A Lévy-driven rainfall model with applications to futures pricing
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Gunther Leobacher & Philip Ngare, 2011. "On Modelling and Pricing Rainfall Derivatives with Seasonality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(1), pages 71-91.
- Brockwell, Peter J. & Lindner, Alexander, 2009. "Existence and uniqueness of stationary Lévy-driven CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2660-2681, August.
- López Cabrera, Brenda & Odening, Martin & Ritter, Matthias, 2013. "Pricing rainfall futures at the CME," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4286-4298.
- Peter Brockwell & Alexander Lindner, 2013. "Integration of CARMA processes and spot volatility modelling," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(2), pages 156-167, March.
- P. Brockwell, 2001. "Lévy-Driven Carma Processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 113-124, March.
- Grigelionis, Bronius, 2011. "On the Hougaard subordinated Gaussian Lévy processes," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 998-1002, August.
- Esche, Felix & Schweizer, Martin, 2005. "Minimal entropy preserves the Lévy property: how and why," Stochastic Processes and their Applications, Elsevier, vol. 115(2), pages 299-327, February.
- Wolfgang Härdle & Brenda López Cabrera, 2009. "Implied Market Price of Weather Risk," SFB 649 Discussion Papers SFB649DP2009-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Markus Hess, 2016. "Modeling And Pricing Precipitation Derivatives Under Weather Forecasts," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-29, November.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:alstar:v:99:y:2015:i:4:p:403-432. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.