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Temperaturderivate zur strategischen Absicherung von Beschaffungs- und Absatzrisiken

Author

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  • Chevalier, Pierre
  • Heidorn, Thomas
  • Krieger, Christian

Abstract

Underlyings of weather derivatives in Europe tend to be average temperature compared to heating (cooling) day in the USA because of a smaller volatility in temperature. The derivatives are priced using as burn analysis. Using a gas utility company, hedging techniques are shown using temperature options.

Suggested Citation

  • Chevalier, Pierre & Heidorn, Thomas & Krieger, Christian, 2003. "Temperaturderivate zur strategischen Absicherung von Beschaffungs- und Absatzrisiken," Frankfurt School - Working Paper Series 49, Frankfurt School of Finance and Management.
  • Handle: RePEc:zbw:fsfmwp:49
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    References listed on IDEAS

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    1. Ecker, Thomas & Moormann, Jürgen, 1997. "Die Bank als Betreiberin einer elektronischen Shopping-Mall," Frankfurt School - Working Paper Series 4, Frankfurt School of Finance and Management.
    2. Cremers, Heinz & Schwarz, Willi, 1996. "Interpolation of discount factors," Frankfurt School - Working Paper Series 2, Frankfurt School of Finance and Management.
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    Cited by:

    1. Herrmann-Pillath, Carsten, 2010. "Rethinking evolution, entropy and economics: A triadic conceptual framework for the maximum entropy principle as applied to the growth of knowledge," Frankfurt School - Working Paper Series 146, Frankfurt School of Finance and Management.
    2. Herrmann-Pillath, Carsten, 2011. "The evolutionary approach to entropy: Reconciling Georgescu-Roegen's natural philosophy with the maximum entropy framework," Ecological Economics, Elsevier, vol. 70(4), pages 606-616, February.
    3. Schäffler, Christian & Schmaltz, Christian, 2009. "Market liquidity: an introduction for practitioners," Frankfurt School - Working Paper Series 131, Frankfurt School of Finance and Management.
    4. Heidorn, Thomas & Kahlert, Dennis, 2010. "Implied correlations of iTraxx tranches during the financial crisis," Frankfurt School - Working Paper Series 145, Frankfurt School of Finance and Management.
    5. Polleit, Thorsten & Gerdesmeier, Dieter, 2005. "Measures of excess liquidity," Frankfurt School - Working Paper Series 65, Frankfurt School of Finance and Management.
    6. Kostka, Genia & Hobbs, William, 2010. "Energy efficiency in China: The local bundling of interests and policies," Frankfurt School - Working Paper Series 151, Frankfurt School of Finance and Management.
    7. Herrmann-Pillath, Carsten, 2009. "Social capital, Chinese style: individualism, relational collectivism and the cultural embeddedness of the institutions-performance link," Frankfurt School - Working Paper Series 132, Frankfurt School of Finance and Management.
    8. Heimer, Thomas & Arend, Sebastian, 2008. "The genesis of the Black-Scholes option pricing formula," Frankfurt School - Working Paper Series 98, Frankfurt School of Finance and Management.
    9. Umber, Marc P. & Grote, Michael H. & Frey, Rainer, 2010. "Europe integrates less than you think: Evidence from the market for corporate control in Europe and the US," Frankfurt School - Working Paper Series 150, Frankfurt School of Finance and Management.
    10. Kostka, Genia & Zhou, Jianghua, 2010. "Chinese firms entering China's low-income market: Gaining competitive advantage by partnering governments," Frankfurt School - Working Paper Series 147, Frankfurt School of Finance and Management.
    11. Heidorn, Thomas & Winker, Michael & Löw, Christian, 2010. "Funktionsweise und Replikationstil europäischer Exchange Traded Funds auf Aktienindices," Frankfurt School - Working Paper Series 139, Frankfurt School of Finance and Management.

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