Modelling and forecasting temperature based weather derivatives
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- Dorje Brody & Joanna Syroka & Mihail Zervos, 2002. "Dynamical pricing of weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 2(3), pages 189-198.
- Eckhard Platen & Jason West, 2004.
"A Fair Pricing Approach to Weather Derivatives,"
Asia-Pacific Financial Markets,
Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 23-53, March.
- Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney.
- Lin Shinn-Juh & Stevenson Maxwell, 2001. "Wavelet Analysis of the Cost-of-Carry Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-17, April.
- Shinn-Juh Lin & Max Stevenson, 1999. "Wavelet Analysis of Index Prices in Futures and Cash Markets: Implication for the Cost-Of-Carry Model," Research Paper Series 11, Quantitative Finance Research Centre, University of Technology, Sydney.
- M. Davis, 2001. "Pricing weather derivatives by marginal value," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 305-308, March.
- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
- Teddy Oetomo & Max Stevenson, 2005. "Hot or Cold? A Comparison of Different Approaches to the Pricing of Weather Derivatives," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(2), pages 101-133, August.
- Peter Alaton & Boualem Djehiche & David Stillberger, 2002. "On modelling and pricing weather derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(1), pages 1-20. Full references (including those not matched with items on IDEAS)
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