at Econpapers || Download paper

  44. A Dynamic Programming Approach for Pricing Weather Derivatives under Issuer Default Risk. (2017). Härdle, Wolfgang ; Osipenko, Maria ; Hardle, Wolfgang Karl.
    In: IJFS.
    RePEc:gam:jijfss:v:5:y:2017:i:4:p:23-:d:115840.

    Full description at Econpapers || Download paper

  45. A comparison of wavelet networks and genetic programming in the context of temperature derivatives. (2017). Cramer, Sam ; Alexandridis, Antonis K ; Kampouridis, Michael.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:1:p:21-47.

    Full description at Econpapers || Download paper

  46. Fair division of costs in green energy markets. (2017). Hougaard, Jens ; Smilgins, Aleksandrs ; Kronborg, Dorte.
    In: Energy.
    RePEc:eee:energy:v:139:y:2017:i:c:p:220-230.

    Full description at Econpapers || Download paper

  47. Robust portfolio selection problem under temperature uncertainty. (2017). Gulpinar, Nalan ; Anakolu, Ethem.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:256:y:2017:i:2:p:500-523.

    Full description at Econpapers || Download paper

  48. Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index. (2017). Sun, Baojing.
    In: Working Papers.
    RePEc:ags:uvicwp:263197.

    Full description at Econpapers || Download paper

  49. Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the Underlying Weather Index. (2017). Sun, Baojing.
    In: Working Papers.
    RePEc:ags:uvicwp:257083.

    Full description at Econpapers || Download paper

  50. Weather derivatives structuring and pricing: a sustainable agricultural approach in Africa. (2016). Kermiche, L ; Vuillermet, N.
    In: Applied Economics.
    RePEc:taf:applec:v:48:y:2016:i:2:p:165-177.

    Full description at Econpapers || Download paper

  51. Weather Risk Management in Agriculture. (2016). Bobrikova, Martina.
    In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis.
    RePEc:mup:actaun:actaun_2016064041303.

    Full description at Econpapers || Download paper

  52. Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis. (2016). Lunina, Veronika.
    In: Working Papers.
    RePEc:hhs:lunewp:2016_030.

    Full description at Econpapers || Download paper

  53. Spatially-Aggregated Temperature Derivatives: Agricultural Risk Management in China. (2016). Ender, Manuela ; Zong, LU.
    In: IJFS.
    RePEc:gam:jijfss:v:4:y:2016:i:3:p:17-:d:77418.

    Full description at Econpapers || Download paper

  54. A consistent two-factor model for pricing temperature derivatives. (2016). López Cabrera, Brenda ; Groll, Andreas ; Lopez-Cabrera, Brenda ; Meyer-Brandis, Thilo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:55:y:2016:i:c:p:112-126.

    Full description at Econpapers || Download paper

  55. Modeling the Dynamics of Temperature with a View to Weather Derivatives. (2015). Skiadopoulos, George ; Konstantinidi, Eirini ; Papazian, Gkaren.
    In: World Scientific Book Chapters.
    RePEc:wsi:wschap:9789814566926_0017.

    Full description at Econpapers || Download paper

  56. Estimating sensitivities of temperature-based weather derivatives. (2015). Goncu, Ahmet ; Giray Ökten, ; Yuan, Wei.
    In: Applied Economics.
    RePEc:taf:applec:v:47:y:2015:i:19:p:1942-1955.

    Full description at Econpapers || Download paper

  57. Innovaciones financieras para adaptación al riesgo climático: el caso de las coberturas basadas en índices. (2015). Thomasz, Esteban Otto ; Casparri, Maria Teresa .
    In: MPRA Paper.
    RePEc:pra:mprapa:72690.

    Full description at Econpapers || Download paper

  58. Financial weather derivatives for corn production in Northern China: A comparison of pricing methods. (2015). van Kooten, Gerrit ; Sun, Baojing.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:201-209.

    Full description at Econpapers || Download paper

  59. Modelación del clima bajo un proceso estocástico de reversión a la media estacional / Modeling weather under a seasonal mean reversion stochastic process. (2014). Tellez Gaytan, Jesus Cuauhtemoc, ; Rico Arias, Jaime angel, ; Serrano Acevedo, Maria Eugenia, .
    In: Estocástica: finanzas y riesgo.
    RePEc:sfr:efruam:v:4:y:2014:i:1:p:9-32.

