Forecast based Pricing of Weather Derivatives
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References listed on IDEAS
- Fred Espen Benth & Jurate Saltyte-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 53-85.
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- Brenda LÃ³pez Cabrera & Martin Odening & Matthias Ritter, 2013. "Pricing Rainfall Derivatives at the CME," SFB 649 Discussion Papers SFB649DP2013-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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- Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2013. "Electricity Derivatives Pricing with Forward-Looking Information," Working Papers on Finance 1317, University of St. Gallen, School of Finance.
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- Sinha, Pankaj & Nagarnaik, Ankit & Raj, Kislay & Suman, Vineeta, 2016. "Forecasting United States Presidential election 2016 using multiple regression models," MPRA Paper 74641, University Library of Munich, Germany, revised 17 Oct 2016.
- Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2016.
"A consistent two-factor model for pricing temperature derivatives,"
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- Andreas Groll & Brenda LÃ³pez-Cabrera & Thilo Meyer-Brandis, 2014. "A consistent two-factor model for pricing temperature derivatives," SFB 649 Discussion Papers SFB649DP2014-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- 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.
- repec:spr:cliomt:v:11:y:2017:i:3:d:10.1007_s11698-016-0146-5 is not listed on IDEAS
More about this item
KeywordsWeather derivatives; seasonal variation; temperature; risk premia;
- G19 - Financial Economics - - General Financial Markets - - - Other
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- N23 - Economic History - - Financial Markets and Institutions - - - Europe: Pre-1913
- N53 - Economic History - - Agriculture, Natural Resources, Environment and Extractive Industries - - - Europe: Pre-1913
- Q59 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGR-2013-02-08 (Agricultural Economics)
- NEP-ALL-2013-02-08 (All new papers)
- NEP-FOR-2013-02-08 (Forecasting)
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