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Analysis of Temperature Derivatives

In: Stochastic Modeling Of Electricity And Related Markets

Author

Listed:
  • Fred Espen Benth

    (University of Oslo, Norway)

  • Jūratė Šaltytė Benth

    (University of Oslo, Norway)

  • Steen Koekebakker

    (University of Agder, Norway)

Abstract

The following sections are included:Some preliminaries on temperature futuresModelling the dynamics of temperatureThe CAR(p) model with seasonalityA link to time seriesEmpirical analysis of Stockholm temperature dynamicsDescription of the dataEstimating the CAR(p) modelsFitting an AR(1) modelFitting an AR(3) modelIdentification of the parameters in the CAR(p) modelTemperature derivatives pricingCAT futuresHDD/CDD futuresFrost Day index futuresApplication to futures on temperatures in Stockholm

Suggested Citation

  • Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Analysis of Temperature Derivatives," World Scientific Book Chapters, in: Stochastic Modeling Of Electricity And Related Markets, chapter 10, pages 277-318, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812315_0010
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