    Full description at Econpapers || Download paper

  60. Financial Weather Options for Crop Production. (2014). van Kooten, Gerrit ; Sun, Baojing.
    In: Working Papers.
    RePEc:rep:wpaper:2014-03.

    Full description at Econpapers || Download paper

  61. Riesgo Agropecuario: Incidencia Económica e Innovaciones para su mitigación. El caso de Argentina.. (2014). Thomasz, Esteban ; Dario, Bacchini ; Otto, Thomasz Esteban ; Miguel, Fusco .
    In: MPRA Paper.
    RePEc:pra:mprapa:56408.

    Full description at Econpapers || Download paper

  62. A consistent two-factor model for pricing temperature derivatives. (2014). López Cabrera, Brenda ; Groll, Andreas ; Meyer-Brandis, Thilo ; Lopez-Cabrera, Brenda .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-006.

    Full description at Econpapers || Download paper

  63. Principal Component Analysis in an Asymmetric Norm. (2014). Osipenko, Maria ; Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Tran, Ngoc Mai .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-001.

    Full description at Econpapers || Download paper

  64. A comparison of regime-switching temperature modeling approaches for applications in weather derivatives. (2014). FANG, L. ; Wahab, M. I. M., ; Elias, R. S..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:232:y:2014:i:3:p:549-560.

    Full description at Econpapers || Download paper

  65. Financial Weather Options for Crop Production. (2014). van Kooten, Gerrit ; Sun, Baojing.
    In: Working Papers.
    RePEc:ags:uvicwp:164323.

    Full description at Econpapers || Download paper

  66. Weather Derivatives and Crop Insurance in China. (2013). van Kooten, Gerrit ; Sun, Baojing ; Guo, Changhao .
    In: Working Papers.
    RePEc:rep:wpaper:2013-02.

    Full description at Econpapers || Download paper

  67. Wind Derivatives: Modeling and Pricing. (2013). Zapranis, A. ; Alexandridis, A..
    In: Computational Economics.
    RePEc:kap:compec:v:41:y:2013:i:3:p:299-326.

    Full description at Econpapers || Download paper

  68. Impact of Climate Change on HeatWave Risk. (2013). Loisel, Stéphane ; Eyraud-Loisel, Anne ; Biard, Romain ; Blanchet-Scalliet, Christophette.
    In: Post-Print.
    RePEc:hal:journl:hal-00937071.

    Full description at Econpapers || Download paper

  69. Impact of Climate Change on Heat Wave Risk. (2013). Loisel, Stéphane ; Biard, Romain ; Blanchet-Scalliet, Christophette ; Eyraud-Loisel, Anne.
    In: Risks.
    RePEc:gam:jrisks:v:1:y:2013:i:3:p:176-191:d:31293.

    Full description at Econpapers || Download paper

  70. Comparison of temperature models using heating and cooling degree days futures. (2013). Goncu, Ahmet.
    In: Journal of Risk Finance.
    RePEc:eme:jrfpps:v:14:y:2013:i:2:p:159-178.

    Full description at Econpapers || Download paper

  71. On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets. (2013). Benth, Fred Espen ; Taib, Che Mohd Imran Che, .
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:259-268.

    Full description at Econpapers || Download paper

  72. Forecasting Daily Residential Natural Gas Consumption: A Dynamic Temperature Modelling Approach. (2013). Kuzubas, Tolga ; Karahan, Mehmet ; Goncu, Ahmet.
    In: Working Papers.
    RePEc:bou:wpaper:2013/11.

    Full description at Econpapers || Download paper

  73. Weather Derivatives and Crop Insurance in China. (2013). van Kooten, Gerrit ; Guo, Changhao ; Sun, Baojing.
    In: Working Papers.
    RePEc:ags:uvicwp:147579.

    Full description at Econpapers || Download paper

  74. Model Comparison for Temperature-based Weather Derivatives in Mainland China. (2013). Ender, Manuela ; Zong, LU.
    In: Conference papers.
    RePEc:ags:pugtwp:332293.

    Full description at Econpapers || Download paper

  75. Modeling and Pricing in Financial Markets for Weather Derivatives. (2012). Benth, Fred Espen.
    In: World Scientific Books.
    RePEc:wsi:wsbook:8457.

