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Temperaturderivate zur strategischen Absicherung von Beschaffungs- und Absatzrisiken

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Author Info

  • Chevalier, Pierre
  • Heidorn, Thomas
  • Krieger, Christian

Abstract

Underlyings of weather derivatives in Europe tend to be average temperature compared to heating (cooling) day in the USA because of a smaller volatility in temperature. The derivatives are priced using as burn analysis. Using a gas utility company, hedging techniques are shown using temperature options. --

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Bibliographic Info

Paper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 49.

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Date of creation: 2003
Date of revision:
Handle: RePEc:zbw:fsfmwp:49

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Related research

Keywords: Wetterderivate; Risikomanagement; Heating Days Call; Heating Days Put; Average Temperature Collar; Average Temperature Swap; Hedging gas prices with weather derivatives;

References

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  1. Cremers, Heinz & Schwarz, Willi, 1996. "Interpolation of discount factors," Frankfurt School - Working Paper Series 2, Frankfurt School of Finance and Management.
  2. Ecker, Thomas & Moormann, Jürgen, 1997. "Die Bank als Betreiberin einer elektronischen Shopping-Mall," Frankfurt School - Working Paper Series 4, Frankfurt School of Finance and Management.
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Citations

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Cited by:
  1. Umber, Marc P. & Grote, Michael H. & Frey, Rainer, 2010. "Europe integrates less than you think: Evidence from the market for corporate control in Europe and the US," Frankfurt School - Working Paper Series 150, Frankfurt School of Finance and Management.
  2. Herrmann-Pillath, Carsten, 2010. "Rethinking evolution, entropy and economics: A triadic conceptual framework for the maximum entropy principle as applied to the growth of knowledge," Frankfurt School - Working Paper Series 146, Frankfurt School of Finance and Management.
  3. Herrmann-Pillath, Carsten, 2010. "The evolutionary approach to entropy: Reconciling Georgescu-Roegen's natural philosophy with the maximum entropy framework," Frankfurt School - Working Paper Series 140, Frankfurt School of Finance and Management.
  4. Heimer, Thomas & Arend, Sebastian, 2008. "The genesis of the Black-Scholes option pricing formula," Frankfurt School - Working Paper Series 98, Frankfurt School of Finance and Management.
  5. Kostka, Genia & Zhou, Jianghua, 2010. "Chinese firms entering China's low-income market: Gaining competitive advantage by partnering governments," Frankfurt School - Working Paper Series 147, Frankfurt School of Finance and Management.
  6. Herrmann-Pillath, Carsten, 2009. "Social capital, Chinese style: individualism, relational collectivism and the cultural embeddedness of the institutions-performance link," Frankfurt School - Working Paper Series 132, Frankfurt School of Finance and Management.
  7. Heidorn, Thomas & Winker, Michael & Löw, Christian, 2010. "Funktionsweise und Replikationstil europäischer Exchange Traded Funds auf Aktienindices," Frankfurt School - Working Paper Series 139, Frankfurt School of Finance and Management.
  8. Heidorn, Thomas & Kahlert, Dennis, 2010. "Implied correlations of iTraxx tranches during the financial crisis," Frankfurt School - Working Paper Series 145, Frankfurt School of Finance and Management.
  9. Polleit, Thorsten & Gerdesmeier, Dieter, 2005. "Measures of excess liquidity," Frankfurt School - Working Paper Series 65, Frankfurt School of Finance and Management.
  10. Kostka, Genia & Hobbs, William, 2010. "Energy efficiency in China: The local bundling of interests and policies," Frankfurt School - Working Paper Series 151, Frankfurt School of Finance and Management.
  11. Schäffler, Christian & Schmaltz, Christian, 2009. "Market liquidity: an introduction for practitioners," Frankfurt School - Working Paper Series 131, Frankfurt School of Finance and Management.

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