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The pricing of temperature futures at the Chicago Mercantile Exchange

Citations

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Cited by:

  1. 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.
  2. Karl Härdle, Wolfgang & López-Cabrera, Brenda & Teng, Huei-Wen, 2015. "State price densities implied from weather derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 106-125.
  3. repec:hum:wpaper:sfb649dp2012-027 is not listed on IDEAS
  4. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015. "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 34-57.
  5. Benth, Fred Espen & Taib, Che Mohd Imran Che, 2013. "On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets," Energy Economics, Elsevier, vol. 40(C), pages 259-268.
  6. Renatas Kizys & Wael Rouatbi & Zaghum Umar & Adam Zaremba, 2024. "Air temperature and sovereign bond returns," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 33(2), pages 179-209, May.
  7. repec:hum:wpaper:sfb649dp2012-067 is not listed on IDEAS
  8. Härdle, Wolfgang Karl & López-Cabrera, Brenda & Ritter, Matthias, 2012. "Forecast based pricing of weather derivatives," SFB 649 Discussion Papers 2012-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Goulas, Lambros & Skiadopoulos, George, 2012. "Are freight futures markets efficient? Evidence from IMAREX," International Journal of Forecasting, Elsevier, vol. 28(3), pages 644-659.
  10. 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.
  11. 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.
  12. Frank Schiller & Gerold Seidler & Maximilian Wimmer, 2012. "Temperature models for pricing weather derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 489-500, March.
  13. José Hernández & Fernando Carvajal-Serna, 2017. "Risk coverage in the face of hydrological variability in a run-off hydraulic power plant using weather derivatives," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 87, pages 191-222, Julio - D.
  14. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
  15. A. Alexandridis & A. Zapranis, 2013. "Wind Derivatives: Modeling and Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 299-326, March.
  16. Rosella Castellano & Roy Cerqueti & Giulia Rotundo, 2020. "Exploring the financial risk of a temperature index: a fractional integrated approach," Annals of Operations Research, Springer, vol. 284(1), pages 225-242, January.
  17. Alexandridis, Antonis K. & Kampouridis, Michael & Cramer, Sam, 2017. "A comparison of wavelet networks and genetic programming in the context of temperature derivatives," International Journal of Forecasting, Elsevier, vol. 33(1), pages 21-47.
  18. Derek Lemoine & Sarah Kapnick, 2024. "Financial markets value skillful forecasts of seasonal climate," Nature Communications, Nature, vol. 15(1), pages 1-10, December.
  19. Heng Xiong & Rogemar Mamon, 2018. "Putting a price tag on temperature," Computational Management Science, Springer, vol. 15(2), pages 259-296, June.
  20. Gülpınar, Nalân & Çanakoḡlu, Ethem, 2017. "Robust portfolio selection problem under temperature uncertainty," European Journal of Operational Research, Elsevier, vol. 256(2), pages 500-523.
  21. Ritter, Matthias, 2012. "Can the market forecast the weather better than meteorologists?," SFB 649 Discussion Papers 2012-067, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  22. repec:hum:wpaper:sfb649dp2014-006 is not listed on IDEAS
  23. 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.
  24. Bertrand, Jean-Louis & Parnaudeau, Miia, 2019. "Understanding the economic effects of abnormal weather to mitigate the risk of business failures," Journal of Business Research, Elsevier, vol. 98(C), pages 391-402.
  25. Markus Hess, 2018. "Pricing Temperature Derivatives Under Weather Forecasts," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-34, August.
  26. José Miguel Hernández Arango & Luis Fernando Carvajal-Serna, 2017. "Cobertura al riesgo ante la variabilidad hidrológica en una central hidráulica a filo de agua usando derivados climáticos," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 87, pages 191-222.
  27. 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.
  28. Schlenker, Wolfram & Taylor, Charles A., 2021. "Market expectations of a warming climate," Journal of Financial Economics, Elsevier, vol. 142(2), pages 627-640.
  29. Jr‐Wei Huang & Sharon S. Yang & Chuang‐Chang Chang, 2018. "Modeling temperature behaviors: Application to weather derivative valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1152-1175, September.
  30. Cui, Hairong & Zhou, Ying & Dzandu, Michael D. & Tang, Yinshan & Lu, Xunfa, 2019. "Is temperature-index derivative suitable for China?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  31. Ritter, Matthias & Mußhoff, Oliver & Odening, Martin, 2010. "Meteorological forecasts and the pricing of weather derivatives," SFB 649 Discussion Papers 2010-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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