Minimizing the impact of geographical basis risk on weather derivatives
Author
Abstract
Suggested Citation
DOI: 10.1007/s10479-023-05483-3
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
- Rosella Castellano & Roy Cerqueti & Giulia Rotundo, 2020. "Exploring the financial risk of a temperature index: a fractional integrated approach," Annals of Operations Research, Springer, vol. 284(1), pages 225-242, January.
- Simona Franzoni & Cristian Pelizzari, 2021. "Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas," Annals of Operations Research, Springer, vol. 299(1), pages 939-962, April.
- Silvana Stefani & Gleda Kutrolli & Enrico Moretto & Sergei Kulakov, 2020. "Managing Meteorological Risk through Expected Shortfall," Risks, MDPI, vol. 8(4), pages 1-23, November.
- Janic Bucheli & Tobias Dalhaus & Robert Finger, 2021. "The optimal drought index for designing weather index insurance," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 48(3), pages 573-597.
- M. Ritter & O. Mußhoff & M. Odening, 2014.
"Minimizing Geographical Basis Risk of Weather Derivatives Using A Multi-Site Rainfall Model,"
Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 67-86, June.
- Ritter, Matthias & Musshoff, Oliver & Odening, Martin, 2012. "Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122527, European Association of Agricultural Economists.
- East, Miriam, 2005. "Issues Of Geographical Basis Risk In Weather Derivatives For Australian Wheat Farmers," 2005 Conference (49th), February 9-11, 2005, Coff's Harbour, Australia 137861, Australian Agricultural and Resource Economics Society.
- Fred ESPEN Benth & Jurate saltyte Benth, 2007. "The volatility of temperature and pricing of weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 553-561.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Matthieu Stigler & David Lobell, 2024.
"Optimal index insurance and basis risk decomposition: an application to Kenya,"
American Journal of Agricultural Economics, John Wiley & Sons, vol. 106(1), pages 306-329, January.
- Matthieu Stigler & David Lobell, 2021. "Optimal index insurance and basis risk decomposition: an application to Kenya," Papers 2111.08601, arXiv.org, revised Mar 2023.
- Schmidt, Lorenz & Odening, Martin & Schlanstein, Johann & Ritter, Matthias, 2022. "Exploring the weather-yield nexus with artificial neural networks," Agricultural Systems, Elsevier, vol. 196(C).
- Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe, 2018.
"Regime-Switching Temperature Dynamics Model for Weather Derivatives,"
International Journal of Stochastic Analysis, Hindawi, vol. 2018, pages 1-15, July.
- Samuel Asante Gyamerah & Philip Ngare & Dennis Ikpe, 2018. "Regime-Switching Temperature Dynamics Model for Weather Derivatives," Papers 1808.04710, arXiv.org.
- Eltazarov, Sarvarbek, 2023. "The potential of satellite-based data to detect weather extremes and crop yield variation for hedging agricultural weather risks in Central Asia and Mongolia: Three essays," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 286134.
- Hougaard, Jens Leth & Kronborg, Dorte & Smilgins, Aleksandrs, 2017. "Fair division of costs in green energy markets," Energy, Elsevier, vol. 139(C), pages 220-230.
- Arthur Charpentier & Molly James & Hani Ali, 2021. "Predicting Drought and Subsidence Risks in France," Papers 2107.07668, arXiv.org.
- Martínez, Beatriz & Torró, Hipòlit, 2015.
"European natural gas seasonal effects on futures hedging,"
Energy Economics, Elsevier, vol. 50(C), pages 154-168.
- Martínez, Beatriz & Torró, Hipòlit, 2015. "European Natural Gas Seasonal Effects on Futures Hedging," Energy: Resources and Markets 198462, Fondazione Eni Enrico Mattei (FEEM).
- Beatriz Martínez & Hipòlit Torró, 2015. "European Natural Gas Seasonal Effects on Futures Hedging," Working Papers 2015.10, Fondazione Eni Enrico Mattei.
- Broeders, Dirk & Dimitrov, Daniel & Verhoeven, Niek, 2025. "Climate-linked bonds," Working Paper Series 3011, European Central Bank.
- Dirk Broeders & Daniel Dimitrov & Niek Verhoeven, 2024. "Climate-Linked Bonds," Working Papers 817, DNB.
- Kleiman, Rachel M. & Characklis, Gregory W. & Kern, Jordan D., 2022. "Managing weather- and market price-related financial risks in algal biofuel production," Renewable Energy, Elsevier, vol. 200(C), pages 111-124.
- Dorfleitner, Gregor & Wimmer, Maximilian, 2010. "The pricing of temperature futures at the Chicago Mercantile Exchange," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1360-1370, June.
- Willemijn Vroege & Robert Finger, 2020. "Insuring Weather Risks in European Agriculture," EuroChoices, The Agricultural Economics Society, vol. 19(2), pages 54-62, August.
- Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
- Hang Gao & Shuohua Yang & Xinli Liu, 2024. "Managing Basis Risks in Weather Parametric Insurance: A Quantitative Study of Diversification and Key Influencing Factors," Papers 2409.16599, arXiv.org.
- Július Bemš & Caner Aydin, 2022. "Introduction to weather derivatives," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 11(3), May.
- Qibin Duan & Clare A McGrory & Glenn Brown & Kerrie Mengersen & You-Gan Wang, 2022. "Spatio-temporal quantile regression analysis revealing more nuanced patterns of climate change: A study of long-term daily temperature in Australia," PLOS ONE, Public Library of Science, vol. 17(8), pages 1-16, August.
- Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012.
"Model based Monte Carlo pricing of energy and temperature Quanto options,"
Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
- Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit, 2010. "Model based Monte Carlo pricing of energy and temperature quanto options," MPRA Paper 25538, University Library of Munich, Germany.
- Massimiliano Caporin & Juliusz Pres' & Hipolit Torro, 2010. "Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options," "Marco Fanno" Working Papers 0123, Dipartimento di Scienze Economiche "Marco Fanno".
- Žmuk Berislav & Kovač Matej, 2020. "Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 6(1), pages 27-42, May.
- Ke Wan & Alain Kornhauser, 2023. "Market Making and Pricing of Financial Derivatives based on Road Travel Times," Papers 2305.02523, arXiv.org, revised May 2023.
- López Cabrera, Brenda & Odening, Martin & Ritter, Matthias, 2013. "Pricing rainfall derivatives at the CME," SFB 649 Discussion Papers 2013-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
More about this item
Keywords
Geographical basis risk; Weather derivatives; Hedging effectiveness; Climate risk;All these keywords.
Statistics
Access and download statisticsCorrections
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:annopr:v:347:y:2025:i:1:d:10.1007_s10479-023-05483-3. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.