    Full description at Econpapers || Download paper

  76. CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS. (2012). HELL, PHILIPP ; Rheinlander, Thorsten ; Meyer-Brandis, Thilo.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:15:y:2012:i:04:n:s0219024912500276.

    Full description at Econpapers || Download paper

  77. Temperature models for pricing weather derivatives. (2012). Schiller, Frank ; Wimmer, Maximilian ; Seidler, Gerold .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:3:p:489-500.

    Full description at Econpapers || Download paper

  78. Forecast based Pricing of Weather Derivatives. (2012). Ritter, Matthias ; López Cabrera, Brenda ; Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Lopez-Cabrera, Brenda .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2012-027.

    Full description at Econpapers || Download paper

  79. Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives. (2012). Ahan, Ale .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:1:p:131-138.

    Full description at Econpapers || Download paper

  80. Pricing emission permits in the absence of abatement. (2012). Hintermann, Beat.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:5:p:1329-1340.

    Full description at Econpapers || Download paper

  81. A critical view on temperature modelling for application in weather derivatives markets. (2012). Benth, Fred Espen.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:2:p:592-602.

    Full description at Econpapers || Download paper

  82. Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity. (2012). Osipenko, Maria ; Hardle, Wolfgang Karl.
    In: The Energy Journal.
    RePEc:aen:journl:33-2-07.

    Full description at Econpapers || Download paper

  83. Hedging of Spatial Temperature Risk with Market-Traded Futures. (2011). Barth, Andrea ; Potthoff, Jurgen ; Benth, Fred Espen.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:18:y:2011:i:2:p:93-117.

    Full description at Econpapers || Download paper

  84. Variance reduction methods at the pricing of weather options. (2011). Raimova, Gulnora.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0056.

    Full description at Econpapers || Download paper

  85. Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives. (2011). Osipenko, Maria ; Härdle, Wolfgang ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2011-055.

    Full description at Econpapers || Download paper

  86. On the relationship between weather and stock market returns. (2011). Floros, Christos.
    In: Studies in Economics and Finance.
    RePEc:eme:sefpps:v:28:y:2011:i:1:p:5-13.

    Full description at Econpapers || Download paper

  87. Modelling rain risk: a multi-order Markov chain model approach. (2011). Stowasser, Markus .
    In: Journal of Risk Finance.
    RePEc:eme:jrfpps:v:13:y:2011:i:1:p:45-60.

    Full description at Econpapers || Download paper

  88. Pricing temperature-based weather derivatives in China. (2011). Goncu, Ahmet.
    In: Journal of Risk Finance.
    RePEc:eme:jrfpps:v:13:y:2011:i:1:p:32-44.

    Full description at Econpapers || Download paper

  89. Forecasting temperature to price CME temperature derivatives. (2011). Dupuis, Debbie J..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:602-618.

    Full description at Econpapers || Download paper

  90. Forecasting temperature to price CME temperature derivatives. (2011). Dupuis, Debbie J..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y:2011:i:2:p:602-618.

    Full description at Econpapers || Download paper

  91. Modeling Temperature Dynamics for Aquaculture Index Insurance In Taiwan: A Nonlinear Quantile Approach. (2011). Chen, Shu-Ling.
    In: 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania.
    RePEc:ags:aaea11:104229.

    Full description at Econpapers || Download paper

  92. An analysis of snow options for ski resort establishments. (2010). BEYAZIT, Mehmet Fuat ; Koc, Erdogan.
    In: Tourism Management.
    RePEc:eee:touman:v:31:y:2010:i:5:p:676-683.

    Full description at Econpapers || Download paper

  93. The pricing of temperature futures at the Chicago Mercantile Exchange. (2010). Dorfleitner, Gregor ; Wimmer, Maximilian.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:6:p:1360-1370.

    Full description at Econpapers || Download paper

  94. Pricing of Asian temperature risk. (2009). López Cabrera, Brenda ; Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Benth, Fred .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-046.

    Full description at Econpapers || Download paper

  95. Implied Market Price of Weather Risk. (2009). López Cabrera, Brenda ; Härdle, Wolfgang ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-001.

    Full description at Econpapers || Download paper

  96. Option pricing with mean reversion and stochastic volatility. (2009). Wong, Hoi Ying ; Lo, Yu Wai .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:197:y:2009:i:1:p:179-187.

