Helene Hamisultane

Personal Details

First Name:	Helene
Middle Name:
Last Name:	Hamisultane
Suffix:
RePEc Short-ID:	pha318
	[This author has chosen not to make the email address public]

Affiliation

EconomiX
Université Paris-Nanterre (Paris X)

Nanterre, France
http://economix.fr/
RePEc:edi:modemfr (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Hélène Hamisultane, 2008. "Which Method for Pricing Weather Derivatives ?," Working Papers halshs-00355856, HAL.

   Cited by:

   1. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
   2. Peng Li, 2021. "The Valuation of Weather Derivatives Using One Sided Crank–Nicolson Schemes," Computational Economics, Springer;Society for Computational Economics, vol. 58(3), pages 825-847, October.

2. Hélène Hamisultane, 2007. "Extracting Information from the Market to Price the Weather Derivatives," Working Papers halshs-00079192, HAL.

   Cited by:

   1. Wolfgang Härdle & Brenda López Cabrera, 2009. "Implied Market Price of Weather Risk," SFB 649 Discussion Papers SFB649DP2009-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
      • Wolfgang Karl Härdle & Brenda López Cabrera, 2012. "The Implied Market Price of Weather Risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 59-95, February.
   2. Hélène Hamisultane, 2006. "Pricing the Weather Derivatives in the Presence of Long Memory in Temperatures," Working Papers halshs-00079197, HAL.
   3. Eirini Konstantinidi & Gkaren Papazian & George Skiadopoulos, 2015. "Modeling the Dynamics of Temperature with a View to Weather Derivatives," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 17, pages 511-544, World Scientific Publishing Co. Pte. Ltd..
   4. Lee, Yongheon & Oren, Shmuel S., 2009. "An equilibrium pricing model for weather derivatives in a multi-commodity setting," Energy Economics, Elsevier, vol. 31(5), pages 702-713, September.
   5. Fred Benth & Wolfgang Karl Härdle & Brenda López Cabrera, 2009. "Pricing of Asian temperature risk," SFB 649 Discussion Papers SFB649DP2009-046, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
   6. Ahčan, Aleš, 2012. "Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 131-138.
   7. Yeny E. Rodríguez & Miguel A. Pérez-Uribe & Javier Contreras, 2021. "Wind Put Barrier Options Pricing Based on the Nordix Index," Energies, MDPI, vol. 14(4), pages 1-14, February.

3. Hélène Hamisultane, 2007. "Utility-based Pricing of the Weather Derivatives," Working Papers halshs-00088701, HAL.
   • Helene Hamisultane, 2010. "Utility-based pricing of weather derivatives," The European Journal of Finance, Taylor & Francis Journals, vol. 16(6), pages 503-525.

   Cited by:

   1. Rui Zhou & Johnny Siu-Hang Li & Jeffrey Pai, 2019. "Pricing temperature derivatives with a filtered historical simulation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 25(15), pages 1462-1484, October.
   2. 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.
   3. Hélène Hamisultane, 2008. "Which Method for Pricing Weather Derivatives ?," Working Papers halshs-00355856, HAL.
   4. Gülpınar, Nalân & Çanakoḡlu, Ethem, 2017. "Robust portfolio selection problem under temperature uncertainty," European Journal of Operational Research, Elsevier, vol. 256(2), pages 500-523.

4. Hélène Hamisultane, 2006. "Pricing the Weather Derivatives in the Presence of Long Memory in Temperatures," Working Papers halshs-00079197, HAL.

   Cited by:

   1. Hélène Hamisultane, 2007. "Utility-based Pricing of the Weather Derivatives," Working Papers halshs-00088701, HAL.
      • Helene Hamisultane, 2010. "Utility-based pricing of weather derivatives," The European Journal of Finance, Taylor & Francis Journals, vol. 16(6), pages 503-525.
   2. Best, Peter & Stone, Roger & Sosenko, Olena, 2007. "Climate risk management based on climate modes and indices - the potential in Australian agribusinesses," 101st Seminar, July 5-6, 2007, Berlin Germany 9257, European Association of Agricultural Economists.

Articles

1. Helene Hamisultane, 2010. "Utility-based pricing of weather derivatives," The European Journal of Finance, Taylor & Francis Journals, vol. 16(6), pages 503-525.
   • Hélène Hamisultane, 2007. "Utility-based Pricing of the Weather Derivatives," Working Papers halshs-00088701, HAL.
   See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-FOR: Forecasting (1) 2009-02-07

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