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Optimal Hedging of Prediction Errors Using Prediction Errors

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  • Yuji Yamada

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  • Yuji Yamada, 2008. "Optimal Hedging of Prediction Errors Using Prediction Errors," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(1), pages 67-95, March.
    • Handle: RePEc:kap:apfinm:v:15:y:2008:i:1:p:67-95
    DOI: 10.1007/s10690-008-9069-x
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    References listed on IDEAS

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    1. Maindonald, John, 2006. "Generalized Additive Models: An Introduction with R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 16(b03).
    2. Dorje Brody & Joanna Syroka & Mihail Zervos, 2002. "Dynamical pricing of weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 2(3), pages 189-198.
    3. 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.
    4. M. Davis, 2001. "Pricing weather derivatives by marginal value," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 305-308, March.
    5. Takeaki Kariya, 2003. "Weather Risk Swap Valuation," KIER Working Papers 568, Kyoto University, Institute of Economic Research.
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    Cited by:

    1. Yuji Yamada, 2012. "Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(2), pages 149-179, May.

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