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Pricing Weather Derivatives

Citations

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Cited by:

  1. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2006. "Modeling and Pricing Rain Risk," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25386, International Association of Agricultural Economists.
  2. Wei Yuan & Ahmet Göncü & Giray Ökten, 2015. "Estimating sensitivities of temperature-based weather derivatives," Applied Economics, Taylor & Francis Journals, vol. 47(19), pages 1942-1955, April.
  3. 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.
  4. Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2016. "A consistent two-factor model for pricing temperature derivatives," Energy Economics, Elsevier, vol. 55(C), pages 112-126.
  5. Bertrand, Jean-Louis & Brusset, Xavier & Fortin, Maxime, 2015. "Assessing and hedging the cost of unseasonal weather: Case of the apparel sector," European Journal of Operational Research, Elsevier, vol. 244(1), pages 261-276.
  6. Xiaoxue Du & Levan Elbakidze & Liang Lu & R. Garth Taylor, 2022. "Climate Smart Pest Management," Sustainability, MDPI, vol. 14(16), pages 1-19, August.
  7. 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.
  8. Xu, Wei & Odening, Martin & Musshoff, Oliver, 2007. "Indifference Pricing of Weather Insurance," 101st Seminar, July 5-6, 2007, Berlin Germany 9267, European Association of Agricultural Economists.
  9. Benth, Fred & Härdle, Wolfgang Karl & López Cabrera, Brenda, 2009. "Pricing of Asian temperature risk," SFB 649 Discussion Papers 2009-046, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Turvey, Calum G. & Chantarat, Sommarat, 2006. "Weather-Linked Bonds," 2006 Agricultural and Rural Finance Markets in Transition, October 2-3, 2006, Washington, DC 133091, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  11. Zhang, Li, 2008. "Three essays on agricultural risk and insurance," ISU General Staff Papers 2008010108000016857, Iowa State University, Department of Economics.
  12. repec:hum:wpaper:sfb649dp2009-001 is not listed on IDEAS
  13. Raimova, Gulnora, 2011. "Variance reduction methods at the pricing of weather options," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 21(1), pages 3-15.
  14. Mark Manfredo & Timothy Richards, 2009. "Hedging with weather derivatives: a role for options in reducing basis risk," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 87-97.
  15. Deng, Xiaohui & Barnett, Barry J. & Hoogenboom, Gerrit & Yu, Yingzhuo & Garcia, Axel Garcia y, 2008. "Alternative Crop Insurance Indexes," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 40(1), pages 223-237, April.
  16. Ahmet Göncü, 2013. "Comparison of temperature models using heating and cooling degree days futures," Journal of Risk Finance, Emerald Group Publishing, vol. 14(2), pages 159-178, February.
  17. Joshua D. Woodard & Philip Garcia, 2008. "Basis risk and weather hedging effectiveness," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 68(1), pages 99-117, May.
  18. 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.
  19. Lin, Shanshan & Mullen, Jeffrey D. & Hoogenboom, Gerrit, 2008. "Farm-Level Risk Management Using Irrigation and Weather Derivatives," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 40(2), pages 485-492, August.
  20. van Kooten, G Cornelis & Guo, Changhao & Sun, Baojing, 2015. "Risking-sharing Efficiency of Hedging Strategies," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205756, Agricultural and Applied Economics Association.
  21. Andrea Martínez Salgueiro & Maria-Antonia Tarrazon-Rodon, 2021. "Weather derivatives to mitigate meteorological risks in tourism management: An empirical application to celebrations of Comunidad Valenciana (Spain)," Tourism Economics, , vol. 27(4), pages 591-613, June.
  22. Musshoff, Oliver & Hirschauer, Norbert, 2008. "Hedging von Mengenrisiken in der Landwirtschaft – Wie teuer dürfen „ineffektive“ Wetterderivate sein?," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(05), pages 1-12.
  23. Wolfgang Karl Härdle & Brenda López Cabrera & Awdesch Melzer, 2021. "Pricing wind power futures," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(4), pages 1083-1102, August.
  24. Mußhoff, Oliver & Grüner, Sven & Hirschauer, Norbert, 2014. "Muss man begrenzte Rationalität und heuristisches Entscheiden bei der Erklärung für die Verbreitung von Wetterindexversicherungen in der Landwirtschaft berücksichtigen? – Eine Untersuchung auf der Bas," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 63(02), pages 1-14, March.