    Full description at Econpapers || Download paper

  97. An Options Pricing Approach for CO2 Allowances in the EU ETS. (2009). Hintermann, Beat.
    In: CEPE Working paper series.
    RePEc:cee:wpcepe:09-64.

    Full description at Econpapers || Download paper

  98. Stochastic Modeling of Electricity and Related Markets. (2008). Benth, Jrat Altyt ; Koekebakker, Steen.
    In: World Scientific Books.
    RePEc:wsi:wsbook:6811.

    Full description at Econpapers || Download paper

  99. Pricing Financial Derivatives on Weather Sensitive Assets. (2008). Kang, Boda ; Filar, Jerzy ; Korolkiewicz, Malgorzata.
    In: Research Paper Series.
    RePEc:uts:rpaper:223.

    Full description at Econpapers || Download paper

  100. Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives. (2008). Hurn, Stan ; Clements, Adam ; Lindsay, K A.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2008-23.

    Full description at Econpapers || Download paper

  101. Estimating the Payoffs of Temperature-based Weather Derivatives. (2008). Hurn, Stan ; Clements, Adam ; Lindsay, K A.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2008-22.

    Full description at Econpapers || Download paper

  102. Hedging von Mengenrisiken in der Landwirtschaft – Wie teuer dürfen „ineffektive“ Wetterderivate sein?. (2008). Musshoff, Oliver ; Hirschauer, Norbert ; Muhoff, Oliver .
    In: German Journal of Agricultural Economics.
    RePEc:ags:gjagec:97605.

    Full description at Econpapers || Download paper

  103. An Internet-Based Tool for Weather Risk Management. (2008). Turvey, Calum ; Norton, Michael .
    In: Agricultural and Resource Economics Review.
    RePEc:ags:arerjl:44739.

    Full description at Econpapers || Download paper

  104. Are commodity prices mean reverting?. (2007). Andersson, Henrik.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:10:p:769-783.

    Full description at Econpapers || Download paper

  105. Modelling and forecasting temperature based weather derivatives. (2007). Svec, J. ; Stevenson, M..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:18:y:2007:i:2:p:185-204.

    Full description at Econpapers || Download paper

  106. Putting a Price on Temperature. (2007). Koekebakker, Steen ; Benth, Fred Espen ; JŪRATĖ SALTYTĖ BENTH, .
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:34:y:2007:i:4:p:746-767.

    Full description at Econpapers || Download paper

  107. Indifference Pricing of Weather Insurance. (2007). Xu, Wei ; Odening, Martin ; Musshoff, Oliver.
    In: 101st Seminar, July 5-6, 2007, Berlin Germany.
    RePEc:ags:eaa101:9267.

    Full description at Econpapers || Download paper

  108. Willingness to Pay for Weather Derivatives by Australian Wheat Farmers. (2007). Simmons, Phillip ; Byrnes, Joel ; Edwards, Miriam.
    In: 101st Seminar, July 5-6, 2007, Berlin Germany.
    RePEc:ags:eaa101:9262.

    Full description at Econpapers || Download paper

  109. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

    Full description at Econpapers || Download paper

  110. Density forecasting for weather derivative pricing. (2006). Taylor, James W. ; Buizza, Roberto.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:22:y:2006:i:1:p:29-42.

    Full description at Econpapers || Download paper

  111. Weather Derivatives as an Instrument to Hedge Against the Risk of High Energy Cost in Greenhouse Production. (2006). Schmitz, Bernhard ; Starp, Michael ; Berg, Ernst.
    In: 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia.
    RePEc:ags:iaae06:25629.

    Full description at Econpapers || Download paper

  112. Modeling and Pricing Rain Risk. (2006). Xu, Wei ; Odening, Martin ; Musshoff, Oliver.
    In: 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia.
    RePEc:ags:iaae06:25386.

    Full description at Econpapers || Download paper

  113. Weather derivatives as an instrument to hedge against the risk of high energy cost in greenhouse production. (2006). Starp, Michael ; Berg, Ernst ; Schmitz, Bernhard .
    In: 2006 Annual meeting, July 23-26, Long Beach, CA.
    RePEc:ags:aaea06:21378.

