Optimal Hedging of Prediction Errors Using Prediction Errors
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Volume (Year): 15 (2008)
Issue (Month): 1 (March)
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References listed on IDEAS
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- M. Davis, 2001. "Pricing weather derivatives by marginal value," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 305-308.
- John Maindonald, . "Generalized Additive Models: An Introduction with R," Journal of Statistical Software, American Statistical Association, vol. 16(b03).
- Eckhard Platen & Jason West, 2003.
"Fair Pricing of Weather Derivatives,"
Research Paper Series
106, Quantitative Finance Research Centre, University of Technology, Sydney.
- Takeaki Kariya, 2003. "Weather Risk Swap Valuation," KIER Working Papers 568, Kyoto University, Institute of Economic Research.
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