  25. Chung, Wonho, 2013. "Reducing the Social Cost of Federal Crop Insurance: A Role for US Government Hedging with Weather Derivatives," Journal of Rural Development/Nongchon-Gyeongje, Korea Rural Economic Institute, vol. 36(2), pages 1-26, August.
  26. Mußhoff, Oliver & Grüner, Sven & Hirschauer, Norbert, 2014. "Muss man begrenzte Rationalität und heuristisches Entscheiden bei der Erklärung für die Verbreitung von Wetterindexversicherungen in der Landwirtschaft berücksichtigen? – Eine Untersuchung auf d," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 63(2).
  27. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2005. "Zur Reduzierung niederschlagsbedingter Produktionsrisiken mit Wetterderivaten," Working Paper Series 18822, Humboldt University Berlin, Department of Agricultural Economics.
  28. repec:hum:wpaper:sfb649dp2009-046 is not listed on IDEAS
  29. 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.
  30. Andrew Grant & Steve Satchell, 2019. "Endogenous divorce risk and investment," Journal of Population Economics, Springer;European Society for Population Economics, vol. 32(3), pages 845-876, July.
  31. Marcos Gallacher & Daniel Lema & Laura Gastaldi & Alejandro Galetto, 2016. "Climate variability and agricultural production in argentina: the role of risk-transfer mechanisms," Ensayos de Política Económica, Departamento de Investigación Francisco Valsecchi, Facultad de Ciencias Económicas, Pontificia Universidad Católica Argentina., vol. 2(4), pages 11-38, Octubre.
  32. Angelos Prentzas & Thomas Bournaris & Stefanos Nastis & Christina Moulogianni & George Vlontzos, 2024. "Enhancing Sustainability through Weather Derivative Option Contracts: A Risk Management Tool in Greek Agriculture," Sustainability, MDPI, vol. 16(17), pages 1-18, August.
  33. L. Kermiche & N. Vuillermet, 2016. "Weather derivatives structuring and pricing: a sustainable agricultural approach in Africa," Applied Economics, Taylor & Francis Journals, vol. 48(2), pages 165-177, January.
  34. A. Alexandridis & A. Zapranis, 2013. "Wind Derivatives: Modeling and Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 299-326, March.
  35. Doms, Juliane, 2017. "Put, call or strangle? About the challenges in designing weather index insurances to hedge performance risk in agriculture," 57th Annual Conference, Weihenstephan, Germany, September 13-15, 2017 261990, German Association of Agricultural Economists (GEWISOLA).
  36. Heng Xiong & Rogemar Mamon, 2018. "Putting a price tag on temperature," Computational Management Science, Springer, vol. 15(2), pages 259-296, June.
  37. Mußhoff, O. & Odenin, M. & Wei, X., 2007. "Zur Quantifizierung des Basisrisikos von Wetterderivaten," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 42, March.
  38. Rong Kong & Calum G. Turvey & Guangwen He & Jiujie Ma & Patrick Meagher, 2011. "Factors influencing Shaanxi and Gansu farmers' willingness to purchase weather insurance," China Agricultural Economic Review, Emerald Group Publishing Limited, vol. 3(4), pages 423-440, November.
  39. Andrea Martínez Salgueiro & Maria-Antonia Tarrazon-Rodon, 2020. "Approaching rainfall-based weather derivatives pricing and operational challenges," Review of Derivatives Research, Springer, vol. 23(2), pages 163-190, July.
  40. repec:hum:wpaper:sfb649dp2014-006 is not listed on IDEAS
  41. Fuhrer, Jurg & Beniston, Martin & Calanca, Pierluigi & Torriani, Daniele Simone, 2007. "Alternative Hedging Strategies in Maize Production to Cope with Climate Variability and Change," 101st Seminar, July 5-6, 2007, Berlin Germany 9275, European Association of Agricultural Economists.
  42. Markus Stowasser, 2011. "Modelling rain risk: a multi-order Markov chain model approach," Journal of Risk Finance, Emerald Group Publishing, vol. 13(1), pages 45-60, December.