    Full description at Econpapers || Download paper

  114. Modeling and Hedging Rain Risk. (2006). Xu, Wei ; Odening, Martin ; Musshoff, Oliver.
    In: 2006 Annual meeting, July 23-26, Long Beach, CA.
    RePEc:ags:aaea06:21050.

    Full description at Econpapers || Download paper

  115. Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives. (2005). Benth, Fred Espen ; Jūratė Šaltytė-Benth, .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:12:y:2005:i:1:p:53-85.

    Full description at Econpapers || Download paper

  116. Hot or Cold? A Comparison of Different Approaches to the Pricing of Weather Derivatives. (2005). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:4:y:2005:i:2:p:101-133.

    Full description at Econpapers || Download paper

  117. Zur Reduzierung niederschlagsbedingter Produktionsrisiken mit Wetterderivaten. (2005). Odening, Martin ; Musshoff, Oliver.
    In: Working Paper Series.
    RePEc:ags:huiawp:18822.

    Full description at Econpapers || Download paper

  118. Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft. (2005). Xu, Wei ; Odening, Martin ; Musshoff, Oliver.
    In: German Journal of Agricultural Economics.
    RePEc:ags:gjagec:97216.

    Full description at Econpapers || Download paper

  119. Wetterderivate zur Absicherung des Energiekostenrisikos im Unterglasanbau. (2005). Schmitz, B ; Starp, M.
    In: Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”.
    RePEc:ags:gewipr:263011.

    Full description at Econpapers || Download paper

  120. ISSUES OF GEOGRAPHICAL BASIS RISK IN WEATHER DERIVATIVES FOR AUSTRALIAN WHEAT FARMERS. (2005). East, Miriam .
    In: 2005 Conference (49th), February 9-11, 2005, Coff's Harbour, Australia.
    RePEc:ags:aare05:137861.

    Full description at Econpapers || Download paper

  121. Managing Economic Risk from Invasive Species: Bug Options. (2005). Richards, Timothy ; Manfredo, Mark ; Fournier, Valerie ; Eaves, James .
    In: 2005 Annual meeting, July 24-27, Providence, RI.
    RePEc:ags:aaea05:19553.

    Full description at Econpapers || Download paper

  122. Pricing Weather Insurance with a Random Strike Price: An Application to the Ontario Ice Wine Harvest. (2005). Weersink, Alfons ; Turvey, Calum.
    In: 2005 Annual meeting, July 24-27, Providence, RI.
    RePEc:ags:aaea05:19255.

    Full description at Econpapers || Download paper

  123. Valuing catastrophe bonds by Monte Carlo simulations. (2003). Vaugirard, Victor E..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:10:y:2003:i:1:p:75-90.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. 1 Basawa, I.V. and Prasaka Rao, B.L.S. (1980) Statistical Inference for Stochastic Processes, Academic Press.
    Paper not yet in RePEc: Add citation now
  2. 2 Baxter, M. and Rennie, A. (1998) Financial Calculus, Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  3. 3 Bibby, B.M. and Sørensen, M. (1995) Martingale estimation functions for discretely observed diffusion processes,Bernoulli, 1 (I/II), March/June.
    Paper not yet in RePEc: Add citation now
  4. 4 Bjbrk, T. (1998) Arbitrage Theory in Continuous Time, Oxford University Press.
    Paper not yet in RePEc: Add citation now
  5. 5 Brockwell, P.J. and Davis, R.A. (1990) Time Series: Theory and Methods, 2nd edn, Springer.
    Paper not yet in RePEc: Add citation now
  6. 6 Considine, G. (no year) Introduction to Weather Derivatives, Weather Derivatives Group, Aquila Energy.
    Paper not yet in RePEc: Add citation now
  7. 7 Dornier, F. and Queruel, M. (2000) Caution to the Wind, Weather Risk Special Report 2000, Energy & Power Risk Management/Risk Magazine.
    Paper not yet in RePEc: Add citation now
  8. 8 Jain, G. and Baile, C. (2000) Managing weather risks. Strategic Risk, September, 28-31.
    Paper not yet in RePEc: Add citation now
  9. 9 0ksendal, B. (1998) Stochastic Differential Equations: An Introduction with Applications, Springer.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

          This document has not co-citation data yet.

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-05 04:58:00 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.