  43. Bucheli, Janic & Dalhaus, Tobias & Finger, Robert, 2022. "Temperature effects on crop yields in heat index insurance," Food Policy, Elsevier, vol. 107(C).
  44. Turvey, Calum G. & Weersink, Alfons, 2005. "Pricing Weather Insurance with a Random Strike Price: An Application to the Ontario Ice Wine Harvest," 2005 Annual meeting, July 24-27, Providence, RI 19255, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  45. Xu, Wei & Odening, Martin & Musshoff, Oliver, 2008. "Optimal Design of Weather Bonds," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6781, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  46. Lin, Shanshan & Mullen, Jeffrey D. & Hoogenboom, Gerrit, 2009. "Spatial and Temporal On-Farm Risk Management - Crop Production Scheduling and Index Insurance Strategies," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49350, Agricultural and Applied Economics Association.
  47. Cyr, Don & Kusy, Martin, 2007. "Identification of stochastic processes for an estimated icewine temperature hedging variable," Working Papers 37298, American Association of Wine Economists.
  48. Javier Orlando Pantoja Robayo & Andrea Roncoroni, 2012. "Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results," Documentos de Trabajo de Valor Público 10668, Universidad EAFIT.
  49. Prabakaran, Sellamuthu & Garcia, Isabel C. & Mora, Jose U., 2020. "A temperature stochastic model for option pricing and its impacts on the electricity market," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 58-77.
  50. Denis Nadolnyak & Valentina Hartarska, 2012. "Agricultural disaster payments in the southeastern US: do weather and climate variability matter?," Applied Economics, Taylor & Francis Journals, vol. 44(33), pages 4331-4342, November.
  51. Woodard, Joshua D. & Garcia, Philip, 2008. "Weather Derivatives, Spatial Aggregation, and Systemic Risk: Implications for Reinsurance Hedging," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 33(1), pages 1-18, April.
  52. Helene Hamisultane, 2010. "Utility-based pricing of weather derivatives," The European Journal of Finance, Taylor & Francis Journals, vol. 16(6), pages 503-525.
  53. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2006. "Modeling and Hedging Rain Risk," 2006 Annual meeting, July 23-26, Long Beach, CA 21050, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  54. Leif Erec Heimfarth & Oliver Musshoff, 2011. "Weather index‐based insurances for farmers in the North China Plain," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(2), pages 218-239, August.
  55. Turvey, Calum G. & Kong, Rong & Belltawn, Burgen, 2009. "Weather Risk and the Viability of Weather Insurance In Western China," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49362, Agricultural and Applied Economics Association.
  56. Birgit Lemmerer & Stephan Unger, 2019. "Modeling and pricing of space weather derivatives," Risk Management, Palgrave Macmillan, vol. 21(4), pages 265-291, December.
  57. Nadolnyak, Denis A. & Hartarska, Valentina M., 2009. "Weather, Climate, and Agricultural Disaster Payments in the Southeastern U.S," 2009 Conference, August 16-22, 2009, Beijing, China 51802, International Association of Agricultural Economists.
  58. Myers, Robert J. & Liu, Yanyan & Hanson, Steven D., 2005. "How Should We Value Agricultural Insurance Contracts," 2005 Annual meeting, July 24-27, Providence, RI 19561, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  59. Kern, Jordan D. & Characklis, Gregory W., 2017. "Low natural gas prices and the financial cost of ramp rate restrictions at hydroelectric dams," Energy Economics, Elsevier, vol. 61(C), pages 340-350.
  60. Boyle, Colin F.H. & Haas, Jannik & Kern, Jordan D., 2021. "Development of an irradiance-based weather derivative to hedge cloud risk for solar energy systems," Renewable Energy, Elsevier, vol. 164(C), pages 1230-1243.
  61. Jayeong Paek & Marco Pollanen & Kenzu Abdella, 2023. "A Stochastic Weather Model for Drought Derivatives in Arid Regions: A Case Study in Qatar," Mathematics, MDPI, vol. 11(7), pages 1-18, March.
  62. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  63. Manfredo, Mark R. & Richards, Timothy J., 2005. "Hedging Yield with Weather Derivatives: A Role for Options," 2005 Annual meeting, July 24-27, Providence, RI 19369, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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